A Guide To Performance & Risk Analytics Reports

1 A Guide To Performance & Risk Analytics Reports1As one of the world s largest providers of Performance & Risk Analytics tools for asset owners, asset managers and consultants, we have a long history of providing innovative and integrated solutions to our clients. The breadth and depth of our data, in combination with the clarity of our reporting, helps you to compare, analyze and understand your investment of the investment data in the world is of little value unless it can be accessed and shared in an efficient way. Our reporting capabilities are integrated within Workbench, our web-based information delivery product, to provide sophisticated tools with scheduling and output distribution features for monitoring, organizing and presenting investment information. About Performance & Risk AnalyticsTable of ContentsExecutive Summary Custom Reports page 4 Performance Measurement Reports page 5 Performance Attribution Reports page 10 Risk and Analytics Reports page 16 Compliance Reports page 24 Peer Groups Reports page 26 Executive Summary Custom ReportsThrough Workbench, you have the ability to automatically extract Reports , charts, graphs and tables to create fully customized Reports .

2 These Reports display key business metrics and allow you to easily analyze your account data in a format that is most meaningful to you. Data can be automatically distributed and linked into third party reporting packages, allowing for ultimate flexibility and automation. These Reports can incorporate Performance returns, universes, indexes and investment Analytics to help you analyze the Performance and structure of your investment fund s Measurement BNY Mellon Asset Servicing is one of the world s largest providers of Performance measurement calculation services, enabling you to quantify how you have performed over single or extended time periods. From the total fund, to individual security level, our goal is to calculate returns, across all asset classes that are timely and accurate, using industry best practices. We also provide an extensive range of standard or custom benchmarks that can be used for comparison purposes in addition to information on thousands of market indices.

3 The Performance returns we calculate are broadly consistent with the CFA Institute s Global Investment Performance Standards (GIPS ). Measurement from the total fund to security level. Daily and monthly Performance measurement. Non-Lagged Performance for Alternative Investments. Composite Management Service supporting GIPS Attribution Our Performance attribution offering takes your analysis to another level, identifying the sources of return when compared to a benchmark. Key questions that attribution can answer include: Where and how have your portfolios outperformed or underperformed the market? Did investment decisions contribute or detract from the returns? Are your advisors consistently adding value? Are those sources of value consistent with your expectations? Our transaction-based attribution analysis can be performed on both domestic, single currency accounts as well as international, multi-currency accounts.

4 Our flexible attribution approach can be matched to the decision making process for meaningful insight, including: Industry-Leading Attribution Methodology Standard And Custom Benchmarks Flexible Analysis Structures Multi-Period Analysis Risk and Analytics We provide a range of reporting solutions that help you monitor and manage risk across your investment process. Our combined risk offering includes ex-post risk statistics, exposure and account structure Analytics , ex-ante risk analysis, Value-at-Risk, and complex scenario analysis. Ex-Post Risk Statistics To help you evaluate a manager s risk/return proposition we offer a number of ex-post risk statistics such as Sharpe, Treynor, R-Squared, Alpha, Beta, Sortino, Information Ratio and Tracking Error, calculated using the account s historical returns. Exposure and Account Structure Analytics Our dynamic Reports use portfolio holdings to analyze overall account exposures to a comprehensive range of characteristics, asset classes, geographies and sectors.

5 Equity characteristics include fundamental beta, measures of historical and projected growth, earnings, dividends, P/E ratios (absolute and relative), quality,indicators of over- and under-valuation and methodologies to support long-short Categories3 Fixed Income characteristics include yields, durations, quality ratings, sectors, and call provisions on fixed income and derivative instruments. Advanced Analytics To complement our core capabilities, we have a strategic alliance with Wilshire Associates to provide multi-factor attribution and ex-ante (or forward looking) risk analysis on both equity and fixed income instruments. Ex-ante risk measures include factor, account and benchmark risks , contribution to and marginal tracking errors. Advanced Risk Analysis Through our strategic relationship with Investor Analytics , we also provide enterprise-wide Value- at-Risk calculations and scenario analysis, including stress testing.

