mercer mpa brochure

8/3/2019 Mercer MPA Brochure

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Mercer MPA™

Mercer Manager Performance Analytics

■ Powerful performance analysis software

■ Extensive database of investment manager returns

■ Over 25,000 investment track records in over 290 universes



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What is Mercer MPA?The Mercer Manager Performance Analytics tool (Mercer MPA) enables comprehensive analysis of an invest-ment manager’s fund or composite against peers, the Mercer median or a relevant index over time. The outputsare either in graphical or tabular form, are easy to interpret and can be used directly in any internal or externalreports, including requests for proposals (RFPs).

The data in Mercer MPA is sourced almost entirely from Mercer’s Global Investment Manager Database (GIMD).GIMD collects detailed information from over 3,000 investment managers who manage over 19,000 differentstrategies. It is a central repository of investment manager information which is free for managers to use andallows their products to be reviewed by Mercer manager researchers and direct client subscribers to the database.

What are the benefits of Mercer MPA?Mercer MPA is used both internally by Mercerresearchers and consultants and externally by theGIMD client base and investment managers. Theseentities predominantly use Mercer MPA to evaluate,present and compare fund performance over certaintime periods and using various statistical measures.Mercer MPA is flexible and easy to use and contains asuite of functions enabling the user to:

■ Carry out performance measurement against a

suitable peer group and market index over varioustime periods

■ Calculate historic risk and return statistics includingtracking error, excess return, information ratios,correlation, regression analysis, etc.

■ Rank managers in a universe according to specificstatistics or various time periods

■ Import data such as carve-outs, simulated returnsor segregated mandates

The complete package contains current data on over25,000 investment track records from a total of over40,000 records stored in the tool. These are then classi-fied into more than 290 Mercer constructed universes.1

Mercer performs a number of checks to ensure thatthe performance histories are included in the mostappropriate universes and maintained on a consistent and fair basis.Survivorship biases are reduced by ensuring that incomplete historicalreturns are not removed from the relevant universe.

Interactive help function

1 These figures include currency-converted track records and universes.



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Performance and risk exhibits

Quartile chart The quartile chart output allows you to show the performance of up tofive funds over various time periods, relative to other participants in theselected Mercer universe. The module also allows you to directly comparehow a fund has performed against a selected benchmark, as displayed inthe chart shown to the right.

The variation of returns within the universe is represented by the range

between the top and bottom solid lines of the quartile boxes. The medianreturn is the solid line in the middle of each box and the upper and lowerquartiles are represented by the dotted lines.

Risk/return chart The risk/return chart shows the excess return of a performance trackrecord against the annualized tracking error in relation to the selectedbenchmark. Another option available is to display the absolute returnversus the volatility of the fund (as measured by the standard deviation).It is possible to highlight up to 10 funds in the risk return chart.

Each hollow square shown in the chart represents a manager in theselected Mercer universe, and the dotted lines represent the universemedians for the excess return and tracking error.

Users can also use this chart to compare the risk and return of a com-bined “portfolio” of managers to demonstrate the amount by which eachcombination could reduce overall portfolio risk.

Rolling period chart The rolling period chart shows the rolling return or risk achieved by themanager relative to the universe or an index.

In the example shown, the three-year rolling excess return of the managerover the benchmark is represented by the red line, the median returnand upper and lower quartiles are represented by the dotted lines, andthe green and blue bars show whether and by how much the managerhas outperformed or underperformed the benchmark over that particularmonth in a rising or falling market.

Using this output you can show total return, excess return against a bench-mark (shown), standard deviation, tracking error or information ratio.



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Scatter plot The scatter plot chart shows the dispersion scatter of manager returns(represented on the y-axis) against the index returns (represented on thex-axis). These scatter plots are shown by the red dots below and give usan indication of the relationship between the returns achieved by themanager and the index.

A regression line is also shown (in blue) and the slope of this line is thebeta of the portfolio and the y-intercept is the alpha. The degree of scat-ter around the line shows the volatility of the fund returns around thebenchmark.

Growth of £100 investedThe growth of £100 invested module shows the accumulated value of £100 (or 100 units in an alternativecurrency) invested in the manager’s product over a specified period. The common starting base of £100 allowsthe user to quickly identify which product has accumulated the greatest value over the chosen period. This chartcan also be used to show a chosen fund against a benchmark as well as against the quartile and median cumula-tive returns of the universe.

Risk/return characteristicsThis output summarizes the risk/return characteristics of selectedproducts by displaying five user-designated risk and return characteristics(out of ten options) in a floating bar chart.

It demonstrates the position of the chosen fund within the universe foreach of the characteristics.

Performance analyticsThe performance analytics report is presented over two pages anddisplays a number of statistics to analyze and compare the performanceand risk characteristics of up to 20 managers.



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Returns consistency and up/down marketsThe returns consistency output produces a table (displayed) showingthe regularity of a manager in returning first, second, third and fourthquartile performance and also shows how many times the fund has outperformed the benchmark.

