How to Make a Fund Factsheet

Jocelyn Gilligan
CFA, CIPM - Partner
September 30, 2022
15 min
How to Make a Fund Factsheet

Longs Peak is specialized in helping investment firms calculate and present investment performance. As a team, we have either reviewed or created thousands of factsheets for the 200+ investment firms we’ve worked with. Over the years, we’ve come to realize that many investment managers struggle to create fund factsheets that help potential investors truly understand their firm and strategy. Many end up with generic leaflets of information that don’t actually help get interested investors in the door. Others make them because they feel like they have to and piece together an abundance of data without cohesive direction. Unless you have an in-house marketing team that’s specialized in advertising for investment managers, you might feel like you don’t know where to begin.

So how can you decide what to include when making a factsheet for your strategies? Keep reading to find out.

Where to begin

There are three things that you should consider before you make (or hire someone to make) your factsheets:

  1. Who is the target audience (i.e., your core client)?
  2. What is the primary objective of your strategy?
  3. How do you make investment decisions?

Once you know these three things, design is really just puzzling together the critical elements and aligning it with your branding.

Understanding your Target Audience

While this may seem obvious, knowing your target audience can make a huge difference in the success of your factsheets (which can be measured by how many requests you get for additional information). We find that firms often put together a factsheet with information they most commonly see other firms including – risk-adjusted performance statistics, sector allocations, top holdings and more – without much consideration for who will be reading the document. While this is not a bad place to start, too often factsheets end up generic and are not meaningful to the reader. It is important that your factsheet helps your prospects understand your investment process and how your strategy can help them achieve their goals. Picturing who you are communicating with as you develop the factsheet will help ensure your message is clear and focused on what is most important to them.

Institutional investors, such as large pension funds you’d like to sub-advise for, will want to see performance appraisal statistics that demonstrate how your strategy performed on a risk-adjusted basis and how this aligns with your investment objective and process. We’ll discuss more about this in the following sections, but most importantly, your factsheet should tell the story of your investment process – what you set out to do and how you achieved it (or what happened if you didn’t). It’s sort of like a report on your strategy’s OKRs (Objectives and Key Results).

Retail investors are likely less prepared to interpret complicated statistics and care more about how you’re going to help them achieve their future goals (think future college tuition payments, that retirement home in the mountains, etc.). For this type of investor, it may be better to incorporate more absolute return visuals like growth-of-a-dollar line graphs and text that explains how you plan to help grow their capital while protecting it from material losses. Or how you’d make customized investment decisions with their goals in mind.

Regularly, firms have a target audience that is somewhere in between. Sophisticated enough that they understand some performance appraisal measures, but not so sophisticated that they understand what they all mean. In this case, you’ll want to consider your target audience’s goal in investing their money with you. Whether they’re saving for retirement, supporting the financial needs of a loved one, or looking to add risk to a well-diversified portfolio, knowing their objective will help you be clearer about how to communicate to this audience.

And remember, although your factsheet should be designed with your ideal client in mind, there may be situations where your target audience differs from this core customer. For example, if you normally target retail investors but get the opportunity to pitch to a large RIA, you may want to customize the factsheet to cater to this client type. In this case, just follow these same steps with this client in mind.

Need help defining your target audience? You can use this GUIDE to help you define your core customer (or client profile).

What is the Primary Objective of your Strategy?

The key message you want your factsheets to convey is how your strategy goes about identifying drivers of value/returns. You want to communicate your end-goal (your strategy objective) and then demonstrate through statistics, graphs, and charts how you achieved it (your key results).

Whether your strategy is primarily focused on beating the benchmark on the upside or protecting capital on the downside, the statistics shown should act like a scorecard that demonstrates how you performed specifically on that objective. If your strategy’s primary goal is to beat on the upside, you’ll want to show things like Upside Capture (usually shown together with Downside Capture), Batting Average, Sharpe Ratio, and Alpha. Alternatively, if your strategy aims to protect on the downside, things like Max Drawdown, Downside Capture (again usually shown with Upside Capture), or Downside Deviation will be more relevant.

If you manage a strategy that exhibits a non-normal return distribution (e.g., you manage a strategy with options that create positive spikes in performance), you’ll want to include risk measures designed to consider these asymmetrical returns. These measures could include things like Sortino Ratio and Semi-Deviation.

Regardless of the strategy type, be sure to take the time or consult with someone that can help you select statistics that support your investment objective and display how you’ve done on an absolute and risk-adjusted basis.

This information should also be used internally as a feedback loop to assess what worked and didn’t work. The findings from this reflection can also be used in market commentary – either in your factsheet or as a quarterly market newsletter – to explain performance results for the current period. Doing this creates transparency and builds trust. Furthermore, it demonstrates to prospects that you are paying attention to what is happening in the market and taking action to address these changes.

Want to learn more about different performance appraisal measures? We’ve written several posts on different measures available and when you might use them.

How do you Make Active Investment Decisions?

If you – or your sales team – don’t know the answer to this question, it’s probably time to make sure you have this message clear. Because if your team doesn’t know how to explain it, it’s going to be confusing for a prospect. Investors of all types typically want to understand the investment process – how a strategy is implemented and how you manage the trade-off between expected return and risk exposure. You can help them understand these things by clearly identifying where you are making active investment decisions and then illustrating that information in your factsheet.

Frequently, firms don’t know what to include to help explain the story of their investment process but answering a couple simple questions can help. Consider the following:

  • Are you performing fundamental or quantitative (systematic) analysis?
  • Do you characterize your strategy as top-down or bottom-up?
  • Do you consider micro or macroeconomic factors in your analysis?
  • Do you have a value- or growth-based approach?
  • Do you have geographic/country-based factors in your selection process?
  • For spread-based bond portfolio investments, how do you select fixed income issuer types, industries, and instruments? How do you define your universe and narrow that down by credit quality, duration and taxability?

We often see firms that want to include information in their factsheets that really has no relevance to their active decision making. For example, if your investment process involves bottom-up fundamental analysis focused on stock selection with no active decisions to over- or under-weight at the sector-level, showing sector weights in comparison to the benchmark is less relevant than it is for a manager that specifically makes active decisions on sector exposures. Does showing where you ended up this quarter provide any meaning to the reader? If not, it’s best to find something that does.

The same goes for other common factsheet components like holdings and asset allocation. If you manage a strategy that focuses on macro-level variables and invests in a handful of ETFs, swaps and futures contracts to capture macro dynamics to generate returns, showing your top holdings may provide little meaning to the reader and it could even reveal trade secrets you may not wish to divulge. Perhaps in this case, focusing on describing the macro-level environment or trends and how you added exposure to them may be more meaningful.

Having clarity about where active decisions are made will help you select the right information to show. Remember, most factsheets are 1-2 pages in length so there’s not a lot of real estate to waste, especially if your disclosures take up half a page!

The new SEC Marketing Rule

Finally, the SEC’s new Marketing Rule, which is set to take effect on November 4, 2022, has a variety of requirements for presenting investment performance in advertisements. It is crucial that your factsheets follow these requirements. If you have not taken the steps necessary to prepare for these changes, we strongly encourage you to have your factsheets and performance information reviewed to make sure that any advertisement you make has been prepared with the new requirements in mind. Here’s a checklist of key performance-related considerations to help get you started.

Conclusion

The main objective of publishing and distributing fund factsheets is to get you meetings with more prospective investors. If you’re not getting the interest you think you deserve, perhaps it’s time to consider how effective your fund factsheets are at communicating your performance to your core customers.

From our small business to yours, there are many books written about goal setting. As a firm, we subscribe to the OKR method and recommend reading Measure What Matters by John Doerr. While it’s not specifically intended for investment advisors or analyzing investment returns, the concepts can be helpful in outlining how to set objectives for your investment strategies and then use performance statistics to measure the key results.

If you are interested in learning more about how Longs Peak can help you create better prospect engagement through factsheets and pitchbooks, contact jocelyn@longspeakadvisory.com.

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Key Takeaways from the 2025 PMAR Conference
This year’s PMAR Conference delivered timely and thought-provoking content for performance professionals across the industry. In this post, we’ve highlighted our top takeaways from the event—including a recap of the WiPM gathering.
May 29, 2025
15 min

The Performance Measurement, Attribution & Risk (PMAR) Conference is always a highlight for investment performance professionals—and this year’s event did not disappoint. With a packed agenda spanning everything from economic uncertainty and automation to evolving training needs and private market complexities, PMAR 2025 gave attendees plenty to think about.

Here are some of our key takeaways from this year’s event:

Women in Performance Measurement (WiPM)

Although not officially a part of PMAR, WiPM often schedules its annual in-person gathering during the same week to take advantage of the broader industry presence at the event. This year’s in-person gathering, united female professionals from across the country for a full day of connection, learning, and mentorship. The agenda struck a thoughtful balance between professional development and personal connection, with standout sessions on AI and machine learning, resume building, and insights from the WiPM mentoring program. A consistent favorite among attendees is the interactive format—discussions are engaging, and the support among members is truly energizing. The day concluded with a cocktail reception and dinner, reinforcing the group’s strong sense of community and its ongoing commitment to advancing women in the performance measurement profession.

If you’re not yet a member and are interested in joining the community, find WiPM here on LinkedIn.

Uncertainty, Not Risk, is Driving Market Volatility

John Longo, Ph.D., Rutgers Business School kicked off the conference with a deep dive into the global economy, and his message was clear: today’s markets are more uncertain than risky. Tariffs, political volatility, and unconventional strategies—like the idea of purchasing Greenland—are reshaping global trade and investment decisions. His suggestion? Investors may want to look beyond U.S. borders and consider assets like gold or emerging markets as a hedge.

Longo also highlighted the looming national debt problem and inflationary effects of protectionist policies. For performance professionals, the implication is clear: macro-level policy choices are creating noise that can obscure traditional risk metrics. Understanding the difference between risk and uncertainty is more important than ever.

The Future of Training: Customized, Continuous, and Collaborative

In the “Developing Staff for Success” session, Frances Barney, CFA (former head of investment performance and risk analysis for BNY Mellon) and our very own Jocelyn Gilligan, CFA, CIPM explored the evolving nature of training in our field. The key message: cookie-cutter training doesn't cut it anymore. With increasing regulatory complexity and rapidly advancing technology, firms must invest in flexible, personalized learning programs.

Whether it's improving communication skills, building tech proficiency, or embedding a culture of curiosity, the session emphasized that training must be more than a check-the-box activity. Ongoing mentorship, cross-training, and embracing neurodiversity in learning styles are all part of building high-performing, engaged teams.

AI is Here—But It Needs a Human Co-Pilot

Several sessions explored the growing role of AI and automation in performance and reporting. The consensus? AI holds immense promise, but without strong data governance and human oversight, it’s not a silver bullet. From hallucinations in generative models to the ethical challenges of data usage, AI introduces new risks even as it streamlines workflows.

Use cases presented ranged from anomaly detection and report generation to client communication enhancements and predictive exception handling. But again and again, speakers emphasized: AI should augment, not replace, human expertise.

Private Markets Require Purpose-Built Tools

Private equity, private credit, real estate, and hedge funds remain among the trickiest asset classes to measure. Whether debating IRR vs. TWR, handling data lags, or selecting appropriate benchmarks, this year's sessions highlighted just how much nuance is involved in getting private market reporting right.

One particularly compelling idea: using replicating portfolios of public assets to assess the risk and performance of illiquid investments. This approach offers more transparency and a better sense of underlying exposures, especially in the absence of timely valuations.

Shorting and Leverage Complicate Performance Attribution

Calculating performance in long/short portfolios isn’t straightforward—and using absolute values can create misleading results. A session on this topic broke down the mechanics of short selling and explained why contribution-based return attribution is essential for accurate reporting.

The key insight: portfolio-level returns can fall outside the range of individual asset returns, especially in leveraged portfolios. Understanding the directional nature of each position is crucial for both internal attribution and external communication.

The SEC is Watching—Are You Ready?

Compliance was another hot topic, especially in light of recent enforcement actions under the SEC Marketing Rule. From misuse of hypothetical performance to sloppy use of testimonials, the panelists shared hard-earned lessons and emphasized the importance of documentation. This panel was moderated by Longs Peak’s Matt Deatherage, CFA, CIPM and included Lance Dial, of K&L Gates along with Thayne Gould from Vigilant.

FAQs have helped clarify gray areas (especially around extracted performance and proximity of net vs. gross returns), but more guidance is expected—particularly on model fees and performance portability. If you're not already documenting every performance claim, now is the time to start.

“Phantom Alpha” Is Real—And Preventable

David Spaulding of TSG, closed the conference with a deep dive into benchmark construction and the potential for “phantom alpha.” Even small differences in rebalancing frequency between portfolios and their benchmarks can create misleading outperformance. His recommendation? Either sync your rebalancing schedules or clearly disclose the differences.

This session served as a great reminder that even small implementation details can significantly impact reported performance—and that transparency is essential to maintaining trust.

Final Thoughts

From automation to attribution, PMAR 2025 showcased the depth and complexity of our field. If there’s one overarching takeaway, it’s that while tools and techniques continue to evolve, the core principles—transparency, accuracy, and accountability—remain as important a sever.

