Since 1991, wealth management companies nationwide have trusted First Rate for superior investment performance measurement technology.

There is a wide range of reasons a mutual fund investor can receive performance that differs from the published mutual fund performance. Both taxable and non-taxable investors can receive different performance while investing in the same fund. This paper covers the reasons for these performance differences which include: allocation of shareholder fees, [...]

There are two primary portfolio return measures available to investors to better evaluate investment success. This paper explains the use of time weighted and money weighted returns. Several factors are considered when selecting the appropriate return measure to use including: purpose (what or who is being measured), benchmarks, cash flow control, liquidity, computational considerations and report availability.

Investment professionals need to re-evaluate their use of risk adjusted performance measures in bear markets. Common risk adjusted measures such as the Sharpe ratio or Treynor ratio are more useful for comparative analysis when the excess returns are positive. This paper covers the need for special consideration of these metrics when excess returns are negative as would be expected in bear markets.

When there are significant cash flows resulting in intra-period component re-allocations, the estimated weighted total portfolio return can differ significantly from the weighted average return. This paper examines the sources and magnitude of this error. The results show that the error is significant when there are significant cash flows, returning volatility and a low correlation between component returns.

Automated processing is a requirement to handle the vast amounts of data calculations, and reporting required today. In addressing the expanding reporting requirements, firms have a multitude of choices to make. This paper covers the alternatives in addressing the automation function, as it’s one that all investment firms must confront.

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