Performance Attribution

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Overview

As a robust Performance Attribution module embedded within a flexible investment management platform, Black Mountain provides fund managers and investors with the necessary tools to evaluate the outcomes of different investment strategies. Analysis can be performed on any security attribute maintained in the system and results can be compared to any benchmark.

Key Features

  • Calculates daily performance for each asset class, sector, and composite
  • Allows comparison between composites and indices, and across any number of dimensions
  • Geometrically links returns in real-time to allow custom date range or period analysis
  • Provides key metrics such as arithmetic/geometric excess return, contribution and active return, allocation, selection and interaction effect, etc.
  • Provides out of the box support for slicing by asset, issuer, strategy, asset class, Moody’s/S&P industry and rating, and country

Key Benefits

Combined with Black Mountain’s intuitive reporting tools, the Performance Attribution solution allows investment managers to create personalized performance attribution views and reports on-demand.

Calculations

  • Provides GIPS compliant time-weighted returns
  • Employs Modified Dietz method using daily valuations, accrued interest and cash flows
  • Handles nuances of loans, including paydowns before settlement, unfunded positions, outstanding adjustments, refinances, and other activities not handled by traditional attribution systems

Attribution

  • Follows the Brinson-Fachler Method
  • View metrics, such as:
    • Arithmetic/geometric excess return
    • Contribution and active return
    • Allocation, selection and interaction effect
    • FX impacts to returns

Segments

  • Compare performance across any number of dimensions
  • Configurable to support sector-based attribution across any security master segment
  • Compare results to any index

Product/Service details

Geographic Availability
Africa, Asia-Pacific, Europe, Middle East, North America, South America