Benchmark

Constructing the right benchmarks that truly represent the investment objectives, management process and constraints is an imperative step in the performance attribution process. It often requires the implementation of sofisticated customization rules. Robust Attribution™ offers unparalleled functionality regarding customization of benchmarks.

Market index data

Load market index data from any provider. Convert market index data to any currency.

Blended benchmarks

Construct blended benchmarks from any number of market indices, model portfolios and other blended benchmarks.

Fix weighted blended benchmark

Construct blended benchmarks with fixed weights.

Floating weighted benchmark

Construct blended benchmarks by assigning initial fixed weights and letting the weights float according to each component’s respective returns. Reset or rebalance weights at any time.

Naturally weighted benchmark

Derive weights of blended benchmarks “naturally” from the market values of their constituents.

Hybrid weighted benchmark

Construct blended benchmarks from a mixture of other blended benchmarks that are fixed, floating and naturally weighted.

Rebalancing

Rebalance weights of blended benchmarks any time.

Security level customization

Customize benchmark from security level constituents present in the index. Include and/or exclude specific securities. Assign fix, floating or natural weights to specific securities.

Sector level customization

Customize benchmarks from sectors, industries, countries or any asset classes present in the index. Include and/or exclude specific sectors. Assign fix, floating or natural weights to specific sectors.

Rearrange market index structures

Rearrange market index structures (country, sector, industry) in order to reflect the investment management proccess.

Multi currency benchmarks

Construct blended benchmarks from market indices, model portfolios and other blended benchmarks expressed in different base currencies. In this case, base currency returns are properly converted... Read more

Multi currency benchmarks

Construct blended benchmarks from market indices, model portfolios and other blended benchmarks expressed in different base currencies. In this case, base currency returns are properly converted. Local returns of multi-currency market indices are preserved