OVERVIEW
ATTRIBUTION
RISK EXPOSURE
INTERNET ACCESS
Performance Diagnostics
The Compass performance reporting system creates detailed reports that measure manager performance against the objectives laid out in the client's Investment Charter. These objectives are expressed in terms of absolute, benchmark relative and risk-free excess returns. In addition, these objectives are then consistently rolled up and applied at the asset class and total portfolio level. Thus, clients are able to identify whether established expectations are being met by individual managers, asset classes and/or the entire portfolio, and to focus efforts on the portion of the strategy that needs the greatest attention.
Usually a single publicly available index. The “Market” represents a passive investment that requires no asset allocation or manager selection decisions from the investor.
This is the return attributable to the decision to target specific markets. It is calculated as the difference between the portfolio's benchmark return and the Market Return.
This is the return attributable to the decision to deviate allocations from Policy. It is calculated as the difference between the individual manager policy returns, weighted by actual allocation, and the portfolio's benchmark return.
This is the return attributable to the decision to invest with active managers. It is calculated as the difference between the individual manager returns, weighted equally within each asset class, and the individual manager benchmark returns, weighted by Actual Allocation.
This is the return attributable to the decision to not allocate assets equally among managers within each asset class. It is calculated as the difference between the total portfolio return, without currency effects, and the individual manager returns, weighted equally within each asset class.
This is the return attributable to the decision to invest in managers denominated in other currencies.
The Attribution Solution
Reporting on the performance of various segments of your portfolio against rolled-up benchmarks is a great start, but at Compass we’re interested in quantifying the impact that your portfolio management decisions (and our recommendations) have on your performance. That’s why we developed a custom performance attribution system designed specifically for funds of funds management.
Our system decomposes a portfolio’s returns into six categories over various time periods and then calculates a probabilistic measure to indicate whether each category appears to be the result of skill or luck. This let’s us know which facets of portfolio management are paying dividends and which ones have been detracting from performance. Armed with this knowledge, a client can then adjust their strategy and portfolio appropriately.