Performance measurement & attribution

In today's volatile markets,
just measuring return is not enough.
You need to dissect and interpret performance
and have a good understanding of the risk profile.
John Stannard, The Frank Russell Company

Problem

An important element in the management of investment portfolios is the need to identify the most and the least profitable areas of investment. A lack of appropriate tools, which enable the presentation of the efficiency of managed portfolios in the light of the benchmarks, according to accepted standards enabling their rapid interpretation, reduces the efficiency of decisions taken on investment.

Challenge

In today's institutional asset management, one of the key elements that gives a competitive advantage is the ability to quickly react to ever-changing investment opportunities. Active identification of the most or the least profitable areas of investment allows for the effective verification of the adopted management strategies. Moreover, in the light of increasingly implemented regulations, both internal as well as international, in terms of performance presentation, an important issue has become the possibility of reporting results according to strict standards. It poses challenges to systems for asset management, which, on the one hand, should provide the ability to define benchmarks and portfolios according to managers’ needs, on the other hand, should allow to construct analysis on the effectiveness according to the institution's standards and regulations.

Solution

Active assessment of the effectiveness of managed portfolios in the light of selected benchmarks or competition's portfolios is one of the key aspects of an effective management policy of investment portfolios. The Comarch Asset Management platform’s solutions  enable you to assess the strengths and weaknesses of your investment strategy and thus take appropriate investment decisions that maximize profitability and minimize the risk of your portfolio. The system allows you to make more effective investment decisions, which translate into an increase in the profitability of managed portfolios, and thereby increasing the competitiveness of the institution.

Key features

  • Portfolio position analysis - enables an active performance assessment of investment portfolios, and a clear and quick view of the current situation of portfolios, at different levels of aggregation, according to accepted standards of presentation (e.g. GIPS).
  • Performance ratios - is an essential tool that presents the performance of the instruments and portfolios, with respect to the index benchmarks or competition's portfolios.
  • Performance attribution - enables an active performance assessment of the impact of individual assets to the overall outcome of the investment portfolio, basing on different attribution models (e.g. Brinson-Hood-Beebower), so that it is possible to identify the features of investment, in which the managed portfolio is better or worse than the benchmark.
  • Portfolio optimization - supports investment decisions with suggestions to buy or sell, which are the result of matching the portfolio to the structure specified by the user optimization criteria.

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