http://www.ppca-inc.

com/
Portfolio Opportunity Distributions

When viewing the report, there are a couple of key points to understand. The graph
may appear confusing at first, but once defined it provides a simple summary of the
attribution data. The orange bars demonstrate how much of your portfolio was
allocated to a particular sector at the beginning of the given period. The blue and
green floating bars represent the range of returns that were likely for each sector
over the given period. These bars are known as Portfolio Opportunity Distributions
(PODS)- we define PODs at the end of this article. Finally, the gray circle
represents the actual return for your portfolio in a particular sector for the given
period. You can easily see how well you performed versus what you might have
been expected to do, given your sector orientation.
In all, you would like to see your circle appear near the top half of the POD, or even
above it. This shows you that your stock selection is high- or more simply, it says
that you are performing even better than could have been expected. Also, you
would want to see that you are allocated most heavily to the sectors where your
performance is the strongest.
The data behind the bar chart graph can be found in a table format within the
Attribution report:

HYPOTHETICAL PORTFOLIO
NO
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CODE
SNAME
WEIGHT 30-Sep-03 30-Sep-04 RETS
USD
USD
3.00%
100
95
-5%
ZAR
ZAR
2.00%
100
110
10%
GBP
GBP
2.00%
100
106
6%
JPMORGAN
JPMORGAN
7.00%
100
101
1%
E168
E168
7.00%
100
107
7%
R153
R153
7.00%
100
105
5%
E188
E188
7.00%
100
109
9%
KO
COKE
5.00%
100
104
4%
MSF
MICROSOFT
5.00%
100
112
12%
GE
GENERAL ELECTRIC
5.00%
100
103
3%
BO
BOEING
5.00%
100
98
-2%
AGL
ANGLOS
5.00%
100
120
20%
HAR
HARMONY
5.00%
100
107
7%
IMP
IMPALA
5.00%
100
130
30%
IPL
IMPERIAL
5.00%
100
120
20%
SAB
SAB
5.00%
100
115
15%
SBK
STANBIC
5.00%
100
140
40%
ASA
ABSA
5.00%
100
160
60%
SHF
STEINHOFF
5.00%
100
150
50%
CSB
CASHBUILD
5.00%
100
80
-20%
100.00%
13.66%
TOTAL
PORT
13.7%

CASH
0.2%

POD
Mean
Std Dev
Q1
Min
Median
Max
Q3

PORT
13.1%
2.5%
14.4%
6.7%
13.1%
20.3%
11.6%

CASH
0.6%
0.4%
0.9%
-0.4%
0.6%
1.3%
0.3%

1.00
0.99
25.0%
0.97
0.95
20.0%
0.90
0.85
0.80
15.0%
0.75
0.70
0.65
10.0%
0.60
0.55
0.50
5.0%
0.45
0.40
0.35
0.0%
0.30

22.3%
18.8%
17.7%
17.2%
20.3%
16.3%
15.7%
15.2%
14.8%
13.7%
13.1%
14.4%
14.0%
13.7%
13.4%
6.7%
13.1%
12.8%
12.5%
12.1%
11.8%

Actual
CASH
BONDS
FOR
EQTS
RES
IND
FIN
FOR

1.00
0.90
0.80

LRG
MID
SML
VAL
GRW

7.00%
28.00%
20.00%
45.00%
100.00%
15.00%
20.00%
10.00%
0.00%
45.00%
30.00%
POD 5.00%
10.00%
45.00%
30.00%
15.00%
45.00%

0.70

0.60
0.50
0.40
0.30

0.20
0.10
0.00

Avg POD,
Actual Perf,
13.66% 13.1%

0.17%
1.54%
0.85%
11.10%
13.66%
2.85%
3.25%
5.00%
0.00%
11.10%
8.60%
1.00%
1.50%
11.10%
6.60%
4.50%
11.10%

