Methodologies

Independent valuation

Rather than relying only on the returns reported by the platforms your portfolios are administered on, we can recompute each portfolio’s return from first principles — taking the portfolio’s own holdings and multiplying them by independently sourced asset returns. The recomputed series is the shadow.

The asset returns come from independent pricing data, processed into return series against our own global trading calendar — deliberately separate from the platforms whose figures the shadow exists to check.

Clients use it in two ways: as a check on reported figures, and as a way to report sooner than a platform’s own release schedule allows.

Two calculations, four outputs

A daily calculation and a monthly one run separately. Each produces a per-asset contribution figure and a portfolio-level performance figure.

The monthly portfolio figure is the headline for client reporting: it is the net return, with the management fee deducted at that step.

The two chains are genuinely independent — The monthly return is not the daily return rolled up to period end. It is computed directly from independent monthly data. Even setting fees aside, the monthly gross figure and a hypothetical daily-compounded-to-monthly figure will generally differ — they draw on different source data, the monthly path blends price-based and net-asset-value returns, and it covers more asset types.

Holdings that are themselves portfolios — one model held as a line inside another — are priced in a dedicated first pass and fed into both chains, so layered portfolios are valued consistently from the bottom up.

The contributions outputs give the full attribution behind the headline: which holding drove which part of the return. That makes the shadow auditable line by line rather than a single opaque number.

Why the shadow may differ from a platform’s figures

It is an independent estimate, so some divergence is expected — and is precisely the value of running it.

• Trading calendar (daily) — The business-day and holiday calendar is derived independently and cannot be guaranteed identical to the one each platform uses. Which days count as trading days moves a daily-compounded return.
• Price versus net asset value (monthly) — The monthly calculation blends price-based and net-asset-value returns across asset types. A platform may apply a single, different convention.
• Treatment of cash (both) — Cash is currently assigned a zero return as a placeholder. If you would prefer a particular instrument used as the proxy, tell us — it lets the shadow track your actual experience more closely.

Attribution

An attribution report explains why a portfolio’s performance differs from its benchmark. The difference between the two is the active return, and attribution decomposes it — showing which allocation and selection decisions produced it.

The underlying data comes from one of two places: asset performance supplied by the platform the portfolio is administered on, or holdings you supply independently, in which case the asset returns are sourced independently and processed against our own calendar. Which source is in play changes what the attribution is measuring, so it is worth being explicit about when the numbers are reviewed.

Inflation-linked benchmarks

Where a mandate is measured against inflation rather than a market index, two variations are available. Both are built on the published consumer price index for your market.

• Even allocation — Where the index is published quarterly, that figure is divided by three and the same monthly rate applied to each month of the quarter. No compounding — a straightforward even spread that steps to a new value when the next release arrives.
• Compounding — Instead of dividing evenly, this solves for the monthly rate that compounds to exactly the quarterly result. If inflation rose 3% over a quarter, dividing by three gives 1% a month — but three months of 1% compounds to slightly more than 3%, so this uses a slightly smaller monthly rate.

For the most recent quarter, before the official figure is published, a live estimate is produced by rolling forward the last four data points. Once the actual release arrives both methods give the same quarterly total — the difference is only in how that growth is spread across the months.

Hurdle rates

For a mandate with a target like inflation plus 2%, the margin is not simply 2% divided by twelve. The annual figure is converted to its true monthly-equivalent compounding rate and added to the inflation base the mandate specifies. The margin stays fixed; only the inflation component moves each period.

Where a market publishes a higher-frequency inflation indicator alongside its headline series, we compute it too — ask if you want a mandate measured against one.