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Characteristic information is vital to the comprehensive analysis that institutional investors require in today’s market environment. Through INFORM, portfolio characteristics are available at the total account, asset classification or security level.
There are two types of characteristics:
- Statistical analysis of returns, including alpha, beta and r-squared, which are key elements in risk/return analysis
- Statistical analysis of the underlying securities within each portfolio
Using INFORM, clients can drill-down to review the characteristics of each sector, industry or security within their specific managers’ portfolios. For equities, these include characteristics such as capitalization size, earnings per share, or dividend yield. For fixed income, characteristics include yield, time-to-maturity, option-adjusted duration, and convexity.
From its vast database of individual security characteristics, INFORM creates weighted portfolio snapshots for comparison to an assigned benchmark. Like attribution analysis, the ability to compare managers’ portfolio characteristics to their target index allows clients to ensure that the managers are following their investment strategy.
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