Finance Forum Germany – Bank & IT - Wegbereiter des Wandels
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GIPS Performance

Standardization and Transparency

 

PERFORMANCE ANALYSIS

PRESENTATION OF PERFORMANCE AS PART OF CLIENT REPORTING

“DRILL-DOWN” WITHIN THE PRODUCT PERFORMANCE IN CARVE-OUTS AND PRESENTATION OF PERFORMANCE CONTRIBUTION



PRESENTATION OF PERFORMANCE AS PART OF THE CLIENT REPORTING.
DETAILED PERFORMANCE AT A PRODUCT LEVEL FOR MARKET, CURRENCY AND INCOME.



Performance Calculation

The central information basis for calculating performance and risk is the transaction-based valuation of a product, calculated using the TWR method (Time-Weighted Rate of Return). All other performance figures, aggregation and attribution are based on these real-time calculated values. Alternatively, the MWR method (Money-Weighted Rate of Return) can also be used to calculate performance.






Product Universe

Product performance is calculated on all gross asset-attributable products. This includes the valuation of stocks, bonds, funds, real estate as well as private equity, derivatives, time deposits and FX hedging contracts.






Performance Contribution

Product performance can either be aggregated along the product tree or any other desired manner. Thus, the performance contribution not only allows a multi level structure by asset class but also by sector, region, currency, rating, and risk class. Thus all conceivable forms of carve-outs are possible.






Composite Calculation

Through a tree structure, portfolios can be summarized in composites. Based on all recorded transactions the composite performance can be recalculated.






GIPS Reporting

KOSMOS meets the requirements of the GIPS 2006 standards and we carefully observe the process of the standardization process of GIPS 2010. In addition, KOSMOS provides a comprehensive solution in order to support the implementation and verification process.