This knowledge article outlines the standard operational process for gathering, verifying, and compiling core investment portfolio metrics and exposures on a routine (quarterly/YTD) basis.
1. Data Requirements and Source Identification 🛠️
The first step is to define the exact metrics needed and identify the authoritative system of record for each data point.
| Required Information | System of Record | Reporting Frequency |
|---|---|---|
| Performance Metrics (Quarterly, YTD) | Portfolio Management System (PMS) (e.g., Bloomberg P&L Module) | Quarterly, Monthly (for YTD calculation) |
| Geographic Exposures Breakdown | Risk Management System (RMS) or PMS (Look-Through Reports) | Daily/Current Snapshot |
| Industry Exposures Breakdown | RMS or PMS (Classification Reports using GICS/ICB standard) | Daily/Current Snapshot |
| Investment Strategies Overview | Internal Strategy Memos and Investment Policy Statement (IPS) | As updated (typically quarterly review) |
2. Data Extraction and Compilation Procedure 💾
This stage involves actively pulling the raw data from the designated systems.
2.1 Performance Data Extraction
- Run TWR/MWR Reports: Execute standard time-weighted return (TWR) and money-weighted return (MWR) reports within the PMS for the relevant time periods (e.g., latest calendar quarter and year-to-date).
- Retrieve Benchmark: Extract corresponding returns for the relevant benchmark (e.g., S&P 500, MSCI World).
- Compile: Export data to a secure working spreadsheet (e.g., Excel or Google Sheets) for calculation and reconciliation.
2.2 Exposure Data Extraction (Geographic & Industry)
- Generate Look-Through Report: Utilize the RMS or PMS look-through functionality to map all current holdings to their respective geographic regions (country/continent) and industry sectors (GICS/ICB).
- Calculate Weights: The system should calculate the percentage of total portfolio market value attributable to each classification.
- Extract: Save the reports as current snapshots for analysis.
2.3 Strategy Narrative Gathering
- Access Strategy Documentation: Locate the most recent official Investment Strategy Memo or quarterly commentary from the Portfolio Manager (PM) team.
- Summarize Key Themes: Identify and concisely summarize the core strategies, recent tactical shifts, and current risk views (e.g., overweight in Technology, short duration in Fixed Income).
3. Verification and Quality Assurance (QA) Check ✔️
Before final reporting, all data must be verified for accuracy and consistency.
- Total Portfolio Reconciliation: Verify the Total Market Value used in the performance and exposure reports matches the Custodian Report or the firm's General Ledger.
- Classification Check: Randomly select the top 5 holdings and manually confirm their assigned geographic and industry codes using an external authoritative source (e.g., Bloomberg Terminal or FactSet).
- Strategy vs. Holdings Consistency: Ensure the summarized strategy narrative is supported by the exposure data. For example, if the strategy states an "overweight to European equities," the Geographic Exposure breakdown should reflect a higher allocation than the benchmark or a defined target.
4. Final Analysis and Reporting Synthesis 📈
The final data is transformed into a digestible format for stakeholders (e.g., management, clients).
- Performance Synthesis: Present net returns alongside the benchmark. Conduct a high-level Performance Attribution to explain return drivers.
- Exposure Visualization: Use clear Pie Charts or Bar Graphs to display the current geographic and industry allocations. Highlight the top five exposures in each category.
- Strategy Integration: Embed the concise strategy overview (from 2.3) with the numerical data to provide context for the current allocations and performance results.
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