Performance · Attribution · Risk
Independent performance reporting that explains why, not just what.
Headwall Performance produces reconciled return, attribution, and risk reporting for investment managers and the committees they answer to. Every figure is calculated on dedicated offline infrastructure and delivered with a full validation appendix.
Why Headwall
A defensible account of where value was added, and what it cost in risk.
A headline return tells an investment committee what happened. It does not tell them whether the result came from allocation decisions, security selection, or simply the market. It does not show how much active risk was taken to get there, or whether the benchmark was the right one to begin with.
Headwall decomposes active return and tracking risk into their sources, reconciles every number back to the underlying data, and documents each assumption. The result is reporting your team can present to clients, consultants, and due-diligence reviewers with confidence.
Measure
Time-weighted, money-weighted, and Modified Dietz returns, kept distinct so manager skill is never conflated with client cash-flow timing.
Attribute
Allocation, selection, and interaction effects by segment, linked across periods and reconciled to total active return.
Validate
A separate reconciliation appendix covering data lineage, formula traces, assumptions, and disclosed limitations.
Services
Outsourced reporting, scoped to your mandate.
Engagements are structured around your strategy, benchmark, and reporting calendar. You provide holdings and transaction data; we deliver a finished, reviewed reporting package.
Primary engagement
Recurring performance & attribution reporting
For investment managers, RIAs, and multi-strategy teams that need institutional-quality reporting without building an in-house performance function.
- Monthly or quarterly reporting packages on your calendar
- Portfolio, composite-style, or segment-level coverage
- Validation appendix with every delivery
Allocators & private clients
Manager and portfolio reviews
For family offices, wealth platforms, and individual investors evaluating an external manager. We separate skill from market exposure and assess whether value was added against an appropriate benchmark.
Advisory
Benchmark & methodology consulting
Benchmark selection and suitability reviews, attribution design, and independent checks on existing performance calculations before they reach clients or consultants.
The reporting package
Built for investment committees and due-diligence review.
Each package moves from summary to detail: a one-page view for decision-makers, followed by the full return, risk, and attribution analysis, and a separate appendix that lets a reviewer trace any figure back to source.
- Executive summaryHeadline results, findings, and flagged items
- ReturnsTWR, MWR / IRR, Modified Dietz; gross and net of fees
- Benchmark-relativeActive return, alpha, tracking error, capture ratios
- Risk & appraisalVolatility, beta, drawdown, downside risk, risk-adjusted ratios
- AttributionAllocation, selection, interaction by segment or holding
- Validation appendixLineage, reconciliation, formula traces, limitations
Attribution Summary
Active Growth Equity — Q3
| Sector | Alloc. | Select. | Inter. | Total |
|---|---|---|---|---|
| Information Technology | 0.18 | 0.42 | 0.05 | 0.65 |
| Health Care | −0.04 | 0.31 | −0.02 | 0.25 |
| Industrials | 0.07 | 0.12 | 0.01 | 0.20 |
| Consumer Discretionary | −0.06 | 0.09 | 0.00 | 0.03 |
| Financials | 0.03 | −0.08 | 0.00 | −0.05 |
| Cash & other | 0.11 | — | — | 0.11 |
| Total | 0.29 | 0.86 | 0.04 | 1.19 |
Methodology
Every measure matched to the question it answers.
Methodology is documented in each report, next to the results it supports. Where data quality or timing limits precision, the report says so.
Return measurement
- Time-weighted return
- Isolates manager performance from external cash-flow timing.
- Money-weighted return / IRR
- Reflects the investor's dollar-weighted experience.
- Modified Dietz
- Approximates return where exact valuation timing is unavailable.
- Gross and net of fees
- Presented side by side, with fee treatment stated.
Attribution
- Brinson-Fachler
- Allocation, selection, and interaction effects per period.
- Cariño linking
- Multi-period effects linked geometrically; residuals disclosed.
- Configurable depth
- Category, sector, or individual-holding level.
- Risk contribution
- Segment-level contribution to total and active risk.
Risk & appraisal
- Volatility
- Tracking error
- Beta
- Max drawdown
- Downside deviation
- Sharpe
- Sortino
- Calmar
- Treynor
- Jensen's alpha
- Information ratio
- Appraisal ratio
- M²
Risk measures are selected according to mandate, benchmark, return distribution, and horizon. No single statistic is treated as a complete description of risk.
Data security
Your holdings never leave a controlled environment.
Portfolio holdings, transactions, and performance data are among the most sensitive information an investment firm holds. Headwall's calculation engine runs entirely on dedicated local hardware, without sending client data to cloud services or third-party AI platforms.
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Offline calculation
All return, risk, and attribution calculations are performed on-device, with no cloud processing.
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Traceable lineage
Every figure in a report can be traced to its source file, extraction step, and formula.
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Defined data handling
Data scope, delivery method, and retention are agreed in writing at the start of each engagement.
Engagement
A structured, repeatable process.
- 1
Scoping
Strategy, benchmark, reporting periods, segment structure, and audience defined up front.
- 2
Data intake
Holdings, transactions, cash flows, and fees mapped into a structured intake workbook.
- 3
Calculation
Returns, risk, and attribution calculated locally and reconciled to source.
- 4
Review
Exceptions flagged, assumptions documented, and findings checked before release.
- 5
Delivery
Final report and validation appendix delivered on your reporting calendar.
The firm
Independent, founder-led, based in Denver.
Headwall Performance LLC is an independent performance measurement firm in Denver, Colorado. We are not affiliated with any custodian, broker, or asset manager, and we do not sell the software we use; our product is the reporting itself.
The firm is founder-led. Every engagement is scoped, calculated, and reviewed personally by the principal, so clients work directly with the person responsible for their numbers.
The name comes from mountaineering: a headwall is a steep rock face that separates the upper reaches of a mountain from the gentler slopes below, the part of the climb that shows clearly what it took to get there.
Contact
Request a sample report.
Tell us about your strategy and reporting needs. We will follow up to arrange an introductory call and share a sample reporting package built on illustrative data.
What to include
A short note is enough to start. Helpful details:
- Strategy and asset class
- Benchmark currently used
- Reporting frequency and audience
- Data source (custodian, PMS, or spreadsheets)