CLASS
CASH
CASH
CASH
BONDS
BONDS
BONDS
BONDS
FOR
FOR
FOR
FOR
EQTS
EQTS
EQTS
EQTS
EQTS
EQTS
EQTS
EQTS
EQTS

ASSET CLASS

1.3%
0.6%
0.2%
-0.4%

Weights

0.25
-5.0%
0.20
0.15
0.10
0.05
0.03
0.00

11.4%
11.0%
PORT
10.5%CASH
9.9%
9.0%
8.3%
5.5%

Actual

TOTAL
ASSET CLASS
PORT CASH
13.7% 0.0017

POD
Mean
Std Dev
Q1
Min
Median
Max
Q3

PORT CASH
13.1%
0.6%
2.5%
0.4%
14.4%
0.9%
6.7%
-0.4%
13.1%
0.6%
20.3%
1.3%
11.6%
0.3%

BONDS

Min (pos)
First (neg)
Third Quartile
Second
Third
First Quartile

6.7%
0.0%
4.9%
1.5%
1.3%
5.9%

0.0%
-0.4%
0.3%
0.3%
0.3%
0.4%

Market
Portfolio

0.0%
0%

5%
6%

25%
20%
First Quartile

15%
10%

Actual Return
Third Quartile

5%

0%

Market

10.0% 12.0% 14.0% 16.0% 18.0% 20.0%

Expected and Actual Rate of Return

0.00
8.0%

PORT CASH

SECT

RES
RES
RES
IND
IND
FIN
FIN
IND
IND

SIZE STYLE

LRG
LRG
LRG
MID
LRG
LRG
LRG
SML
SML

L
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

VAL
VAL
VAL
VAL
VAL
VAL
GRW
GRW
GRW

U
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100

ASSET CLASS
BONDS FOR
1.5% 0.9%

EQTS
11.1%

SECTOR
RES
IND
FIN
2.9% 3.3% 5.0%

LRG
8.6%

BONDS
1.2%
0.3%
1.4%
0.5%
1.2%
1.9%
1.0%

EQTS
10.5%
2.5%
11.7%
4.0%
10.4%
17.6%
9.3%

RES
IND
FIN
2.9% 2.7% 4.9%
1.0% 1.4% 2.1%
3.6% 3.4% 6.7%
0.4% -0.6% 0.6%
2.8% 2.6% 4.8%
5.6% 7.6% 10.4%
2.2% 1.8% 3.4%

LRG
8.5%
2.2%
10.1%
3.5%
8.4%
16.7%
7.1%

FOR
0.8%
0.4%
1.1%
0.0%
0.8%
1.7%
0.5%

SIZE
MID
1.0%

SML
1.5%

STYLE
VAL
GRW
6.6%
4.5% < Actual perf attribution - will proba

MID
SML
VAL
GRW
0.82% 1.16% 6.42% 4.09% <POD5 Array function
0.57% 1.36% 1.60% 2.19% <Note you can add or delete types
1.22% 1.87% 7.36% 5.59% < eg add MICRO to size vector (L4
0.00% -1.11% 3.05% -0.77% <you can omit types on the same b
0.75% 0.93% 6.31% 4.12%
2.19% 5.00% 10.55% 9.64% < Note array formula use CTRL-SH
0.35% 0.13% 5.28% 2.61%

Portfolio Opportunity Distribution (POD)

Avg POD
13.1% 0.50
13.1%
0
0.5 13.1%
0.5
0
17.6%

Actual Perf
13.66% 0.59
13.66%
0
0.59 #####
0.59 0.00%

16.7%

11.1%
10.4%

6.6%
6.31%

5.6%
4.0%

2.9%
2.8%

9.64%
8.6%
8.4%

7.6%

Bmk
0.00% 0.00
1.9%
0.00%
1.7% 0
1.5%
1.2%
0.9%
0.8%
0.5%
0.00 0.00%
0.0%
0.00 0.00%

