Active Managers Without Complete Discretion: A Case Study Using Extensions of Various Attribution Models
Ted Heemskerk, CQF, FRM, De Nederlandsche Bank and
Gerard C. M. van Breukelen, CIPM, Robeco

Monetary policy can interfere with active management at central banks, resulting in parts of the investments being frozen. To execute a proper performance attribution, the reduced decision power needs to be taken into account. In this article, we present a method to account for frozen investments in the performance attribution. We exemplify this method using relevant performance attribution models for reserve management portfolios. The selected models are: the Brinson model; the Karnosky and Singer model, adjusted to take into account actual hedging costs; and
the Campisi and Van Breukelen fixed-income models, because they present two alternative views on how managers allocate within the fixed-income space. The van Breukelen model is extended to show the results of spread decisions.