Performance Measurement and Benchmarking Committee

With the INREV Index now having reached a point of maturity, the Performance Measurement and Benchmarking Committee is looking ahead to new indices, including the global index, and how to increase the visibility of the INREV Index.

Internal Rate of Return (IRR)

The committee’s next project is to produce a quarterly and annual internal rate of return (IRR) since inception index for closed end funds. This is in response to requests from members to provide performance information that is based on the current lifetime of the fund rather than on an annual basis.

The regular delivery of data that we receive from members means we can now respond positively to [...] requests for new indices and expand the range of relevant performance measurement services to the industry

INREV has been able to collect additional data which has resulted in a sample of 100 core and value added funds for which it can calculate a vintage-based since inception IRR index. This will be launched in December. Working with this approach is also a helpful forerunner to producing a similar index for opportunity funds which would use the same methodology. “The regular delivery of data that we receive from members means we can now respond positively to these sorts of requests for new indices and expand the range of relevant performance measurement services to the industry,” said Maarten van der Spek, Chairman of the Performance Measurement and Benchmarking Committee.

Results of the Index to be Published on Bloomberg

A second project is to work with financial data provider Bloomberg to publish the headline results of the Index on its systems on a quarterly basis from the end of the year. This will increase the visibility of the Index within the wider financial markets. Bloomberg will publish total returns by style, fund structure and country. The membership will still have exclusives access to further break downs and analysis through the Index Analysis Tool.

New Index and Analysis Tool

The committee is also working on technical improvements to the INREV Index and the analysis tool. This includes formalising how distributions are treated to provide consistency as to whether this should be on an “as declared” or “as paid” basis. A second planned improvement is the addition of style sub-indices for which funds are categorised based on the INREV Styles Framework. This set of indices will sit alongside the current style sub-indices which are based on manager classifications. For the index analysis tool, there are plans to improve the functionality of the system with a particular focus on extending the analysis to quarterly figures.

Looking further ahead, the committee is also proposing a performance index for funds of funds and will also look to update the documentation that accompanies the Index.