Performance & Attribution is designed to deliver accurate performance attribution and risk analytics, for multi-asset multi-level investment structures, utilizing interfunds, open architecture investments, or segregated mandates / separately managed accounts.

Performance Calculations

  • True daily time weighted return calculations
  • Fixed or dynamic return cash flow timing for start, mid or end-of-day based on tolerance or cash flow direction
  • Inbuilt effective exposure, effective cash flow & synthetic interest calculations for derivatives
  • Isolation of returns adjusted for derivatives, cash, fees and tax
  • Unitized returns supporting estimate or final hard close values, growth and distribution components and TER / MER gross adjustments

Attribution Calculations

  • Arithmetic and geometric attribution supported at asset class, region, sector or stock level
  • Multi-level attribution designed for Multi-Asset hierarchical investment processes
  • ‘Residual free’ attribution methodology eliminates sub-period residuals with choice of multi-period linking options

Benchmark Calculations

  • Import of provided index returns or calculation using index levels and market capitalization at total, sector or stock levels
  • Custom benchmark construction with support for historical point-in-time re-weighting
  • User defined index recalculation allows stocks or sectors to be excluded for defined time periods
  • Automatic support for de-compounding of infrequently provided periodic benchmark rates

Periodic Calculations

  • Risk, return & attribute calculation at daily, monthly & multi-period intervals from 1 month to 50 years annualized, FYTD, CYTD, since inception & year-on-year analysis
  • Return, contribution and attribute calculation in multiple reporting currencies

Asset Classifications

  • New and existing securities are classified with time stamped recording of sector position based on user defined asset classification rules
  • Aggregation of security issues such as physical, bonus, rights and option contracts into a single position
  • Rule based detection of bonus, rights, stock conversions and asset transfer transactions

Lookthrough

  • Investment entity construction for carve-outs, aggregates, and look-through portfolios
  • Security look-through provides underlying security level exposures for unitized fund-of-fund structures

Ex-Post Risk

  • Risk measures including Tracking Error, Sharpe, Information Ratio, Sortino, R-Squared, Correlation, Treynor, Jensen’s Alpha, Beta, t-statistics

Reporting

  • Query support provides a powerful approach to assembling and executing complex queries over large data sets
  • Configurable reporting with a choice of formats including PDF, HTML, CSV and XML outputs

 

Performance & Attribution was previously known as pQuant