10.55%

10.4%

5.0%
4.8%
3.5%

3.3%
2.6%
0.6%

0.4%
-0.6%

5.00%

4.5%
4.12%
3.05%

2.19%
1.0%
0.75%
0.00%

1.5%
0.93%
-1.11%

-0.77%

BONDS

FOR

EQTS

RES

IND

FIN

LRG

MID

SML

VAL

GRW

ASSET CLASS
SECTOR
SIZE
STYLE
BONDS FOR EQTS RES IND
FIN
LRG
MID
SML
VAL
GRW
0.0154 0.009
0.111 0.029 0.033
0.05
0.086
0.01 0.015
0.066
0.045
BONDS FOR EQTS RES IND
FIN
LRG
MID
SML
VAL
GRW
1.2% 0.8% 10.5% 2.9% 2.7% 4.9%
8.5%
0.8%
1.2%
6.4%
4.1%
0.3% 0.4%
2.5% 1.0% 1.4% 2.1%
2.2%
0.6%
1.4%
1.6%
2.2%
1.4% 1.1% 11.7% 3.6% 3.4% 6.7% 10.1%
1.2%
1.9%
7.4%
5.6%
0.5% 0.0%
4.0% 0.4% -0.6% 0.6%
3.5%
0.0% -1.1%
3.1% -0.8%
1.2% 0.8% 10.4% 2.8% 2.6% 4.8%
8.4%
0.7%
0.9%
6.3%
4.1%
1.9% 1.7% 17.6% 5.6% 7.6% 10.4% 16.7%
2.2%
5.0% 10.6%
9.6%
1.0% 0.5%
9.3% 2.2% 1.8% 3.4%
7.1%
0.4%
0.1%
5.3%
2.6%
0.5%
0.0%
0.5%
0.1%
0.2%
0.6%

0.0%
0.0%
0.5%
0.3%
0.2%
0.6%

4.0%
0.0%
5.2%
1.1%
1.4%
5.9%

6%
5%

5%
7%

12%
13%

0.4% 0.0%
0.0% -0.6%
1.8% 1.8%
0.6% 0.8%
0.8% 0.8%
2.0% 4.2%
7%
6%

10%
9%

0.6%
0.0%
2.8%
1.4%
1.9%
3.7%

3.5%
0.0%
3.6%
1.3%
1.7%
6.7%

0.0%
0.0%
0.4%
0.4%
0.5%
1.0%

0.0%
-1.1%
0.1%
0.8%
0.9%
3.1%

3.1%
0.0%
2.2%
1.0%
1.0%
3.2%

0.0%
-0.8%
2.6%
1.5%
1.5%
4.0%

10%
8%

11%
7%

6%
9%

8%
10%

10%
9%

10%
11%

First Quartile

Actual Return

Market
Portfolio

15%
10%
5%

Allocation of Portfoliio

Third Quartile

100.0%
100.0%

EQTS

RES

IND

FIN

LRG

MID

SML

VAL

GRW

0%

Allocation of Portfoliio

CASH BONDS FOR

< Actual perf attribution - will probably build this into v2

<POD5 Array function

<Note you can add or delete types at runtime
< eg add MICRO to size vector (L4:L230
<you can omit types on the same basis
< Note array formula use CTRL-SHIFT-ENTER

HYPOTHETICAL PORTFOLIO
NO
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19
20

CODE
SNAME
WEIGHT 30-Sep-03 30-Sep-04 RETS
USD
USD
3.00%
100
95
-5%
ZAR
ZAR
2.00%
100
110
10%
GBP
GBP
2.00%
100
106
6%
JPMORGAN
JPMORGAN
7.00%
100
101
1%
E168
E168
7.00%
100
107
7%
R153
R153
7.00%
100
105
5%
E188
E188
7.00%
100
109
9%
KO
COKE
5.00%
100
104
4%
MSF
MICROSOFT
5.00%
100
112
12%
GE
GENERAL ELECTRIC
5.00%
100
103
3%
BO
BOEING
5.00%
100
98
-2%
AGL
ANGLOS
5.00%
100
120
20%
HAR
HARMONY
5.00%
100
107
7%
IMP
IMPALA
5.00%
100
130
30%
IPL
IMPERIAL
5.00%
100
120
20%
SAB
SAB
5.00%
100
115
15%
SBK
STANBIC
5.00%
100
140
40%
ASA
ABSA
5.00%
100
160
60%
SHF
STEINHOFF
5.00%
100
150
50%
CSB
CASHBUILD
5.00%
100
80
-20%
100.00%
13.66%
TOTAL
PORT
13.7%

