Fund performance measurement
Pascal Baars on her internship at ORTEC, March 2008
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“ORTEC is one of the biggest independent consultancy and software development companies, operating in the area of operations research and management science. Since 1985 ORTEC is active in the financial world as an independent specialist in the performance measurement and risk management. ORTEC finance provides pension funds, asset managers, insurers and housing corporations with products as asset and liability management, risk management and portfolio construction, performance evaluation and attribution. Those tools are based on knowledge from operations research, econometrics, management science and innovative information technology.
Within the finance department, I joined the group Pension Funds and Asset Manager Systems (PF/AM), which is under guidance by Fred Heemskerk. The group Implementation Performance and Risk is part of this group and is guided by Elske van de Burgt. This last group provides pension funds and asset managers with tools as PEARL and PRISMA, with which for example ex-post performance measurement can be done.
The goal for my internship was to experience within 6 months what it is like to be a junior business consultant within the project teams in the PF/AM group. Besides that I wanted to learn more about the ins en outs of pension funds, which rules and legislation apply to pension funds, and how performance measurement is integrated within the pension funds.
The internship period is divided into several parts, with the goal to obtain all relevant knowledge as fast as possible:
• September: education
• October: intern applications development
• November/December: internal support for pension funds at the client
• January/February: support for external clients, implementation at clientThis way I educated myself at first, which knowledge can be used in later projects. All assignments which I have done are clearly defined, in agreement with the current knowledge.
For this internship I was linked on a daily basis to a junior business consultant. During this period he was my first contact for questions and problems which might arise. During the first month, I received much education in the form of internal courses and reading literature. Beside this I worked on the development of the software tool PRISMA. I tested the functionality, reported bugs and wrote a new functional design for a specific functionality. I also helped preparing a user course on using PRISMA. In October I started obtaining knowledge on a specific report tool for PEARL, namely the webportal. A new release was planned for this tool, which had to be checked based on a test plan written by me. At the end of this period the webportal was finished.
In November I went for a period of 6 weeks to AP4, the fourth Swedish pension fund, to give internal support on PEARL. During this period I had frequent contact with Hicham el Bonne, now a medior consultant for PEARL at ORTEC. For this period I have been given a specific assignment, in which I had to perform a reconsolidation on the security data of certain benchmark indices. I also needed to explain differences in performance when the results are presented in base or local currency, hedged or unhedged. I have worked daily with the performance and risk department and had frequent contact with a Dutch portfolio manager, which allowed me a look into the front office (traders) part of a pension fund. This has been a very educative period, especially since I had to work there much on my own. Before asking questions, it is always good to know exactly what information you hope to obtain and really understand why you don’t understand a certain situation. I really learned to communicate more clear and understood PEARL much better afterwards. In the end I obtained and completed the assignment to develop some new functionality into PEARL, which checks the properties of the data.
In January and February there were plans to start with an implementation track at Robeco, but this was unfortunately delayed till the last half of February. I did participate at the first implementation meeting which, combined with the reading of the definition study, was a good learning experience about the necessities before an implementation is started. During these months I worked on some smaller support issues for AP4, helped preparing demonstrations for new clients and worked on the upgrade of PEARL for the Dutch railroad pension fund. Especially due to this last project I obtained a thorough knowledge of the system. I also participated in an external course (Introduction to Investment Management) on the financial world and the instruments available to trade with, and spend time on understanding the rules and legislation around pension funds.
So, why to go to ORTEC for your internship:
• You like to work with a difficult technical product, don’t expect after half a year to understand it thoroughly
• You like to advise clients and to help them explain why performance is calculated in a certain way
• Open culture, easy to approach (intelligent) people to ask questions
• Your contribution and opinion are really valued
• Possibility to work with clients in other countries
• Much time spend on education, so expect a steep learning curve”Find more information on SBB internships and more SBB internship experiences on our website.
