Professional Documents
Culture Documents
Agenda
(1/3)
Agenda
(2/3)
Agenda
(3/3)
3.6. Conclusion
3.7. What can investment controlling achieve?
3.8. What can investment controlling not achieve?
Compliance
Investment
controlling
Finance
costs/revenues
Performance
monitoring
Reporting
(internal and external)
Forecasts
Processes
Behaviour
Results
Re-balancing
Asset allocation
Portfolio construction
Investment
guidelines
Investment controlling /
performance monitoring
Best practice
Processing
Regulators
Benchmark
Best execution
Investment
guidelines
Aspects of
investment
controlling
Costs / revenues
competitors / peers
Return
(absolute and relative)
Risk
(absolute and relative)
General circumstances
MonitoringMonitoring
of results of
(exresults
-post)
(ex-post)
and of Inputs
snd (ex
of inputs
-ante)(ex-ante)
Performance
measurement
Performance
administration
Performance
reporting
Performance
analysis
Performance
watch list
Portfolio
analytics
Performance
review
Feed
Feed
forward
forward
and
and
feed
feed
back
back
Performance measurement
Performance administration
A c co
Ac
un t A o u n
c
c
A
nt
cou
tB
Composite 1
Account C
Ac
co
A c cou n
A cc o un
tH
A c cou n
Composite 2
un
tE
Ac
tI
tD
co
Composite 3
un
tF
Composite 4
Performance reporting
(1/4)
Performance reporting
(2/4)
Series Type
Inception Date
Reporting Date
Reporting Currency
Market Value (m) End of Period
CHF
84.27
1.67
6.60
8.43
17.98
-12.65
-13.77
-13.70
-2.33
4.05
135
Relative
1.69
7.11
9.58
19.64
-10.46
-11.82
-11.83
-2.46
3.93
-0.03
-0.50
-1.15
-1.66
-2.18
-1.96
-1.87
0.13
0.12
130
125
Indexed Returns
Composite
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
4 Years
5 Years
Since Incep.
17.98
17.98
-35.32
-15.99
-13.46
60.21
21.29
22.50
19.64
19.64
-32.99
-14.47
-11.84
46.07
17.51
26.25
Composite
16.90
22.98
1.06
0.10
2.12
4.69
-0.78
0.03
0.99
0.98
110
105
95
Relative
90
-1.66
-1.66
-2.33
-1.52
-1.62
14.14
3.78
-3.75
Incep
Aug 98
Jun 99
Apr 00
Feb 01
Dec 01
Oct 02
Aug 03
4
3
Benchmark
15.80
20.80
1.24
0.10
N/A
N/A
N/A
N/A
N/A
N/A
Oct 97
2
1
in %
YTD
2003
2002
2001
2000
1999
1998
1997
Benchmark
115
100
120
0
-1
-2
-3
-4
Jan 97
Nov 97
Sep 98
Jul 99
May 00
Mar 01
Jan 02
Nov 02
Sep 03
Performance reporting
(3/4)
60
28
Composite
Benchmark
0
-20
24
5
4
3
2
Se
p0
02
1
0
-1
3
Se
p0
02
01
No
v0
Jan
Ma
r
Jul
99
Ma
y0
8
Se
p9
No
v9
3
Se
p0
No
v0
01
00
02
Jan
Ma
r
Ma
y
99
Jul
Se
p9
-4
No
v9
7
97
Jan
3
Se
p0
02
No
v0
Jan
01
Ma
r
00
Ma
y
99
Jul
-3
0
Se
p9
-2
-10
Jan
Jan
97
-5
No
v0
5
1 Year Information Ratio
Ma
r0
1
99
y0
Ma
Jul
Se
p9
No
v9
97
Jan
3
Se
p0
02
No
v0
r0
1
Jan
y0
Ma
Ma
Jul
Se
p9
14
99
-60
7
16
97
Benchmark
20
-40
Jan
Composite
22
18
10
97
1 Year Volatility
20
No
v9
CHF
84.27
Base Currency
Market Value (m)
26
40
15
1 Year Excess Return
20
Jan
Performance Type
Inception Date
Date
80
No
v9
Benchmark
No. of A/Cs
Composite Code
Performance reporting
(4/4)
Performance Type
Inception Date
Date
25
10
20
Volatility (ann.)
