Due to PRISM’s flexible design, users can determine the performance periods and benchmarks at any level of an investment (e.g. individual investments or aggregate levels based on policy or asset class for example). PRISM can calculate absolute performance as well as relative to benchmarks for both liquid and illiquid investments, and perform risk and statistical analysis on the returns and holdings.

PRISM has an advanced multi-factor regression tool which can regress a portfolio or individual invesment against any number of factors to identify all of the beta exposures and alphas. Using the factor model, it breaks down the risk component across various factors. There are four different methods of regression that can be utilized to calculate contribution to risk utilizing either ETL or standard deviation.

Attribution analysis is a critical part of understanding the effectiveness of asset allocation and investment selection decisions. PRISM utilizes both Brinson and Regression models to break down the allocation, selection and interaction effects at either the portfolio/composite level or the individual investment level.

Asset data is utilized to determine attribution of various variables (e.g. size, growth, momentum, sector, country, currency etc.) either for a single period or for multiple periods. The Brinson model can be utilized to run attribution for a single variable while the regression model can be used against multiple variables simultaneously.