Opturo has developed a suite of performance products with a view to solving all the performance needs of an asset management firm.  Our performance products are geared to meeting the range of requirements posed by the front office, the back office, and the marketing department.

In particular, to compare fund performance with benchmark performance, Opturo improves upon the modified Dietz approach to the calculation of daily, component level trade-inclusive returns and enhances the Brinson model of performance attribution by creating a unified bespoke attribution analysis covering both equity and fixed income instruments. It addresses all standard attribution components, such as Asset Allocation, Sector Allocation, Industry Allocation, Country Allocation, Currency Allocation, Duration Selection, Convexity Selection, Capitalization Selection, Issue Selection (otherwise called Instrument or Stock Selection), trade effects etc., in a manner that insures that they are all evaluated in a mutually consistent and economically coherent manner.

Click here to read how Opturo differentiates itself.

 

VIA: Performance Attribution

VIA offers the Industry-first Rapid Deployment (Plug and Play) Performance and Attribution Solution. Using this solution, the system can be quickly configured to obtain data from multiple data sources for analysis. For instance, holdings or transaction data can reside in text (custodial files) or Excel and the market data, benchmark holdings and corporate actions can reside in a separate relational database (accounting system). The system will import, scrub, transform and analyze (performance and attribution) on-the-fly. Provides reliable results with the quickest implementation.  Clients can have comprehensive in-house performance & attribution capability in matter of days or weeks instead of months or years.  Performance (Security level and Rollups) & Attribution results can be exported to a variety of custom reports in PDF and Excel and data warehouses (Oracle, Sybase etc.).

THE OPTURO ADVANTAGE

• Affordable Analytics: The Opturo decision evaluation system can be leveraged, cost effectively, by all asset management firms ranging from the larger retail and institutional to the smaller RIA and Independents. Its best-of-breed analytics explain performance down to the trade/security and decision levels, providing valuable insight to both the firm and its clients. Traditionally, access to such comprehensive analytics has previously been cost prohibitive for smaller firms. Opturo puts the most advanced performance and attribution analysis within the grasp of all investment firms.
• Real-Time Reporting: Option to have any and all stored or currently viewed reports updated as external market data, holdings and trade data change, supporting any period from any specified start date to any close date or to the current moment. E.g. Date-To-Time Performance and Risk Attribution from the third quarter of last year to the current moment using up-to-the-moment prices and positions. It interfaces with various real-time market data providers including Bloomberg® (Terminal and server products), Interactive Data®, Reuters®, Yahoo® Finance and Google® Finance.
• Carve-out Performance: Can calculate the weights and returns for each defined carve-out and its dedicated cash bucket, for use in GIPS compliant calculations. Click here for more information.
• Fund of Funds: Ability to generate look-through performance & attribution reports for Fund of Funds portfolios with Mutual Funds, ETF’s and Derivatives. Analyze attribution and contribution across multiple decisions and segments including Sector, Industry and Region. Click here for more information.
• Rapid Deployment: Opturo’s VIA: Performance & Attribution product is the world’s first plug & play performance and risk attribution solution. It can be uniquely deployed to calculate accurate security level performance using holdings or transactional level data from multiple sources including Text, Excel and Relational Databases. It can be directly deployed by Investment firms to calculate accurate Follow-The-Money (FTM) component-level performance and produce a unified, consistent, comprehensive and detailed performance and attribution analysis and corresponding reports using transaction data from multiple brokerage platforms or multiple custodian data files.
• Value Attribution: In perfect parallel to performance and risk attribution, which calculate the effects of each (kind of) investment decision on the active return and active risk of the fund over combinations of multiple periods, Opturo also calculates the effects of these exact same decisions on the active P&L (gain/loss) in dollars (or in any base currency). For example, if imposing a different average market cap on the tech sector of a fund than that imposed by the benchmark was one of the decisions that constructed the fund, and caused the active return and the information ratio to increase by calculated amounts, then Value Attribution assesses the amount by which that same investment decision caused the active gain, in dollars, to increase. So Opturo’s Value Attribution report might show that the market cap decision in technology gained the fund $2M more than the benchmark. Then, the total of all the value attributes, measured in dollars, equals the amount by which the fund’s P&L was greater than the P&L of the benchmark with the same external cash flows during the period.
• Exact Performance: Built upon daily, component-level, multi-currency returns for both longs and shorts. Includes intra-day transactions, corporate actions, over-night cash flows and tax reclaim to provide accurate weights and returns for performance reporting and attribution.
• Multi-Asset: Comprehensive and mutually consistent equity and fixed income attribution.
• Portfolio-Specific Attribution Models: Implementation of both arithmetic and geometric attribution models based on the client’s specification of the actual investment decision process. Click here for more information.
• Multi-Factor Attribution: Integrates to all third-party (Northfield®, Barra®, APT®, etc.) and in-house factor-based Risk or Attribution Models. Analyze the factor attribution according to multiple models. Opturo introduces the industry’s first multi-factor attribution product using transaction-based performance measurement to generate the most accurate and reliable factor attribution results.
  Click here for more information.
• Market Definition: Allows definition of a market other than the benchmark for calculation of Beta analytics.
• Multi-period Attribution:Supports Daily and Monthly multi-period attributions. The support for monthly attributions allows firms to run longer-term period attributions when daily holdings do not exist.
• Decision Tree Drill-down Capability: Cascading decision tree also supports custom cascading, variable-period, long and short, balanced equity and fixed income portfolios, while employing exact follow-the-money trade-based returns.
• Risk Attribution: In perfect parallel to performance attribution calculates the effects of each (kind of) investment decision on any defined risk characteristic. For example, if currency hedging was one of the decisions that constructed the portfolio, and caused the active return to change by a calculated amount, risk attribution assesses the amount by which that same investment decision caused the information ratio to change.
• Open System Design: Enables customization to meet client operational and reporting requirements.
• Time-series Data Visualization: Industry first implementation of true temporal data visualization for in-depth analysis.
• Improved Calculations: All performance and both arithmetic and geometric attribution terms are calculated so as to ensure their economic meaningfulness, avoiding the all-to-common critical calculation problems endemic in popular alternatives.
• Intra-day Trades: Creates correct return series even in the crucial cases where other packages fail, such as for components of portfolios in the prevalent case where there are intra-day trades that settle after the close.
• Alternative Strategies: Comprehensive support for both long only and alternative strategies including market neutral and 130/30. Click here for more information.
• Accruals: Provides their calculation when there is incomplete accrual pricing input data.
• Data Audit: Reports both incomplete input data and performance results outside customizable performance ranges, as a considerable aid for data scrubbing.
• Rapid Deployment: Leverages our proprietary plug & play technology to offer a quick and cost efficient implementation.
• Multiple Modes: The system can run in both Holdings-based and Transaction modes. In the first, holdings and transactions are externally supplied while, in the second, daily holdings are obtained directly from transactions.
• Industry's first Plug & Play Implementation: Innovative architecture offers the rapid deployment of the performance system with little or no implementation costs.