20
Composite
Benchmark
-10
-20
Composite
15
Benchmark
10
5
-30
-40
0
1 Month 3 Months 6 Months
1 Year
3 Years
2003
2002
1 Year
2 Years
3 Years
-1.5
3
2
1 Year
3 Years
2003
2002
-0.3
-0.4
-0.5
-0.6
-0.7
3
6
Months Months
2001
-0.2
-2
-2.5
2002
-1
2003
-0.1
-0.5
Tracking Error (ann.)
CHF
84.27
30
30
1 Month
Base Currency
Market Value (m)
-0.8
-0.9
1 Year
2 Years
3 Years
2003
2002
2001
1 Year
2 Years
3 Years
2003
2002
2001
Performance analysis
(1/11)
Performance analysis
(1/11)
Status quo /
best practice
time
Risk
Derivatives
Benchmark
Factors
"correct" return
methodology
Stocks
From
quarterly to
monthly
Return
Absolute
profit
Portfolio view
Performance measurement
Sectors
Asset classes
/ countries
From monthly
to daily
Performance attribution
Performance analysis
(2/11)
Performance Attribution
absolute
Portfolio
Sectors / Instruments
e.g. countries, industries,
currencies, stocks
relative
Factors
e.g. fundamental, stock
specific
Benchmark
Decision Makers
e.g. client, consultant,
portfolio manager, research
team
Contributions
Return
Risk
ex post
ex ante
Investment Management
Activities
e.g. benchmark, strategic
and tactical asset allocation
Performance analysis
(3/11)
Bonds
etc.
USA
Europe
etc.
Financials
Telecom
etc.
AAA
AA
etc.
Value
Growth
etc.
USD
JPY
etc.
Asset allocation
Stock picking
etc.
Benchmark
Benchmark
SAA
SAA
TAA
TAA
Stock picking
Stock picking
Performance analysis
(4/11)
Performance
attribution
Return attribution
Risk attribution
i.e.
Groups of FT Sector
Basic Industries
Cyclical Consumer Goods
Cyclical Services
Finance
General Industries
Information Tech
Non Cyclical Cons Goods
Non Cyclical Services
Resources
Utilities
Other Assets
Total
Asset
Allocation
0.07%
-0.21%
-0.05%
0.00%
0.10%
0.23%
-0.28%
-0.38%
-0.22%
-0.13%
0.08%
-0.79%
i.e.
Stock
Selection
-0.04%
0.26%
0.00%
0.11%
-0.19%
-0.36%
-0.15%
-0.13%
-0.02%
0.00%
0.00%
-0.52%
Interaction
0.01%
-0.11%
-0.09%
0.00%
-0.14%
0.06%
0.01%
0.00%
0.00%
-0.01%
0.01%
-0.25%
Total
Benchmark
Portfolio
Tracking Error
0.04%
-0.06%
-0.13%
0.11%
-0.22%
-0.07%
-0.41%
-0.51%
-0.24%
-0.14%
0.09%
-1.56%
Number of Securities
99
576
15.76%
2.35%
Number of Currencies
15.53%
1.40%
- Region
12.40%
0.19%
Portfolio Value
Portfolio
227'447'728
15.76%
15.31%
- Country
9.06%
1.13%
15.53%
15.20%
- Industry
3.07%
0.72%
2.72%
1.83%
- Fundamental
1.10%
0.48%
2.35%
- Currency
4.36%
0.52%
- Covariance (+/-)
4.93%
0.60%
2.72%
1.89%
10'878'425
0.98
15.59%
15.31%
1.02
2.22
2.37
38.19
29.42
5.34
4.68
Performance analysis
(5/11)
Portfolio
Return
Attribution Effects
Attribution by MSCI
Sector
Attribution by 5 World
Regions
NAME (ID)
Currency
CHF
Asset Allocation
-0.96%
-1.01%
PM
AMPE
Return Portfolio
18.28%
Stock Selection
0.13%
-0.59%
BENCHMARK
Return Benchmark