6 These models are available across all asset types, identifying potential account losses over a specified time horizon as well as the impacts of recent and historical market Compliance Monitoring is an essential component of the risk management and investment oversight processes. Our solution is a post-trade, rules-based compliance tracking tool designed to provide a consistent approach to monitoring investment policy goals and guidelines. Monitoring can take place on an absolute basis with specified thresholds or relative to industry benchmarks, empowering you with in-depth analysis of your managers investment activities. Monitor against established constraints within your account. Review exposure to categories of investments or asset types on an absolute or relative basis. Manage accounts with environmental, social, and governance investment policy goals and guidelines can be tracked using a variety of rule categories including: Asset Allocation, Country/Currency Exposure, Account Level Analysis (Equity & Fixed Income), Sector Level Analysis (Equity & Fixed Income), Holdings Level Analysis, Holdings vs.

7 Benchmark Transactions and Liquidity. Peer Groups Many investors want to know how they have performed not only against an index, but against other investors with a similar investment objective. Peer Group comparisons allow you to answer the question: How did I do against everyone else? We provide an extensive range of Performance and characteristic peer group universes to allow comparisons at multiple levels including total fund, asset class and individual manager . Access to comprehensive coverage, including Performance returns, risk measures and account characteristics are available. Over 1,100 universes are available, including: BNY Mellon Master Trust Universes are the premier fund level comparison available in the market today, allowing you to compare Performance and asset allocation. The US and Canada Trust Universes are comprised of approximately 600 and 100 plans respectively. Investment manager Universes focus on individual asset class and mandates including alternative investment strategies.

8 Other third party universe information is available including separate account Categories, continued4 Workbench allows you to customize Reports based on the broad range of Performance and risk information available. You can choose the content and layout of each summary and can have the data distributed automatically from the Workbench website and linked directly into a number of reporting formats, including Microsoft Office PowerPoint and Excel. The executive summary is focused on the Total Fund, and this example displays Performance , risk, holdings, and peer comparison Reports . The Performance chart compares the Total Fund to the policy benchmark over extended time periods. Plotted against the BNY Mellon Total Master Trust Fund Universe, the fund is generally at or above the universe mean and is in the top quartile for the five-year return. The ellipse chart shows that the Total Fund returns have exhibited a lower standard deviation than the policy and universe mean returns, while still achieving a greater five-year return.

9 The Total Fund s top 10 positions account for 20% of its Summary Custom ReportsFund and Policy Performance ChartEnding June 30, 20 XXComparisonAnn ReturnTotal PlanTotal Fund 20 XXQtr ending Jun XXYear To Date1 Year3 Years5 Years10 YearsSince 1/1 Trust Funds Total Fund (USD) Monthly5 Years As of June 30, 20 XXEllipseAnn Return68% CoverageTotal Plan Total Fund Benchmark Master Trust Funds Total Std Dev Universe Source: BNY Mellon; Universe Status: FinalMaster Trust Funds Total Fund (USD) MonthlyAs of June 30, 20 XXQuartileAnn ReturnTotal Fund Benchmark Total Plan 20 XXQtr ending Jun XX1 Year3 Years5 Years Universe Source: BNY Mellon; Universe Status: Final5/95 Holding MV% of PortfolioPIMCO STOCKPLUS L P 47,632, PARTNERS 2004 21,013, FIXED OPP 18,146, PARTNERS V LP 16,105, S TREAS BD STRIP PRIN PMT 13,766, S TREAS BD STRIP PRIN PMT 10,653, S TREASURY BILL 9,995, S TREASURY BILL 9,985, S TREASURY BILL 9,976, PARTNERS IV-PSHIP 8,625, 165,901, 10 Positions Fund Overview The Total Performance Summary report enables you to view key Performance information for your accounts ( , portfolios) and consolidations ( ,composites or groups of accounts).

10 Absolute or benchmark relative Performance can be reported, including custom and market indices. Consolidations can be exploded to allow for data on all underlying accounts to be reported. You have the flexibility to choose which accounts are included, how the benchmarks are reported and how relative Performance is displayed. You can also choose the type of return (such as Gross or Net of Fees). You can also choose from over 30 available data fields (time periods, market values, standard deviations, etc.) to tailor the report for your individual needs. This sample report displays the Gross of Fee extended time period returns for the Total Fund, the custom benchmark and the excess return relative to the benchmark. Looking at the 5-year returns, the Total Fund has outperformed the benchmark. However, it is trailing the benchmark in the more recent time MeasurementTotal Performance Summary How did your Total Fund perform, on both an absolute and benchmark relative basis?