CASH
0.2%

POD
Mean
Std Dev
Q1
Min
Median
Max
Q3

PORT
13.7%
2.8%
15.3%
7.3%
13.6%
23.5%
12.0%

CASH
0.5%
0.4%
0.9%
-0.4%
0.6%
1.4%
0.3%

1.00
0.99
25.0%
0.97
0.95
20.0%
0.90
0.85
0.80
15.0%
0.75
0.70
0.65
10.0%
0.60
0.55
0.505.0%
0.45
0.40
0.350.0%
0.30

24.0%
20.2%
23.5%
18.9%
18.3%
17.3%
16.6%
16.1%
15.6%
13.7%
13.6%
15.2%
14.8%
14.4%
7.3%
14.1%
13.7%
13.4%
13.0%
12.7%
12.3%

Actual
CASH
BONDS
FOR
EQTS
RES
IND
FIN
FOR

1.00
0.90
0.80

LRG
MID
SML
VAL
GRW

7.00%
28.00%
20.00%
45.00%
100.00%
15.00%
20.00%
10.00%
0.00%
45.00%
30.00%
POD 5.00%
10.00%
45.00%
30.00%
15.00%
45.00%

0.70

0.60
0.50
0.40
0.30

0.20
0.10
0.00

Avg POD,
13.7%

Actual Perf,
13.66%

0.17%
1.54%
0.85%
11.10%
13.66%
2.85%
3.25%
5.00%
0.00%
11.10%
8.60%
1.00%
1.50%
11.10%
6.60%
4.50%
11.10%

CLASS
CASH
CASH
CASH
BONDS
BONDS
BONDS
BONDS
FOR
FOR
FOR
FOR
EQTS
EQTS
EQTS
EQTS
EQTS
EQTS
EQTS
EQTS
EQTS

ASSET CLASS

1.4%
0.6%
0.2%
-0.4%

0.00
8.0%

10.0% 12.0% 14.0% 16.0% 18.0% 20.0%

0.25
-5.0%
0.20
0.15
0.10
0.05
0.03
0.00

11.9%
11.4%
PORT
10.8%
10.2%
9.2%
8.3%
5.1%

CASH

SECT

RES
RES
RES
IND
IND
FIN
FIN
IND
IND

SIZE STYLE

LRG
LRG
LRG
MID
LRG
LRG
LRG
SML
SML

L
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

VAL
VAL
VAL
VAL
VAL
VAL
GRW
GRW
GRW

U
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100

ASSET CLASS
BONDS FOR
1.5% 0.9%

EQTS
11.1%

RES
2.9%

BONDS
1.1%
0.4%
1.4%
0.3%
1.1%
1.9%
0.9%

EQTS
11.2%
2.9%
13.0%
4.3%
11.1%
21.1%
9.2%

RES
IND
2.8% 3.3%
1.1% 1.7%
3.5% 4.2%
0.4% -0.2%
2.9% 3.2%
5.6% 8.1%
2.1% 2.1%

FOR
0.8%
0.4%
1.1%
0.0%
0.8%
1.7%
0.5%

SECTOR
IND
3.3%

SIZE
FIN
5.0%

LRG
8.6%

MID
1.0%

SML
1.5%

FIN
5.1%
2.2%
6.7%
0.1%
4.9%
10.0%
3.4%

LRG
8.6%
2.4%
10.3%
3.0%
8.5%
16.5%
7.2%

MID
0.91%
0.54%
1.27%
0.02%
0.87%
2.23%
0.46%

SML
1.68%
1.55%
2.74%
-1.88%
1.61%
5.56%
0.53%

Portfolio Opportunity Distribution (POD)

