Custom Index Manager
Performance Measurement, Attribution, and Structural Analysis
Used by the largest institutional and SMA money managers in fixed income, Custom Index Manager™ (CIM) is trusted for its peerless ability to run historical and simulated performance, attribution, and related analyses on a truly apples-to-apples basis. Using the same analytics engine and modeling assumptions as your portfolio holdings in Perform, CIM will make you a better presenter of performance and a better-informed money manager.
Real-time performance feedback
Consistently calculated analytics, including option-adjusted measures, streamline direct indexing without introducing residual tracking error. Effortlessly manage both active and passive portfolios and strategies in alignment with benchmarks.
Automatic Risk Management
CIM integrates with Perform for direct or proxied indexing. As the index reprices and rebalances, portfolios and strategies automatically track and adjust in real-time.
Reliable Performance Modeling
Ex-ante tracking error and simulated performance make it easy to understand how portfolios and strategies will behave relative to their benchmark.
Performance Expertly Explained
Investortools offers class-leading attribution, meaning overperformance and underperformance will never be guesswork. Our tools help you to explain insights competently and present them professionally.
Automatic Risk Management
Consistent returns are maintained while dispersion is minimized
Custom Index Manager allows you to link strategy rules and targets to index characteristics for consistent portfolio construction, while being intentionally passive or active to the index. Our tracking error reports will illuminate areas where risk has been taken or can be taken.
Link rules to indices
- Connect portfolio and strategy rules directly to the associated benchmark
- Ensure your rules and targets track automatically, whether your strategy is perfectly passive or intentionally active
- Access dozens of built-in measures and statistics, with the ability to define and customize your own rules and metrics
Use factor-based ex-ante tracking error
- Highlight where risk is actively taken and provide recommendations for increasing or decreasing it
- Measure the variability of projected excess returns by calculating the standard deviation of a portfolio’s predicted excess returns for the upcoming month
- Receive actionable recommendations on how to increase or decrease tracking errors for each measured factor
Allocate based on ex-ante tracking error
- Display selected top-down risk factors for both the portfolio and its benchmark index
- Monitor the expected variability between the portfolio's return and that of its benchmark index
- Calculate tracking errors over a specified period for meaningful and predictive results
- Communicate excess return values-at-risk of 90, 95, and 99 percent confidence levels
Portfolios and Holdings vs. Indices and Constituents
Enhanced insights into portfolio positioning and performance
Depth and breadth of analytic tools provide quick reporting capabilities relative to multiple metrics.
Access internally consistent analytics
- Eliminate bias and residual resulting from inconsistent calculation methodologies
- Utilize the same securities modeling, cash flow modeling, and configuration preferences for both indices and portfolio holdings
- Configure analytic model settings to meet your specific needs
Generate structural comparison reports and graphs
- Organize massive amounts of data quickly for on-the-fly comparison
- Access detailed performance and weighting differences
- Leverage structural relationships to drive portfolio construction and maintenance
Simulate performance
- Explore multiple curve scenarios and adjust spreads for comprehensive what-if analyses
- Run impromptu simulations to compare portfolio performance against indices
- Concisely itemize beginning and ending statistics to demonstrate either instantaneous shocks or multi-month movements
- Illustrate and predict how duration and convexity impacts will vary between the portfolio and the index
Performance Expertly Explained
Confident insights, professional presentation
Portfolios and their benchmarks can be precisely analyzed to reveal a wide range of performance factors, groupings, and weightings. Our attribution reports go beyond measuring excess return—they break down returns by duration, convexity, segment allocation, and individual security selection.
Take advantage of a historical performance center
- Generate highly detailed reports, bar charts, and scatter plots to illustrate total returns and return weights across various factors
- Report returns at the bond, portfolio, composite, index constituent, and index levels
- Configure the distribution of return reports by strategy
Use allocation attribution
- Attribute excess return to configurable segment allocations with top-down performance measurement
- Isolate the impacts of security selection versus segment selection
- Highlight the story of overweight and underweight positions in winning and losing segments
Leverage factor-based attribution
- Attribute total return to parallel, non-parallel, and sector-quality allocation factors with bottom-up performance measurement
- Leverage factor-based attribution methods built with both taxable and municipal fixed-income in mind
- Apply factor-based attribution to both historical and simulated performance
