Performance Attribution Solutions:

  • Verification of completeness in your algorithms
  • Report testing and validation
  • Stress testing of changes in the yield curve, spreads and FX
  • Assessment and analysis of outputs
  • Customized reports to accommodate multiple interfaces and data sources

 

Performance Measurement Solutions:

  • Independent evaluation of your performance analytics
  • Historical total return analysis: comparing monthly returns to trailing 3-, 5-, and 10-year horizons
  • Evaluation of comparative statistics such as average total return, return distributions, standard deviation
  • Benchmark comparisons
  • Geometric Models/Logarithmic Linking
  • Review of traceability in your system

 

Performance for Accurate Client Reporting and Informed Decision Making

Our knowledgeable consultants bring a detailed understanding of all asset classes—how the instruments trade, what data is required, whether the analytics look reasonable—and will work with you and your team to ensure streamlined data integration with robust testing and validation. 

We leverage our years of experience in working with multiple asset classes, security attributes, data & data feeds and the unique nuances of specific performance systems. 

Portfolio Managers, Risk Managers, Developers and Compliance teams work with IMP to: 

  • Explain model results to help internal teams accurately interpret the data
  • Ensure that performance tools are used correctly
  • Verify that stress tests and other model settings have been configured in a standard manner
  • Identify errors in manual processes and create proper workflows in a new application
  • Select the best application for your needs

System Expertise: Barclays POINT®, Bloomberg PORT, Zephyr, FINCAD®, SS&C Sylvan, RiskMetrics®, YieldBook