19.60%
Interaction
-0.49%
0.28%
PERIOD
31.12.2002 - 31.12.2003
Return Relative
-1.32%
Total
-1.32%
-1.32%
Portfolio
Benchmark
67
8
84'334'091
18.81%
18.66%
2.39%
2.57%
3'570'469
0.98
18.64%
1.02
1.86
28.39
2.58
1'550
0
In
fo
rm
To
ta
l
as
h
C
ie
s
tili
t
U
Te
le
at
io
n
co
m
Se
rv
ic
es
M
at
er
ia
ls
gy
ol
o
ar
e
In
du
st
ria
ls
er
S
ta
pl
e
na
ry
er
D
is
C
on
s
um
C
on
su
m
cr
et
io
tili
t
U
on
su
m
er
C
-1.5%
ia
ls
-1.0%
-1.5%
as
h
-1.0%
ie
s
-0.5%
Di
sc
re
Co
tio
ns
na
um
ry
er
St
ap
le
s
En
er
gy
Fi
na
nc
ia
ls
He
al
th
C
a
In
re
fo
In
rm
du
at
st
io
r
i
n
al
s
Te
ch
no
lo
gy
Te
M
at
le
er
co
ia
m
ls
m
Se
rv
ic
es
0.0%
-0.5%
ea
lth
0.5%
0.0%
Stock Selection
1.0%
0.5%
Fi
na
nc
1.5%
1.0%
En
er
gy
Asset Allocation
1.5%
Te
ch
n
(Average over-/underweight)
Stock Selection
0.6%
0.4%
18.21%
18.18%
1.02%
0.2%
0.0%
-0.2%
-0.4%
-0.6%
-0.8%
18.21%
-1.0%
-1.2%
Asia ex Japan
2.01
26.00
2.56
Europe
Japan
North America
Cash
Total
Important Remark: Differences between attribution returns and the returns of the official performance measurement tool are usual. They can be
explained by the two systems using two different methodologies and by intraday trading gains or losses. Above figures are subject to future changes.
Performance analysis
by MSCI Sector
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Telecomm Services
Utilities
Cash
Total
(6/11)
Absolute Absolute
PF Return BM Return
15.58%
23.07%
7.74%
5.09%
13.30%
10.51%
24.94%
23.90%
7.31%
9.60%
24.08%
34.93%
32.79%
25.06%
30.33%
23.11%
12.64%
15.02%
15.45%
34.09%
0.00%
8.94%
19.60%
18.28%
Difference Difference
PF-BM BM-BM Tot
3.47%
-7.49%
-14.51%
2.65%
-6.30%
-2.79%
5.34%
-1.04%
-12.30%
2.29%
4.48%
10.85%
13.19%
-7.73%
10.73%
-7.22%
-6.96%
2.38%
-4.15%
18.64%
-19.60%
8.94%
0.00%
-1.32%
Import remarks:
- The weight numbers gives an overview of the average weight invested in the different groups (e.g. sectors) with daily weights averaged over the chosen period.
- The absolute return numbers give an overview of the group's absolute performance (e.g. sector) within thc chosen time period (portfolio and bechmark)
- The difference PF-BM compares the group's performance of the portfolio to the group's performance in the benchmark within the chosen time period.
- The difference BM-BM Tot compares the group's performance in the benchmark with the performance of the total benchmark within the chosen time period.
Please note that cash is included in the relevant country or regional groups and shown as "other assets" else (e.g. in sectors). Concerning derivatives, only futures are split up at the
moment; derivatives (call or put options) are not yet included. Moreover, illiquid securities as private placements are not yet taken into account.
