Analytics – Fast Facts

Attribution & Risk

• Arithmetic and geometric attribution supported at asset class, region, sector or stock level
  
• Currency attribution: Karnosky Singer or Variance Analysis (hedging, weighting & timing)
  
• Investment style control to move interaction to allocation or selection, and treat off-benchmark or off-fund positions
• 'Residual free’ methodology eliminates sub-period residuals with choice of multi-period smoothing options
  
• Choice of risk measures including Tracking Error, Sharpe, Information Ratio, Sortino, R², Correlation, Treynor, Jensens Alpha, 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
  
• Standard output for top & bottom ranked analysis for absolute or relative contributions

Performance Analysis

• True daily time weighted, Modified Dietz, money weighted IRR, unit price return, and currency or tactical overlay returns
  
• Before hedging & local currency returns from total through to security level
  
• Fixed or dynamic cash flow timing for start, mid or end-of-day based on tolerance or cash flow direction
  
• Return isolation of derivatives, cash, fees & tax, disposal costs, buybacks, asset backing and repurchase agreements
  
• Return, contribution & attribute calculation in multiple reporting currencies

Effective Exposure

• Inbuilt effective exposure, effective cash flow & synthetic interest calculations for derivatives
• User defined control of offset position placement to support regional multi-currency analyses
• Automated excess liquidity adjustment for swap asset backing sectors

Asset Classifications

• New and existing securities are automatically classified with time stamped recording of sector position over time
  
• Automatic aggregation of security issues such as physical, bonus, rights etc and option contracts into a single position
  
• Automatic detection of bonus, rights & stock conversions & asset transfers

Carve-outs & Security Look-through

• Investment entity construction for carve-outs, aggregates, look-through portfolios and GIPS composites
  
• Security look-through provides notional underlying security level exposures for unitized
  fund-of-fund structures
  
• Derivative look-through provides notional underlying security exposure for index based futures contracts
  
• Look-through features may be combined with attribution or contribution analyses

Benchmark Processing

• Import of provided returns or calculation using index levels & market capitalisation at total, sector or stock levels
  
• Multi-level, multi-sector 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 decompounding of infrequently provided periodic rates

GIPS Composites

• Integration of GIPS composite reporting with underlying performance engine
  
• Generation of firm values from underlying portfolios
  
• User customised disclosure messages and inclusion/exclusion reporting
  
• Risk analysis on composites and composite constituents

Fixed Income Asset Analysis

• Automated calculation of bond statistics from price or yield to overcome data field inconsistency between multiple providers
  
• User defined price source rules control value selection from multiple providers
  
• Automated processing to fit curve parameters to term structure models for user defined yield curves
  
• Inbuilt synthesis of Duration Matched Treasury (DMT) instruments for each portfolio or benchmark position held

Fixed Income Asset Simulation

• Non-vanilla or synthetic fixed income assets may be simulated to calculate yield, duration & convexity statistics from future cash flows

Fixed Income Attribution

• Calculation of price, income, trading, duration, shift, twist, spread, sector, issuer, convexity and calendar returns at sector or issue levels
  
• Relative attribution between fund & benchmark or absolute decomposition of portfolio independently from benchmark
  
• Sector spreads may be calculated using alternative secondary benchmarks or secondary asset hierarchies
  
• ‘Residual free’ methodology ensures that FI model residual is proportionally consistent with intended FI attributes

Mandate Compliance

• Compliance functions share common data access for exposure & asset classification, fixed income & credit quality data
  
• Test input values may be filtered by: market capital rankings; weight bands; time-to-maturity; benchmark inclusion or exclusion; filtered credit grade ranges or portfolio rankings
  
• User definable test construction for prohibited investments; derivative usage; asset weight & benchmark relative limits; diversification; duration; credit quality and time-to-maturity limits
  
• Warning levels may be established for tests where upper and lower limits are approached
  
• Compliance breaches generate unique issue numbers for tracking purposes and monitoring of outstanding breaches

End-to-end Processing

• Integrated data load, validation, & transformation system monitors & escalates based on Service Level Agreement (SLA) parameters
  
• Standard adaptors for backoffice systems & custodian feeds or configurable to client specific requirements
  
• Reference data can be synchronised with static data in upstream record keeping systems
  
• Data audit & return tolerances exceptions identify portfolio outliers relative to benchmark return or peer portfolios

Enterprise Reporting

• Easy to configure report designer supports multiple output formats such as PDF, HTML, XLS, RTF, CSV and XML
  
• Support for connectivity to corporate reporting platforms