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

What is Mercer MPA?

The Mercer Manager Performance Analytics tool (Mercer MPA) enables comprehensive analysis of an investment managers fund or composite against peers, the Mercer median or a relevant index over time. The outputs are either in graphical or tabular form, are easy to interpret and can be used directly in any internal or external reports, including requests for proposals (RFPs). The data in Mercer MPA is sourced almost entirely from Mercers Global Investment Manager Database (GIMD). GIMD collects detailed information from over 3,000 investment managers who manage over 19,000 different strategies. It is a central repository of investment manager information which is free for managers to use and allows 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 Mercer researchers and consultants and externally by the GIMD client base and investment managers. These entities predominantly use Mercer MPA to evaluate, present and compare fund performance over certain time periods and using various statistical measures. Mercer MPA is flexible and easy to use and contains a suite of functions enabling the user to:

Carry out performance measurement against a suitable peer group and market index over various time periods Calculate historic risk and return statistics including tracking error, excess return, information ratios, correlation, regression analysis, etc. Rank managers in a universe according to specific statistics or various time periods Import data such as carve-outs, simulated returns or segregated mandates

Interactive help function

The complete package contains current data on over 25,000 investment track records from a total of over 40,000 records stored in the tool. These are then classified into more than 290 Mercer constructed universes.1 Mercer performs a number of checks to ensure that the performance histories are included in the most appropriate universes and maintained on a consistent and fair basis. Survivorship biases are reduced by ensuring that incomplete historical returns are not removed from the relevant universe.

These figures include currency-converted track records and universes.

Performance and risk exhibits

Quartile chart
The quartile chart output allows you to show the performance of up to five funds over various time periods, relative to other participants in the selected Mercer universe. The module also allows you to directly compare how a fund has performed against a selected benchmark, as displayed in the 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 median return is the solid line in the middle of each box and the upper and lower quartiles are represented by the dotted lines.

Risk/return chart
The risk/return chart shows the excess return of a performance track record against the annualized tracking error in relation to the selected benchmark. Another option available is to display the absolute return versus 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 the selected Mercer universe, and the dotted lines represent the universe medians for the excess return and tracking error. Users can also use this chart to compare the risk and return of a combined portfolio of managers to demonstrate the amount by which each combination could reduce overall portfolio risk.

Rolling period chart

The rolling period chart shows the rolling return or risk achieved by the manager relative to the universe or an index. In the example shown, the three-year rolling excess return of the manager over the benchmark is represented by the red line, the median return and upper and lower quartiles are represented by the dotted lines, and the green and blue bars show whether and by how much the manager has outperformed or underperformed the benchmark over that particular month in a rising or falling market. Using this output you can show total return, excess return against a benchmark (shown), standard deviation, tracking error or information ratio.

Scatter plot
The scatter plot chart shows the dispersion scatter of manager returns (represented on the y-axis) against the index returns (represented on the x-axis). These scatter plots are shown by the red dots below and give us an indication of the relationship between the returns achieved by the manager and the index. A regression line is also shown (in blue) and the slope of this line is the beta of the portfolio and the y-intercept is the alpha. The degree of scatter around the line shows the volatility of the fund returns around the benchmark.

Growth of 100 invested

The growth of 100 invested module shows the accumulated value of 100 (or 100 units in an alternative currency) invested in the managers product over a specified period. The common starting base of 100 allows the user to quickly identify which product has accumulated the greatest value over the chosen period. This chart can also be used to show a chosen fund against a benchmark as well as against the quartile and median cumulative returns of the universe.

Risk/return characteristics
This output summarizes the risk/return characteristics of selected products 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 for each of the characteristics.

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

Returns consistency and up/down markets

The returns consistency output produces a table (displayed) showing the regularity of a manager in returning first, second, third and fourth quartile performance and also shows how many times the fund has out performed the benchmark. The up/down markets table provides a numerical analysis of the managers performance in rising and falling markets (respectively defined as those in which the benchmark has a positive or negative return for that 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 returns
The correlation of returns table displays the excess return and tracking error of each fund, over the chosen period, as well as the correlation and risk reduction between the selected funds. The risk reduction is defined as the reduction in standard deviation from diversification when using a 50:50 mix of the two managers.

Confidence of value added

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

Mercer research package

The Mercer research package allows you to quickly print or export to MS Word, a selection of pre-defined charts for up to 20 funds and to save those selections for quick, easy and regular reports. Users may either choose the default selection of charts, which includes those more frequently used by Mercer MPA clients and Mercer consultants, 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 Mercer surveys of portfolio performance. This option provides you with great flexibility in viewing the surveys, and the universe is fully exportable into Excel. The time periods for the surveys are fully customizable, allowing you to produce surveys from any starting or end dates. The risk survey provides the same flexibility in output as the returns survey, however, it also allows you to study the risk metrics of the funds in the universe, including the standard deviation, tracking error and information ratio.

Analysis of index returns

The analysis of index returns module allows the user to analyze the performance and risk characteristics for over 200 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. After entering returns or benchmark data into the database, users can compare their performance against a Mercer universe, other managers or market indices. This feature is popular with users wishing to produce marketing and client reporting using track records that are not in Mercer MPA or users wishing to compare simulated returns against a Mercer universe. Under this option you can also create composites of products or indices across the different asset classes or within 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 data option, users can export the returns (monthly or quarterly) from any of the databases and use the data to generate 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 the risk and return profile of funds over time using different factors for comparison. The snail trail output shows the relative position of the manager on a risk/return diagram over consecutive rolling periods. It enables you to see how the managers performance on a risk/return basis has changed over time and can be adjusted to measure the managers performance relative to the universe mean or median, among other options. The risk measure can also be changed to show the tracking error against a specified benchmark.

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

Style analysis
Returns-based style analysis
Mercer MPA uses a returns-based method to determine style exposures. It compares the monthly or quarterly excess return to returns of the style indices chosen by the user to show the managers relative style.

Rolling style analysis

The rolling style analysis chart is one of the available outputs and shows the results of style analysis over subsequent rolling periods in order to give an indication of how the managers style has changed over time.

Search for products

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

Contact us
Any questions? Would you like a demonstration or a free trial of Mercer MPA? Asia (except Japan) Anson Chew + 65 6398 2859 anson.chew@mercer.com Australia & New Zealand David Carruthers + 61 3 9623 5573 mercer.surveys@mercer.com Canada Spyro Carayannis + 1 416 868 7088 spyro.carayannis@mercer.com Europe and UK Daniel Finan + 44 207 178 7032 daniel.finan@mercer.com Hong Kong Vishal Agarwal + 852 2115 3783 vishal.agarwal@mercer.com Japan Koichi Ito + 81 3 5354 1461 koichi.ito@mercer.com US Emily Dolezal + 1 312 917 0616 emily.dolezal@mercer.com

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