Avg POD
13.7% 0.50
13.7%
0
0.5 13.7%
21.1%
0.5
0
16.5%

Actual Perf
13.66% 0.49
13.66%
0
0.49 #####
0.49 0.00%

11.1%
11.1%

10.95%
10.0%
8.6%
8.5%

8.1%

6.6%
6.50%

Bmk
0.00% 0.00
1.9%
0
1.5%
1.4% 0.00%
1.1%
0.6%
0.2%
0.000.3%0.00%
0.4%
0.00 0.00%

5.6%
4.3%

2.9%
2.9%
1.7%
0.9%
0.8%
0.0%

0.4%

5.56%

5.0%
4.9%
3.3%
3.2%

-0.2%

3.0%
0.1%

2.23%
1.0%
0.87%
0.02%

2.79%
1.61%
1.5%

-1.88%

-1.88%

CASH

BONDS

FOR

EQTS

RES

IND

FIN

Cash
Credit Strategies
Equity Strategy
Multi-Strategy
Relative Value
Equity Strategy
Credit Strategies
Equity Strategy
Relative Value

LRG

MID

SML

Cash
0.23%
Credit Long/Short 0.19%
Regulation D
1.14%
Multi-Strategy
-1.79%
Fixed Income Arbitrage
0.43%
Market Neutral
1.20%
Credit Long/Short 0.24%
Equity Hedge
-4.37%
Volatility Arbitrage -2.81%

POD
Mean
Std Dev
Q1
Min
Median
Max
Q3

VAL

0.24%
0.89%
0.86%
3.51%
1.11%
1.10%
1.50%
4.22%
-0.38%

PORT
0.65%
0.11%
0.73%
0.37%
0.65%
0.91%
0.57%

STYLE
VAL
GRW
6.6%
4.5% < Actual perf attribution - will probably build this into v2
VAL
6.57%
1.64%
7.86%
2.79%
6.50%
10.95%
5.39%

10.95%

GRW
4.64%
2.58%
6.30%
-0.63%
4.73%
11.74%
2.79%

11.74%

6.6%
6.50%

4.73%
4.5%
2.79%

-0.63%

<POD5 Array function

<Note you can add or delete types at runtime
< eg add MICRO to size vector (L4:L230
<you can omit types on the same basis

VAL

GRW

0.25%
-1.39%
2.43%
-2.50%
1.56%
15.00%
-1.15%
-5.01%
0.99%

0.26%
-0.06%
0.94%
0.29%
0.26%
-0.76%
0.82%
-11.88%
-0.73%

0.27%
-2.15%
1.75%
1.84%
0.17%
0.96%
1.25%
-3.15%
-1.72%

0.29%
0.47%
1.26%
1.74%
0.34%
1.09%
2.33%
7.40%
-1.54%

0.29%
1.11%
1.51%
3.74%
1.21%
1.02%
2.21%
-2.53%
-0.58%

0.28%
0.35%
0.90%
0.79%
0.66%
0.58%
0.29%
0.00%
1.96%

Cash
Credit Strategies
Equity Strategy
Multi-Strategy
Relative Value
0.03%
0.07%
0.16%
0.09%
0.30%
0.02%
0.03%
0.06%
0.05%
0.13%
0.05%
0.09%
0.20%
0.13%
0.38%
0.00%
0.01%
0.02%
0.00%
0.04%
0.03%
0.07%
0.16%
0.09%
0.30%
0.06%
0.16%
0.32%
0.21%
0.62%
0.01%
0.05%
0.12%
0.06%
0.20%

Cash
0.03%
0.02%
0.05%
0.00%
0.03%
0.06%
0.01%

0
0
0
0
0
0
0
0
0

100
100
100
100
100
100
100
100
100