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180 North
LaSalle Street
Suite 3500
Chicago, Illinois 60601
Tel: (312) 527-5500
Fax: (312) 527-9064
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Performance Measurement:
Marquette Associates works on the belief that tracking portfolio
performance involves both calculating and explaining performance.
Performance measurement is independently performed by Marquette
Associates and fully reconciled with each investment manager. In
addition, individual holdings and transactions for each investment
portfolio are loaded into Marquette’s internal performance system,
providing consultants and analysts with a comprehensive database to
utilize for calculating and explaining performance. Specific aspects
of the process include the following:
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Daily transaction data and monthly market values are obtained from
the custodial statements to compute monthly time-weighted rates of
return
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Marquette reconciles performance results with the investment
managers
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Security-level data is utilized for analytics and performance
attribution
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Universe statistics used for comparison purposes consist of over
1,000 total funds and several thousand individual portfolios
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Domestic equity holdings analysis includes sector attribution
analysis, market capitalization attribution analysis, style
characteristics, and individual holding attribution
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Fixed income analysis includes maturity analysis, sector allocation
review, credit quality distribution and portfolio characteristic
analysis
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International equity analysis includes regional allocation, country
and holdings analysis, and portfolio characteristics review
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Analysis of the source of investment return versus industry and peer
group benchmarks
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Asset allocation impact analysis on the total investment program
return, including how recent variations to the target asset
allocation have affected the portfolio
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A review of individual investment manager portfolios, detailing the
source of each manager’s return relative to their benchmark index
and peer group.
Marquette’s performance universes consist of actual manager and plan
results to determine the effectiveness of the manager’s capabilities.
By using actual performance, Marquette avoids simulating performance
results and eliminates bias in the universe data.
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