Performance Attribution

As a robust performance attribution module embedded within a flexible investment management platform, Black Mountain provides fund managers and investors with the necessary tools to evaluate the outcomes of different investment strategies.

Features

  • Calculates daily performance for each asset class, sector, and composite
  • Allows comparison between composites and indices, and across any number of dimensions
  • Geometrically links returns in real-time to allow custom date range or period analysis
  • Provides key metrics such as arithmetic/geometric excess return, contribution and active return, allocation, selection and interaction effect, etc.
  • Provides out of the box support for slicing by asset, issuer, strategy, asset class, Moody’s/S&P industry and rating, and country
Available for CLO/Loan Managers, Fixed Income Managers and Alternative Asset Managers.

Key Benefits

Combined with Black Mountain’s intuitive reporting tools, investment managers can create personalized performance attribution views and reports on demand.

Calculations

  • Provides GIPS compliant time-weighted returns
  • Employs Modified Dietz method using daily valuations, accrued interest and cash flows
  • Handles nuances of loans, including paydowns before settlement, unfunded positions, outstanding adjustments, refinances, and other activities not handled by traditional attribution systems

Attribution

  • Follows the Brinson-Fachler Method
  • View metrics, such as:
    • Arithmetic/geometric excess return
    • Contribution and active return
    • Allocation, selection and interaction effect
    • FX impacts to returns

Segments

  • Compare performance across any number of dimensions
  • Configurable to support sector-based attribution across any security master segment
  • Compare results to any index

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Global CLO managers use Black Mountain’s solutions

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CASE STUDY:

“Black Mountain’s solution provides a window on holdings across the entire $142 billion portfolio and will prove to be instrumental in improving our ability to make decisions and invest with the most accurate data at our fingertips.”

- Paul Thompson, COO, Barings

“While our PMR quarterly report is done in the same way as before we got Black Mountain’s solution, we save inordinate amounts of time when generating portfolio-wide reports because they are now automated. We have more controls around the accuracy of our data. What took hours and hours to complete before now takes very little time.”

- Brian Forde, Vice President, Newstar Financial, INC.

Wasmer, Schroeder & Company used Black Mountain’s solutions to achieve efficiency gains of 80% for its administrative team and 20% for its portfolio managers and traders.

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