Accurately calculating performance is something which one could reasonably expect a performance system to provide! Many industry systems simply don’t meet that challenge when dealing with security and/or segment level returns, or when complicating factors like leverage, multi-currency, short positions, notional instruments (futures, swaps, currency forwards, etc.), and active trading are introduced into the equation.
Opturo’s Pulse Performance offers accurate performance calculations using TWR and IRR at all levels of a portfolio for any time period. Calculate performance, with or without transactions, at the lowest component level and rollup appropriately to the segment and portfolio level. Calculate performance at the portfolio level, including TWR or IRR.
Pulse Performance can accurately calculate performance to the lowest level your data will allow, which in many cases is the security level. This enables firms to leverage our robust Attribution analytics by comparing security-level fund information with a selected benchmark. However, things like fund of funds structures, portfolios of ETF’s and other bundled instruments like futures, swaps, etc., all may constitute your “lowest level.” When you have transaction data, Pulse Performance can provide you with truly accurate performance at your lowest component level, which will reconcile at the rollup segment and portfolio level. And when trade data is not supplied, Pulse can provide the appropriate buy and hold results.
Perhaps your requirements and/or data availability are strictly at the portfolio level? Pulse Performance also offers the tools necessary to address this more simplified analytical use case. Pulse even uniquely avoids nonsensical IRR results in which the market value of a total portfolio implied by other systems is mistakenly and misleadingly made negative. Data can be aggregated to compare return and ex-post risk statistics across multiple portfolios using TWR and/or IRR calculation methodologies, and reported compared to selected benchmarks.
In this era of increased use of index-linked passive investing, asset managers are under significant pressure to explain their performance. An important first step is to have access to performance analytics which are accurate and truly reflect the economic reality of how your strategy(s) are being managed. This requires a system which is robust in both analytics and data management, and can handle today’s complex world of derivatives and algorithms. Pulse Performance can provide your firm, in conjunction with our Activ Attribution, with a comprehensive platform to meet your needs – regardless of your strategies and methodologies. You should never have to enter a meeting with an investor while being worried whether your analytics reports have the same performance figures as your published returns!
Some enterprises maintain legacy platforms upon which they are heavily invested, and for which the hurdle rate for change is very high. Opturo's modular architecture enables our analytics engines to be licensed in an a la carte fashion, and integrated within legacy platforms. For example, our performance and/or attribution engines could be licensed to replace legacy calculation engines which has trouble dealing with contemporary issues such as notional products and derivatives.