Performance & Attribution

pQuant Performance & Attribution is designed to deliver accurant performance attribution and risk analytics, combined with data management, process control and reporting through the pControl end-to-end framework.

The pQuant Performance & Attribution module is included
within the pControl Investment Analytics solution.

pQuant delivers performance and attribution, unitised product performance and ex-post risk statistics adhering to global standards and methodologies.

Using pControl’s end-to-end control framework, this approach releases performance professionals from time consuming data transformation and data validations.

Features

  • Performance, attribution and risk analytics including:
    • Performance and Attribution
    • Unitized Product Performance
    • Look through Analysis
    • Data Management
    • Automated Asset Classification
    • Effective Exposure Processing
    • 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.
  • Arithmetic and geometric attribution supported at asset class, region, sector or stock level
  • ‘Residual free’ attribution methodology eliminates sub-period residuals with choice of multi-period linking options.
  • Risk measures including Tracking Error, Sharpe, Information Ratio, Sortino, R-Squared, Correlation, Treynor, Jensen’s Alpha, Beta, t-statistics.
  • 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.
  • 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.
  • Unitised returns supporting estimate or final hard close values, growth and distribution components and TER / MER gross adjustments.
  • Isolation of returns adjusted for derivatives, cash, fees and tax.
  • Return, contribution and attribute calculation in multiple reporting currencies.
  • Inbuilt effective exposure, effective cash flow & synthetic interest calculations for derivatives.
  • 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.
  • Investment entity construction for carve-outs, aggregates, and look-through portfolios.
  • Security look-through provides underlying security level exposures for unitised fund-of-fund structures.
  • Import of provided index returns or calculation using index levels and market capitalisation 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.

Processing

pQuant Performance & Attribution delivers standard processing for:

  1. Import of  portfolio valuations, transactions and index data
  2. Validation of input data
  3. Pre-analytic processing
  4. Analytic calculations
  5. Export of results and generation of reports

Solutions

The Performance & Attribution capability is included within the following solutions: