Integrated’s platform for performance reporting and evaluation produces high-quality performance reports for portfolios, asset class segments, and portfolio/asset class composites.
The report offers:
• Accurate time-weighted and dollar-weighted rates of return for different time periods.
• Risk on an absolute and a market-relative basis.
• Current and historical asset class and sub-asset class allocations.
• Benchmark and peer group comparisons of performance and risk.
• The performance effects of investment managers’ asset class and security selection decisions.
Integrated’s reporting system provides attribution analysis, which answers the question: What investment decisions have positively (or negatively) influenced performance? We can provide performance attribution from various perspectives. On a total portfolio or individual manager level, our attribution can identify performance due to:
• Index return, which is based on the Plan’s or manager’s target asset allocation and measures the gain/loss due to the selection of the targeted asset allocation.
• Asset allocation decisions, which measure gains/losses due to active asset allocation decisions that deviate from the target allocation amount.
• Sector selection, which measures gains/losses from over/underweighting economic sector.
• Security selection, which measures gains/losses due to security selection.
Integrated can calculate portfolio characteristics on the total portfolio as well as individual holdings. Characteristics include: sector weightings, dividend yields, price-to-earnings and price-to-book ratios, earnings growth rates, etc. For international managers, we can review the country weightings across the portfolio relative to their benchmarks.
We also monitor a portfolio manager’s style. Zephyr’s Style Advisor uses multiple linear regressions on a manager’s return series to determine what style factors influenced performance. Equity styles that are monitored include all capitalization sizes, value-oriented managers and/or growth-oriented managers.
For bonds, the style can be identified through credit quality, maturity, yield curve structure, etc. International styles can be differentiated by geographic region, developed vs. emerging markets, and capitalization, etc. The outcome would reflect where an individual manager has added/not added value in the areas of asset allocation, sector selection, and security selection.