The up/down markets table provides a numerical analysis of themanager’s performance in rising and falling markets (respectively definedas those in which the benchmark has a positive or negative return forthat period) over the entire chosen time period.

Both outputs can be used to directly compare up to 20 managers and are a great way to study performance patterns.

Correlation of returnsThe correlation of returns table displays the excess return and tracking error of each fund, over the chosenperiod, as well as the correlation and risk reduction between the selected funds. The risk reduction is definedas the reduction in standard deviation from diversification when using a 50:50 mix of the two managers.

Confidence of value addedThe confidence of value added by a manager versus the benchmark, which can range from 0% to 100%, is astatistical measure that provides insight into whether the manager’s results were due to skill or luck. It takesinto account not only the magnitude of excess return, but also the volatility of the excess return.

Mercer research packageThe Mercer research package allows you to quickly print or export to MS Word, a selection of pre-defined chartsfor up to 20 funds and to save those selections for quick, easy and regular reports. Users may either choose thedefault selection of charts, which includes those more frequently used by Mercer MPA clients and Mercer consul-tants, or users may customize their own sets of charts for tailored reports.

Returns survey and risk survey

The returns survey (displayed) allows you to replicate any of the Mercersurveys of portfolio performance. This option provides you with greatflexibility in viewing the surveys, and the universe is fully exportable intoExcel. The time periods for the surveys are fully customizable, allowingyou to produce surveys from any starting or end dates.

The risk survey provides the same flexibility in output as the returnssurvey, however, it also allows you to study the risk metrics of the fundsin the universe, including the standard deviation, tracking error andinformation ratio.



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Analysis of index returns

The analysis of index returns module allows the user to analyze the performance and risk characteristics for over200 indices across various asset classes, geographies and style characteristics.

Add data into the database

Mercer MPA also provides users with the ability to incorporate their returns data into a personal database. Afterentering returns or benchmark data into the database, users can compare their performance against a Merceruniverse, other managers or market indices. This feature is popular with users wishing to produce marketing andclient reporting using track records that are not in Mercer MPA or users wishing to compare simulated returnsagainst a Mercer universe.

Under this option you can also create composites of products or indices across the different asset classes orwithin a single asset class. This facility allows you to effectively replicate an actual portfolio.

Export data

One of the unique features of Mercer MPA is that we do not restrict access to raw data. Using the export dataoption, users can export the returns (monthly or quarterly) from any of the databases and use the data togenerate customized reports and charts. In addition, any data they add into the database can be extracted using

this option.2

Snail trails of risk and return

The snail trails of risk and return module allows users to study therisk and return profile of funds over time using different factors forcomparison.

The snail trail output shows the relative position of the manager on arisk/return diagram over consecutive rolling periods. It enables you tosee how the manager’s performance on a risk/return basis has changedover time and can be adjusted to measure the manager’s performance

relative to the universe mean or median, among other options. The riskmeasure can also be changed to show the tracking error against a speci-fied benchmark.

2 Clients are asked not to send out this raw data externally.



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Style analysis

Returns-based style analysisMercer MPA uses a returns-based method to determine style exposures. It compares the monthly or quarterlyexcess return to returns of the style indices chosen by the user to show the manager’s relative style.

Rolling style analysisThe rolling style analysis chart is one of the available outputs and showsthe results of style analysis over subsequent rolling periods in order to

give an indication of how the manager’s style has changed over time.

Search for products

This function allows users to search for text included in a manager’s name, a strategy name, or a manager’s“short name” code as stored in the database. The search function will provide results of products, performancedata or lists of universes in which the specific manager appears across the entire MPA database. Users can alsoextract up-to-date summaries of all the universes in MPA, including currency, number of indices, current productsand total products in each universe.

Asia (except Japan)Anson Chew+ 65 6398 [email protected]

Australia & New ZealandDavid Carruthers+ 61 3 9623 [email protected]

CanadaSpyro Carayannis+ 1 416 868 [email protected]

Europe and UK

Daniel Finan+ 44 207 178 [email protected]

Hong KongVishal Agarwal+ 852 2115 [email protected]

JapanKoichi Ito+ 81 3 5354 [email protected]

USEmily Dolezal+ 1 312 917 [email protected]

Contact us

Any questions? Would you like a demonstration or a free trial of Mercer MPA?



Argentina

Australia

Austria

Belgium

Brazil

Canada

Chile

China

Colombia

Czech Republic

Denmark

Finland

France

Germany

Hong Kong

Hungary

India

Indonesia

Ireland

Italy

Japan

Malaysia

Mexico

Netherlands

New Zealand

Norway

Philippines

Poland

Portugal

Singapore

South Korea

Spain

Sweden

Switzerland

Taiwan

Thailand

Turkey

United Arab Emirates

United Kingdom

United States

Venezuela

Copyright 2009 Mercer LLC.

All rights reserved.

For further information, please

contact your local Mercer officeor visit our website at:

www.mercer.com

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