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Performance measurement & attributionfrançais

Return analysis

RBC Investor & Treasury Services’ proprietary data capture and cleansing process ensures that we provide the most accurate return calculations. Through automated checks and our analysts' proven quality assurance discipline, we validate the accuracy of returns and then compare them against an extensive array of market indices. We can also create customised indices to align with a client’s specific portfolio structure.

Portfolio analytics

Our detailed Portfolio analytics enables you to identify a manager's investment approach by exposing the portfolio's underlying sector, style and risk features. This analysis is used to examine the characteristics of every security in your portfolio, with the results weighted and aggregated to create a comprehensive portfolio profile. You can determine how closely the manager's approach adheres to the assigned mandate, measure consistency of performance over time, and see how the portfolio is positioned relative to its investment policy.

Attribution analysis

Attribution analysis provides a decomposition of a fund's added value in relation to the investment policy benchmark(s). This analysis provides insight into the strengths, weaknesses and consistency of a manager's decisions by clearly identifying the source of the returns generated, whether from asset allocation, security selection, interaction effect or currency effect.

Risk and return analysis

Risk and return analysis enables you to measure whether an asset manager’s choices are within a portfolio's risk mandate. Monitoring the risk profile helps you detect shifts in investment strategy.

Risk and return analysis complements Return analysis by calculating a broad range of risk-adjusted return and loss avoidance measurements including:

  • Value added
  • Tracking error
  • Information ratio
  • Sharpe ratio
  • Semi deviation (downside) return

Universe comparison

RBC Investor & Treasury Services has the largest and most comprehensive warehouse of institutionally managed portfolios in Canada. This market-leading coverage permits us to construct the most complete and representative institutional universes in the industry, divided into two broad categories:

Canadian Plan Sponsor Universes Includes plans that have assets from under $100 million to more than $1 billion; plans with a variety of sponsors, including endowments, universities, foundations and governments; and plans with different investment mandates, including Canadian and foreign assets, equity, balanced and fixed income, and growth or value. Fund Manager Universes

Plans are representative of individual portfolio mandates given to institutional fund managers. These specialised universes are constructed by mandate type and investment style and cover virtually the whole spectrum of institutional mandates awarded to fund managers.

Contact us

For more information on the full range of Risk & Investment Analytics’ products and services, please contact:

North America: Toronto: +1 416 955 5641 Montreal: +1 514 876 2495 Vancouver: +1 604 665 8481

Europe/UK: +352 2605 3335

Asia-Pacific: +61 2 8262 5099