What is the PW Index?
The Performance Watcher Index (PWI+) is a unique peer-based benchmark designed to represent the real-world performance of discretionary portfolios. Unlike traditional indices based on market instruments, the PWI+ is constructed daily using anonymised, net-of-fee data from real managed accounts. It reflects how portfolios perform under specific risk budgets and reference currencies, and allows users to evaluate their performance relative to their peers.
This index plays a central role in both client communication and internal performance monitoring. Its strength lies in its impartiality and real-data foundation, making it an essential reference for firms seeking to maintain transparency, improve accountability, and contextualise performance within a broader community.
Data Eligibility and Inclusion Criteria
Portfolios included in the PWI+ must be discretionary and meet minimum data quality thresholds. Only accounts with a Total Asset Value (TAV) of at least 50,000 USD equivalent, calculated using daily FX rates, are eligible. At least 65 trading days (approx. 3 months) of active data are required, ensuring sufficient history to detect outliers and establish a trend.
The process ensures comparability across different ecosystems and geographies, enabling consistent and accurate benchmarking.
Data Cleaning Process
Daily returns from all eligible discretionary portfolios undergo a rigorous process to detect outliers. An inter-decile range (P10 to P90) is used instead of the more restrictive interquartile range (IQR) to accommodate the fat-tailed nature of return distributions.
Portfolios with returns falling outside 1.5x the inter-decile range are excluded from composite construction. This cleaning method is only applied when there are at least 15 portfolios within the same risk and currency category.
This ensures robust statistical validity and prevents erroneous data from distorting community benchmarks.
Ecosystem Composite Construction
Cleaned portfolios are grouped by ecosystem (a community of contributors) and averaged daily to form an equal-weighted composite. Ecosystem composites represent the average performance of participants sharing the same risk profile and currency.
To prevent dominance, ecosystems are assigned weights based on the number of contributing portfolios, with a maximum weight reached at 100 portfolios. Ecosystems with fewer than five portfolios are excluded from the PWI+ index to maintain statistical reliability.
Fund Composite Backup Method
When insufficient data is available from portfolios, a backup composite is created based on selected accumulation-type mutual funds. These funds are filtered for volatility alignment with PWI risk categories and must exclude leverage, real estate, and institutional-only instruments.
This ensures a consistent fallback for underrepresented categories while maintaining transparency. If not enough qualifying funds exist, some criteria may be relaxed; however, such cases remain rare and represent a minority share of the index.
Index Aggregation Logic
The PWI+ index is calculated as a weighted average of all eligible ecosystem composites. Each composite’s weight is based on the number of portfolios in its ecosystem. When total participation is low, the index also includes the fund composite via interpolation—ensuring continuity while preserving relevance.
This logic ensures that the PWI+ presents a balanced and diversified view of discretionary portfolio management, adapting dynamically to changes in community participation.
Governance & Freezing Policy
To maintain data integrity, the input data used for index construction is frozen 15 days after it is received. Once frozen, no changes—whether corrected or amended—can affect past index values. This preserves historical accuracy and audibility.
However, composites (e.g., for internal use or client sharing) may continue to be updated with new portfolio data. This dual policy ensures that reporting remains current and actionable, while the benchmark indices remain fixed for consistency and regulatory use.