Custom Index Manager

Vision like never before – match your decisions with results using in-depth performance attribution measurement against indices and benchmarks.

Our clients
use Custom Index Manager for:

Investortools is used
by industry-leading companies like:

 

Custom Index Manager is used by portfolio managers and quants to prove their story.

 
 

Features

Allocation attribution reporting weighted how you want

Compare duration, maturity, sector or any factor that you want to compare versus the index benchmarks. Weigh your results between the portfolio and the index. Use market value, or duration weights for risk contribution measurements.

 

Illuminate performance with relative value

Look at the performance of different portions of the index over time relative to each other. Use that information to create an under and out-performing list and gold mine the index to ideate for the portfolio manager – fully leveraging this wealth of information.

 
 

Simulations on the index, your portfolio, or both

 

Analyze the Index, your portfolio or both to determine how they compare and perform under certain future market conditions. Results also show what items have more or less value given certain interest rate scenarios.

 

How CIM works for you:

Custom Index Manager is a portfolio risk and total return attribution system. It typically sits alongside Perform, and it also contains individual index bonds. Fixed income index data sets can include Barclays Capital Indices, Bank of America Merrill Lynch Indices, or the Standard & Poor’s Bond Indices. Analytics for the individual index bonds are included.

 

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
  • Examine 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), Bank of America Merrill Lynch Indices, 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.