ODIN: Attribution Manager

Opturo® Desktop for Investments (ODIN) offers Attribution Manager a best of breed, comprehensive, low-latency web-based in-house solution geared towards significantly reducing the cost of analyzing portfolio performance while also advancing economic rigor.  It has the design flexibility to analyze portfolio-specific investment processes thus, providing the answers truly appropriate for both the firm and its clients.

THE OPTURO ADVANTAGE

• Exact Performance: Built upon daily, component-level, multi-currency returns for both longs and shorts. Includes intra-day transactions, corporate actions, over-night cash flows and tax reclaim to provide accurate weights and returns for performance reporting and attribution.
• Multi-Asset: Comprehensive and mutually consistent equity and fixed income attribution.
• Portfolio-Specific Attribution Models: Implementation of both arithmetic and geometric attribution models based on the client’s specification of the actual investment decision process. Click here for more information.
• Market Definition: Allows definition of a market other than the benchmark for calculation of Beta analytics.
• Multi-period Attribution:Supports Daily and Monthly multi-period attributions. The support for monthly attributions allows firms to run longer-term period attributions when daily holdings do not exist.
• Decision Tree Drill-down Capability: Cascading decision tree also supports custom cascading, variable-period, long and short, balanced equity and fixed income portfolios, while employing exact follow-the-money trade-based returns.
• Risk Attribution: In perfect parallel to performance attribution calculates the effects of each (kind of) investment decision on any defined risk characteristic. For example, if currency hedging was one of the decisions that constructed the portfolio, and caused the active return to change by a calculated amount, risk attribution assesses the amount by which that same investment decision caused the information ratio to change.
• Value Attribution: In perfect parallel to performance and risk attribution, which calculate the effects of each (kind of) investment decision on the active return and active risk of the fund over combinations of multiple periods, Opturo also calculates the effects of these exact same decisions on the active P&L (gain/loss) in dollars (or in any base currency). For example, if imposing a different average market cap on the tech sector of a fund than that imposed by the benchmark was one of the decisions that constructed the fund, and caused the active return and the information ratio to increase by calculated amounts, then Value Attribution assesses the amount by which that same investment decision caused the active gain, in dollars, to increase. So Opturo’s Value Attribution report might show that the market cap decision in technology gained the fund $2M more than the benchmark. Then, the total of all the value attributes, measured in dollars, equals the amount by which the fund’s P&L was greater than the P&L of the benchmark with the same external cash flows during the period.
• Open System Design: Enables customization to meet client operational and reporting requirements.
• Time-series Data Visualization: Industry first implementation of true temporal data visualization for in-depth analysis.
• Improved Calculations: All performance and both arithmetic and geometric attribution terms are calculated so as to ensure their economic meaningfulness, avoiding the all-to-common critical calculation problems endemic in popular alternatives.
• Intra-day Trades: Creates correct return series even in the crucial cases where other packages fail, such as for components of portfolios in the prevalent case where there are intra-day trades that settle after the close.
• Alternative Strategies: Comprehensive support for both long only and alternative strategies including market neutral and 130/30. Click here for more information.
• Accruals: Provides their calculation when there is incomplete accrual pricing input data.
• Data Audit: Reports both incomplete input data and performance results outside customizable performance ranges, as a considerable aid for data scrubbing.
• Rapid Deployment: Leverages our proprietary plug & play technology to offer a quick and cost efficient implementation.
• Multiple Modes: The system can run in both Holdings-based and Transaction modes. In the first, holdings and transactions are externally supplied while, in the second, daily holdings are obtained directly from transactions.
• Carve-out Performance: Can calculate the weights and returns for each defined carve-out and its dedicated cash bucket, for use in GIPS compliant calculations. Click here for more information.

 

VIA: Ex-post Performance Analytics

Virtual Investment Analytics (VIA) offers the Ex-Post Performance Analytics module, a plug & play performance analytics system.  This system can be used to perform ex-post return and risk characteristics analysis for a given stream of fund, benchmark and market returns.

THE OPTURO ADVANTAGE

• Multi-period Analysis: Supports Daily, Monthly and Annual Return streams.

• Market: Support for the definition of an additional return stream for Beta analytics.
• Flexible Data Inputs: Return streams can be imported from a variety of sources including Relational Databases, Excel and Text.