Performance analysis
by MSCI Sector
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Telecomm Services
Utilities
Cash
Total
(7/11)
Asset
Allocation
0.00%
0.05%
0.00%
-0.10%
0.20%
-0.04%
-0.21%
0.01%
-0.11%
0.02%
-0.78%
-0.96%
Stock
Selection
-0.86%
0.28%
-0.19%
-0.21%
0.35%
0.99%
-0.91%
-0.28%
0.21%
0.74%
0.00%
0.13%
Interaction
Total
-0.89%
0.36%
-0.21%
-0.30%
0.52%
1.07%
-1.11%
-0.35%
0.02%
0.35%
-0.78%
-1.32%
-0.03%
0.03%
-0.02%
0.01%
-0.03%
0.12%
0.01%
-0.08%
-0.08%
-0.41%
0.00%
-0.49%
Import remarks:
Asset Allocation Effect is the portion of portfolio excess return that is attributable to taking different group bets from the benchmark. An overweight of a group
(e.g. SPI sector "Chemicals" ) that outperforms the whole benchmark (e.g. SPI) will generate a positive asset allocation effect.
Security Selection Effect is the portion of portfolio excess return attributable to choosing different securities within groups from the benchmark. An overweight
of a well-performing security (e.g. Novartis) in comparison to its group benchmark (e.g. SPI sector "Chemicals") will generate a positive stock selection effect.
Interaction Effect is the portion of the portfolio excess return which is not attributable to asset allocation not stock selection.
Performance analysis
by 5 World Regions
Asia ex Japan
Europe
Japan
North America
Cash
Total
(8/11)
Absolute Absolute
PF Return BM Return
12.52%
31.51%
25.40%
24.36%
20.16%
21.75%
15.99%
16.38%
8.94%
0.00%
18.28%
19.60%
Difference Difference
PF-BM BM-BM Tot
11.91%
-18.99%
4.76%
1.04%
2.15%
-1.59%
-3.23%
-0.39%
-19.60%
8.94%
0.00%
-1.32%
Import remarks:
- The weight numbers gives an overview of the average weight invested in the different groups (e.g. sectors) with daily weights averaged over the chosen period.
- The absolute return numbers give an overview of the group's absolute performance (e.g. sector) within the chosen time period (portfolio and bechmark)
- The difference PF-BM compares the group's performance of the portfolio to the group's performance in the benchmark within the chosen time period.
- The difference BM-BM Tot compares the group's performance in the benchmark with the performance of the total benchmark within the chosen time period.
Please note that cash is included in the relevant country or regional groups and shown as "other assets" else (e.g. in sectors). Concerning derivatives, only futures are split up at the
moment; derivatives (call or put options) are not yet included. Moreover, illiquid securities as private placements are not yet taken into account.
Performance analysis
by 5 World Regions
Asia ex Japan
Europe
Japan
North America
Cash
Total
(9/11)
Asset
Allocation
-0.10%
-0.04%
-0.09%
0.01%
-0.78%
-1.01%
Stock
Selection
-0.56%
0.34%
-0.16%
-0.20%
0.00%
-0.59%
Interaction
0.30%
-0.07%
-0.08%
0.14%
0.00%
0.28%
Total
-0.36%
0.23%
-0.33%
-0.05%
-0.78%
-1.32%
Import remarks:
Asset Allocation Effect is the portion of portfolio excess return that is attributable to taking different group bets from the benchmark. An overweight of a group
(e.g. SPI sector "Chemicals" ) that outperforms the whole benchmark (e.g. SPI) will generate a positive asset allocation effect.
Security Selection Effect is the portion of portfolio excess return attributable to choosing different securities within groups from the benchmark. An overweight
of a well-performing security (e.g. Novartis) in comparison to its group benchmark (e.g. SPI sector "Chemicals") will generate a positive stock selection effect.
Interaction Effect is the portion of the portfolio excess return which is not attributable to asset allocation not stock selection.
