Non-QM Performance Attribution Report, July 2020

Performance attribution is a powerful technique traditionally used to analyze the performance of a portfolio and the decisions made by comparing it to the fund’s benchmark, allowing you to understand how and why certain cohorts are contributing to or detracting from performance.

In our latest insights series, Non-QM Performance Attribution Report, we have applied this technique to non-QM securitizations to help understand the difference in loan impairment performance between a pool of loans and the dv01 Non-QM Benchmark for the July 2020 collection period.

Download the inaugural report to get insights into how and why certain loan groupings perform better or worse than the benchmark and how they affect the overall pool performance.