We specialize in building large-scale multi-asset fund Performance and Risk reporting infrastructures.  The infrastructure is designed to support the generation of a variety of performance and risk reports that are customized to each client’s specifications.
Following are some of the main attributes of this infrastructure:

• Reports can be scheduled: daily, weekly, monthly, quarterly and yearly.
• Infrastructure allows easy addition or deletion of funds from the reporting schedule.
• Reports can be automatically emailed to pre-defined distribution lists.
• Reports can be easily retrieved from an internal reporting site that authenticates the user for access to a fund and a type of report.

• The infrastructure is flexible and scalable to handle a variety of custom reports and large number of funds.
• Customized reports can be generated as an Excel or PDF document.

 

Risk Reports

The risk reports are structured to encompass the following areas of information:

• Predicted Tracking Error and Risk Decomposition: Risk decomposition that breaks out the different components of risk and calculates the percentage contribution to each of the components like volatility, momentum, asset selection, etc.
• Market contribution to Risk: Calculates stock level contribution to overall risk and marginal contribution to risk.
• Predicted Beta: Calculates fund Beta and breaks out Beta by long/short for the relevant strategies.  Also calculates the stock level Beta to the assigned market (benchmark).
• Leverage.
• Value at Risk (VaR): At specified confidence levels and time horizons.
• R-Squared.
• Risk Factor Exposure: Weighted average risk factor exposure for the model, broken out by long/short fund for relevant strategies.
• Fundamental characteristics of the fund by factor for market capitalization, Price/Earnings, Short Interest, etc. broken out by long/short fund for relevant strategies.
• Fund, Benchmark and Active weight exposure for each of the GICS classification groups, for each Region broken down by country, for market capitalization buckets and for any other fundamental factor or rating measure buckets and broken out by long/short components for relevant strategies.

 

Performance Reports

Following are some of the main attributes of the best of breed Historical Multi-factor Performance Attribution module:

• Run multi-asset performance & attribution reports for a range of periods.  For instance: Prior Day, WTD (week to date), MTD, QTD, YTD, Rolling 12 Month, Rolling 3 Month, etc.
• Generate fund vs. benchmark, fund vs. fund, and benchmark vs. benchmark attribution reports.
• Calculation of cumulative transaction based fund, benchmark, and relative performance at both the portfolio and component level.
• Calculation of realized Tracking Error (Volatility), Realized Beta Information Ratio, Fund/Benchmark Sharpe Ratio, Batting Average, and Worst 3-Month.
• Capture of Daily return (long/short for relevant strategies), Turnover, Contribution to Return and Exposure by GICS, Region, Country and Fundamentals buckets.  Ability to then graph exposure vs. contribution through time.
• Comprehensive active return and risk attribution for Brinson-type market effects and investment decisions regarding on Model Risk factors, GICS/ Region/Country classifications and Market Capitalization, Duration/OAS, Fundamental factor and Rating measure buckets. 

 

Combined Risk and Performance Reports

Components from the Risk and Performance attribution reports can be combined to create detailed review or analysis reports.

 

 

The attributes above are by no means exhaustive and additional information can be customized based on client requirements.