Custom Index Manager | Fixed Income Attribution & Performance Software

The Custom Index Manager is a portfolio risk analysis and total return attribution system, which contains all the bonds in the Barclays Capital Indices or the Standard & Poor’s Municipal Bond Indices. Custom Index Manager enables fixed income managers to analyze their portfolios’ return by metrics such as structure, sector, and security selection.

The Custom Index Manager software comes already integrated with with the Perform portfolio management system. Leveraging this integration, users can immediately analyze their portfolios without manipulating data or spreadsheets. The video and text below explain several additional market uses for the fixed income index analysis features Custom Index Manager provides.

Index Analytics

Using the actual index bond characteristics delivered in Custom Index Manager, managers can analyze the component details of an index or sub-index. Other important uses of Custom Index Manager include:

Model future index returns by simulating yield curve changes vs. your portfolio
Create custom index definitions to match investment parameters and constraints
Generate reports and graphs analyzing index structures and index subsets
Calculate returns which geometrically link sub-period performance results

Performance Measurement and Allocation Attribution

Custom Index Manager software incorporates advanced return attribution, both on a portfolio and an index. This attribution analysis enables users to:

Attribute excess returns to various factors (e.g. duration, sector, quality, etc.)
Evaluate ex-post effectiveness of portfolio bets and allocation decisions
Parse component contributions of index and portfolio returns
Isolate the return effects of futures and swaps

Data Transparency

The Custom Index Manager provides transparency to the Barclays Capital Indices (fixed income) and over 50,000 bonds in the Standard & Poor’s Municipal Bond Index. Index bond pricing history and security descriptions are included. Index price history includes both beginning and end-of-month (with more frequent pricing available.) For information on S&P or Barclays bonds availability, contact Investortools.

Reporting Flexibility

Leveraging the included index bonds, Custom Index Manager allows users to aggregate index data by varietal metrics such as maturity, ratings quality, modified and option-adjusted (effective) duration, or tax-exempt state – in combination with other components such as yield and market return. The built-in reporting tool enables users to develop non-standard reports and graphs as needed to suit their individual analysis.

Features at a Glance

Total Return Attribution

The Custom Index Manager software allows attribution of your portfolio’s bonds and history versus the Barclays fixed income family of indices or the Standard & Poor’s Municipal Bond Indices - depending on optional client licensing. An Allocation Attribution feature compares... Continue

Visibility to Index Bonds

We provide complete transparency to the actual bonds that constitute the Barclays family of fixed income indexes or Standard & Poor’s Municipal Bond Indices (depending on licensing.) Over 50,000 index bonds are potentially available with security descriptions and end-of-month pricing, including history... Continue

Create Your Own Custom Indexes

An unlimited number of custom indices can be created from the bonds in the main Standard & Poor’s or Barclay’s Municipal Bond indices. These contain over ten years of index and bond-price history... Continue