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Performance Engine The Performance Engine calculates portfolio performance measurement and analytics data according to the Global Investment Performance Standards (GIPS) published by CFA Institute. Investment returns are calculated on a daily basis or other specified period using the approved time weighted (modified Dietz with lock points) or dollar weighted methods. Geometric linking is applied as needed for cumulative or periodic performance reporting in daily,weekly, monthly, quarterly, or yearly frequencies over any selected time period, including year-to-date, quarter-to-date, since-inception, and user-selectable date ranges. For detailed analysis of portfolio performance, data is available at multiple attribution levels, including total portfolio, asset class, investment style, sector, and industry. In addition to individual account returns, the engine can also measure performance across groups of accounts, for householding and composite purposes, as well as any number of benchmarks, which may be constructed from individual securities, indices, or custom weighted mixes of securities and indices. The Performance Evaluation Engine uses account valuation, net cash & securities flow, and fee information provided through interfaces to portfolio accounting or back-office systems as well as appropriate security classifications in support of sector/industry, issue type, and style level reporting. In environments where the required inputs are not readily available, the BPC Portfolio Accounting Service may be deployed to provide accurate valuations and transaction characterizations. |
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