Performance


Robust Performanceâ„¢ offers rich and detail performance analysis. It computes performance from holdings and transactions imported from your portfolio accounting system.




Here are the highlights of some of the features that are currently available.

Multi levels of details

Report performance at any levels, for example: Total portfolio, sub-portfolios, strategies, country, sectors, industries, quality ratings, security and lots levels. Users can define any number of levels... Read more

Multi levels of details

Report performance at any levels, for example: Total portfolio, sub-portfolios, strategies, country, sectors, industries, quality ratings, security and lots levels. Users can define any number of levels within any number of reporting structures.

Drill down capabilities

Expand and collapse various level of details (group of lines) within reports. The drilldown reporting capabilities is very ergonomic. It allows users to grasp performance results at higher levels and... Read more

Drill down capabilities

Expand and collapse various level of details (group of lines) within reports. The drilldown reporting capabilities is very ergonomic. It allows users to grasp performance results at higher levels and drilldown to get detailed performance results all the way down to security and lot levels. Show me...

Drill across capabilities

Expand and collapse various data columns within reports. Choose from a comprehensive set of data columns to be reported. For example, market value, TWR return, MWR return, contributions to TWR... Read more

Drill across capabilities

Expand and collapse various data columns within reports. Choose from a comprehensive set of data columns to be reported. For example, market value, TWR return, MWR return, contributions to TWR, contribution to MWR, dollar earned and much more. All figures can be presented in the base currency of the portfolio as well as in the local currency of the assets. Show me...

Security classification

Classify securities into any number of reporting/classification structures. Define your own classification structures. They can be as simple or as complex as you want. Securities are classified into structures... Read more

Security classification

Classify securities into any number of reporting/classification structures. Define your own classification structures. They can be as simple or as complex as you want. Securities are classified into structures according to any rules defined by the users. Rules can be attribute driven or explicit.

Security attributes

Derive securities attributes automatically from holdings and transactions imported from your portfolio accounting system and other external sources such, data hub, security master files and index providers.

Multi-Currency

Return can be presented in the base currency of portfolio, local currency of assets. Currency return can be presented arithmetically and geometrically.

Reporting periodicity

Report on any periodicity such as: daily, monthly, yearly, since inception and any periods spanning from any dates. Adequate monthly reporting is presented even if portfolios are not evaluated at month-end because it fell on a weekend.

User definable columns

Define any data elements and time period that you want to appear on a report.

Derivative products

Built-in concepts and methodologies specific to derivative products, such as: notional exposure adjustments, cost-of-carry, currency versus asset exposure recognition, pivot rates for currency forwards open/close transactions.

Currency vs asset exposure recognition

Recognize properly the nature of exposures offered by various instruments. For example, foreign equities provide both asset and currency exposures, futures on a foreign market... Read more

Currency vs asset exposure recognition

Recognize properly the nature of exposures offered by various instruments. For example, foreign equities provide both asset and currency exposures, futures on a foreign market index provide asset exposure only and currency forwards provide currency exposure only. Recognizing the type of exposures is imperative to adequate performance attribution decomposition.

Cost of hedging

Show the cost of hedging foreign assets in terms of return and dollar earned. Accounting for cost of hedging is imperative for measuring properly multi-country allocation decisions and currency hedging attribution.

Cost of carry

Compute cost-of-carry for future derivative positions. Performance results are adjusted for cost of carry. This is imperative for proper attribution analysis.

Security Master File information

Import from external sources any security master file information such as issuer, issue, classification code, maturity date, duration, credit rating, sector and inustry. Define any other attributes... Read more

Security Master File information

Import from external sources any security master file information such as issuer, issue, classification code, maturity date, duration, credit rating, sector and inustry. Define any other attributes not available from external sources that you wish to use. These atrributes are used for the purpose of security classification, reporting and computation of performance and attribution results.

Overlay strategies

Report absolute contribution of overlay strategies within portfolios even when absolute return of strategy can not be reported because the strategy is 100% leveraged.

Strategy decomposition

Show performance results by strategies. Very useful for hedge funds where different positions of the same securities are held for different strategy purposes.

Long / Short

Report performance segregating automatically long and short positions.

Maturity

Report performanace by maturity bands. Automatically detect when securities switch maturity buckets. Define maturity bands to reflect the ones used by various fixed income index providers.

TWR & MWR

Report Time Weighted and Money Weighted returns and contributions side by side on the same report for any time periods.

Aggregate portfolio

Construct aggregate portfolios from any number of sub-portfolios by incorporating their holdings and transactions flows or individual security level performance results. Sub-portfolios in different base... Read more

Aggregate portfolio

Construct aggregate portfolios from any number of sub-portfolios by incorporating their holdings and transactions flows or individual security level performance results. Sub-portfolios in different base currencies are properly converted using exchange rates.

Securitized portfolio

Bundle a portfolio, segement of a portfolio or a group of securities into a "synthesized security". For example, bundle Treasury bonds and Credit Default Swaps (CDS) together in order to consider... Read more

Securitized portfolio

Bundle a portfolio, segement of a portfolio or a group of securities into a "synthesized security". For example, bundle Treasury bonds and Credit Default Swaps (CDS) together in order to consider this position as corporate bond exposures. This feature is also usefull in addressing benchmark customization requirements.

Security inclusion

Include any security, group of securities or all securities from other portfolios/benchmarks into aggregate portfolios or customized benchmarks. This feature is very usefull when... Read more

Security inclusion

Include any security, group of securities or all securities from other portfolios/benchmarks into aggregate portfolios or customized benchmarks. This feature is very usefull when customizing benchmarks from security level constituents.

Security exclusion

Exclude any security or group of securities that are considered non discretionary from the performance of portfolios.

Currency redenomination

Handle automatically currency redenomination events such as Euro redenominations, changes in the local currency of assets and base currency of portfolios. Track and report event... Read more

Currency redenomination

Handle automatically currency redenomination events such as Euro redenominations, changes in the local currency of assets and base currency of portfolios. Track and report event dates along with redenomination exchanges rates.

Look-through

Look through pooled fund consituents (instead of a single line position) so that pooled fund assets are propely allocated across sectors and asset classes of the portfolio.