Performance Measurement Analysis
Investment Managers as well as Investors require a thorough analysis of investment returns in order to determine the effectiveness of their investment objectives. Here are the main challenges faced is such analysis, and how these are addressed within our RiskValue system.
What are the main tasks of a performance measurement system?
- Visualization of portfolio performance
- Understanding of the sources of returns
- Evaluation and monitoring of investment objectives
Which are the main challenges faced by such systems?
Numerous challenges of analytical as well as operational nature await system developers aiming to design a portfolio management system capable of addressing the above in a thorough, accurate yet practical manner. Notably, such a system needs to take under account transaction-by-transaction characteristics instead of merely looking at portfolio valuation snapshots.
What features must be covered by a powerful performance management system?
Here are a number of high level features that need to be addressed by a capable system claiming to deal with portfolio performance:
- Multiple calculation models (eg Time-weighted and Money-weighted)
- Drill-down and Roll-up of returns
- Look through (Fund of funds, Benchmarks)
- Multi-manager performance tracking
- Multi-instrument coverage including Equity, Fixed Income, Derivatives, Alternative Investments
- Statistical analysis and ratios
- What-if scenario analysis and back testing of Investment Strategies
- Traceability and Auditing of all figures
How are these addressed by the RiskValue system?
See below our factsheet with more details on relevant features as implemented within our RiskValue system.
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