Performance Measurement Tools

One of the defining factors in the selection of a portfolio management system is the degree it enables a manager to set and meet performance goals, while also staying within investment compliance and portfolio-modeling guidelines. Doing this effectively requires seeing where your investment management policies either succeed or fall short of expectations. IMS’ performance-measurement tools allow for quick response to changing market conditions so that intended goals are met swiftly. IMS addresses performance measurement in the following ways:

Fully GIPS Compliant

IMS can help you maintain full GIPS compliance. Many return analytics are readily available, including Time weighted (Modified Dietz) rate of return. Returns can be calculated either net or gross of fees, using trade- or settlement-date accounting, with and without accrued receivables and payables, and with or without cash.

Performance Measurement Software

IMS can calculate many other return analytics.  Performance measurement tools that support reporting and decision making include:

• Many price sensitivity, yield, and return measures.
• Performance and analytics reported over any period or periodicity.
• Asset allocations and returns broken out by sector, asset type, portfolios, industry, or any desired group.
• Portfolio contribution and limited portfolio attribution.
• Creating and tracking composites.
• Returns by composite.
• Risk analysis.
• Blended rates.
• Income and gain recognition (with various costing alternatives).
• Various ways to value your positions, including mark-to-market. With private placements, mark-to-market assets by discounting cash flows at the appropriate rates from a yield curve.

Analytics

Analyze your positions in many different ways and control how these analytics work. IMS supports the contribution to overall returns—perhaps the most common form of attribution—as well as multi-currency attribution. Compute returns in various currencies. Perform asset allocation using unlimited categories.

Yield Curve Analysis:

Integrated yield-curve analysis allows portfolio managers to analyze a position and/or portfolio in relation to various yield curves. With IMS, performing yield-curve analysis is simplified because portfolio data does not need to be offloaded onto a third party system; the required yield curve data need only be brought into the system from an external source. Users can perform various spread and valuation analysis. Users can maintain many yield curves by specifying different spreads (parallel or non-parallel) from the original yield curve.