Performance Analytics

Compass provides users with enormous flexibility in depicting and analyzing historical returns. In addition to the multiple graphing capabilities shown in the Performance Analysis screen below, Compass offers an additional complement of reports that can be generated using selected managers and indexes.

The Periodic graph depicts manager and index returns over various time intervals (e.g. monthly, quarterly, annually, three-year) on an absolute or excess basis. The graph below shows that the selected manager has outperformed the Wilshire Small Growth Index in six of the past twelve months.

Manager and index returns can also be analyzed on a cumulative basis  over user-specified time periods. The graph below shows the manager under-performed the index over the trailing quarter and three-year periods, but out-performed the index over the trailing one- and five-year periods.

The Combination analytic combines Periodic and Growth of a Dollar graphs into a single graph. The scale on the left y-axis pertains to the periodic bar graph and represents absolute (or excess) returns. The scale on the right y-axis pertains to the cumulative line graph and represents cumulative returns. The graph below presents the manager's cumulative and monthly excess returns over the past five years.

Since results from periodic and cumulative analysis are very end-date sensitive, it is beneficial to evaluate returns and key risk statistics such as standard deviation and correlation on a rolling basis in order to identify trends in manager performance or risk levels.

The Rolling Return graph plots manager and index returns on a rolling basis over a specified time period. The user has the ability to select the number of months to serve as the rolling interval (e.g. 12 months, 36 months, 60 months, etc.) as well as the time period for the analysis. In the graph below, rolling three-year returns for manager and the index are plotted over the past five years.

The Rolling Risk graph identifies changes in the volatility of a manager's absolute or excess returns over time. Users have the ability to choose one of three risk options: standard deviation, downside risk, or target shortfall. Reviewing trends in a manager's excess risk help identify changes in the level of active management risk or tracking error, and may signal important changes in the manager's investment process. According to the graph below, the manager has reduced their level of active management risk since the mid-1990s and has maintained a more risk-controlled approach.

The Rolling Correlation graph can be used to view changes in the correlation of absolute or excess returns between two managers or a single manager and an index.  This analytic is especially useful in manager team analysis since it allows users to ascertain whether existing managers are complementary; complementary managers are defined as those whose excess returns exhibit low correlation with one another.

The graph below examines the correlation of excess returns between Alliance and two other equity managers.  The graph illustrates that Alliance's excess returns (relative to the Wilshire 5000 Index) have a fairly low correlation with both of the other manager's excess returns.

Risk/Return Graph allows users to plot risk and return for multiple mangers and indexes over a single time period. This analytic provides insights into the risk and return trade-off offered by various managers and passive indices.

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