Performance analysis
(10/11)
Portfolio
Benchmark
Portfolio
Tracking Error
Number of Securities
67
1'550
18.81%
2.57%
Number of Currencies
18.66%
1.50%
- Region
11.50%
0.18%
Portfolio Value
84'334'091
18.81%
18.21%
- Country
6.98%
0.83%
18.66%
18.18%
- Industry
2.64%
0.77%
2.39%
1.02%
- Fundamental
1.44%
0.78%
2.57%
- Currency
8.42%
0.27%
- Covariance (+/-)
9.35%
0.52%
2.39%
2.08%
3'570'469
0.98
18.64%
18.21%
Predicted Beta
1.02
1.86
2.01
28.39
26.00
2.58
2.56
Performance review
Product
Accounts
Relative
return
Riskadjusted
return
Client
Risk
Ex-ante
risk limits
Clients at
risk
Escalation process
decides on corrective
measures
Performance review
Where does the return come from or from which decision does
Re-balancing
Asset allocation
Portfolio construction
Investment
guidelines
Investment controlling /
performance monitoring
6
Produced by: Dr. Stefan J. Illmer
Date: April 2010 Slide 33
1.5%
1.0%
0.5%
0.0%
-0.5%
-1.0%
-1.5%
31.01.2003 28.02.2003 31.03.2003 30.04.2003 31.05.2003 30.06.2003 31.07.2003 31.08.2003 30.09.2003 31.10.2003 30.11.2003 31.12.2003
Total Monthly
0.04%
0.53%
-0.57%
0.49%
-0.99%
-0.08%
0.49%
-0.06%
-0.83%
-0.15%
-0.14%
-0.12%
0.02%
-0.11%
-0.63%
-0.12%
0.01%
0.05%
-0.15%
-0.17%
-0.07%
-0.02%
-0.14%
0.08%
0.47%
0.47%
-0.51%
1.23%
-1.00%
-0.05%
0.41%
0.03%
-0.67%
0.04%
-0.05%
-0.18%
Interaction Monthly
-0.31%
0.04%
0.05%
-0.11%
0.13%
-0.04%
0.03%
0.06%
0.01%
-0.12%
-0.07%
-0.04%
Total Cummulated
0.04%
0.53%
-0.04%
0.49%
-0.17%
-0.25%
0.26%
0.21%
-0.80%
-0.98%
-1.12%
-1.32%
-0.12%
-0.10%
-0.21%
-0.80%
-0.52%
-0.54%
-0.51%
-0.70%
-0.90%
-1.03%
-1.05%
-0.96%
0.47%
0.91%
0.40%
1.66%
0.63%
0.62%
1.08%
1.16%
0.32%
0.41%
0.36%
0.13%
Interaction Cummulated
-0.31%
-0.28%
-0.23%
-0.37%
-0.28%
-0.33%
-0.31%
-0.25%
-0.22%
-0.36%
-0.43%
-0.49%
20%
15%
10%
5%
0%
Jan 03
Feb 03
Mrz 03
Apr 03
Mai 03
Jun 03
Jul 03
Aug 03
Sep 03
Okt 03
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Telecomm Services
Utilities
Other Assets
Nov 03
Dez 03
2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
Jan 03
Feb 03
Mrz 03
Apr 03
Mai 03
Jun 03
Jul 03
Aug 03
Sep 03
Factor Specific
a) Region
b) Country
d) Fundamental
e) Currency
f) Covariance
Stock Specific
Okt 03
Nov 03
Dez 03
c) Industry
Conclusion
(1/2)
Conclusion
Biggest return contributions
Overweight cash
Stock selection
Consumer discretionary
Information technology
Industrials
Utilities
Interaction utilities
Biggest relative risk contribution
Stock specific risk
(2/2)
=> - 0.78%
=>
=>
=>
=>
=>
- 0.86%
- 0.91%
+ 0.99%
+ 0.74%
- 0.41%
=>
2.08%