Performance

Measurement

Performance measurement and performance attribution are important for asset owners and asset managers.

Evaluation: a good analysis of the return is the most important input for assessing and adjusting the investment process and the policy pursued.
Accountability: performance is key in every stakeholder reporting: capital growth of clients, investment capability indicators of the organization and track records for sales & marketing.
Risk and risk budgets: performance is the combination of risk and return. Performance measurement provides insights that are necessary for the assessment and adjustment of allocated risk budgets.
Management and selection of asset manager: for an institutional investor it is essential to have a good understanding of performance figures in order to assess and manage the asset manager.
Ethics: the calculation method and presentation of returns must give a true and fair view of the attractiveness of the investment and/or the expertise in the investment process. There is a need for the measurement and for the presentation of performance to meet certain standards.

Probability has extensive experience in designing, selecting, and implementing performance measurement processes, systems, and reports;
We are involved in the development of the Global Investment Performance Standards;
We support one, multiple, or all phases of the design of the performance measurement process.

Our analysis and ability to assess performance help asset owners and fiduciary managers with evaluations and decisions.

Implementations in systems: Pearl (Ortec Finance), Dimension (Simcorp), Revolution (Statpro), and Alladin (Blackrock) at several top-10 Dutch asset managers.
Establishment of performance governance and ad interim chairmanship of the GIPS committee.
Review performance measurement process and advice for next steps for investment committee reporting, system selection, and embedding ESG.
Readiness check GIPS compliance; follow up on GIPS verifier findings.
Drawing up a policy for the portfolio and benchmark valuation and for the performance reporting of illiquid investments (combined with ad interim chair of the valuation committee).
Z-score analyses and advice on benchmark determination and/or change policy.
Review and improvement of the FTK -reporting, regarding the performance reporting part.