Did you attend PMAR this year? We’d love to hear your biggest takeaways. Reach out to us at hello@longspeakadvisory.com or drop us a note on LinkedIn!

ColoradoBiz Names Longs Peak’s Jocelyn Gilligan, CFA, CIPM as a Gen XYZ Top Young Professional
Longs Peak is pleased to announce that Partner and Co-Founder, Jocelyn Gilligan has been named a GenXYZ Top Young Professional by ColoradoBiz Magazine. As ColoradoBiz states, “They’re uncommon achievers, whether as entrepreneurs, CEOs, nonprofit leaders, visionaries critical to their companies’ success or, in some cases, all of those roles. This year’s Top 25 Young Professionals figure to continue making a difference professionally and in their communities for years to come.”
March 14, 2023
15 min

Longs Peak is pleased to announce that Partner and Co-Founder, Jocelyn Gilligan has been named a GenXYZ Top Young Professional by ColoradoBiz Magazine.

As ColoradoBiz states, “They’re uncommon achievers, whether as entrepreneurs, CEOs, nonprofit leaders, visionaries critical to their companies’ success or, in some cases, all of those roles. This year’s Top 25 Young Professionals figure to continue making a difference professionally and in their communities for years to come.”

Jocelyn grew up in Boulder, CO and graduated from the University of Colorado. She started her career at Ernst & Young in New York City where she worked on their Financial Services Transfer Pricing Team. She transferred with EY to their office in Shanghai and then eventually to Hong Kong. Jocelyn left EY as a Manager and relocated back to Colorado where she and her husband started a family. Soon thereafter, Jocelyn and Sean founded Longs Peak out of a small one-car garage in their home in Longmont, CO. Now running a thriving team of 14, Jocelyn has weathered the ups and downs of entrepreneurship. She credits a lot of their success to their amazing team and the community of entrepreneurs they live near and network with (Longs Peak is an active member of EO (Entrepreneurs Organization)).

Jocelyn is a voting member of the PTO at her children’s school and a member of Women in Investment Performance Measurement, a group recently founded to support women in the investment performance industry.

About ColoradoBiz’s Top 25 Young Professionals

The 13th annual Gen XYZ awards is open to those under 40 who live and work in Colorado — numbered in the hundreds, making for difficult decisions and conversations among judges, as always. Applications were judged by our editorial board based on career achievement, community engagement and their stories of how they got to where they are now.

About Longs Peak

Longs Peak is a purpose and values-driven company. It is our mission to make investment performance information more transparent and reliable—empowering investors to make better, more informed investment decisions.

At the onset, we were looking to help smaller investment managers by giving them access to professional performance experts and tools typically only available to very large firms. We know that our work enables emerging managers to compete with the big guys and helps facilitate their growth. We strive to be our clients’ most valued outsource partner and to be known for our exceptional client service. We know that providing exceptional client service means that we must first create a culture that lives by the ideals we are trying to create for our clients. A place where incredibly talented individuals are empowered to put their best work into the hands of clients that truly value what we do. As a firm, we recognize that our greatest asset is people – both those we work with and those we work for. We continue to evolve into something that represents the needs of both of these groups and hope someday a GIPS Report is provided to every prospective investor in the world.

SEC Clarifies Marketing Rule: Gross-of-Fee Returns Allowed Under Certain Conditions
The investment management industry has spent significant time grappling with the SEC’s Marketing Rule and the question of whether gross-of-fee returns can be presented without corresponding net-of-fee returns in certain cases. Many firms have invested resources in trying to allocate fees to individual securities and sectors in an effort to comply. However, the SEC has now issued two FAQs (March 19, 2025) that provide much appreciated clarity on extracted performance and portfolio characteristics. The key takeaway? It is possible to present gross-of-fee returns without net-of-fee returns—if certain conditions are met.
March 27, 2025
15 min

The investment management industry has spent significant time grappling with the SEC’s Marketing Rule and the question of whether gross-of-fee returns can be presented without corresponding net-of-fee returns in certain cases. Many firms have invested resources in trying to allocate fees to individual securities and sectors in an effort to comply. However, the SEC has now issued two FAQs (March 19, 2025) that provide much appreciated clarity on extracted performance and portfolio characteristics. The key takeaway? It is possible to present gross-of-fee returns without net-of-fee returns—if certain conditions are met.

Extracted Performance: Gross Returns Can Stand Alone Under Specific Criteria

Investment advisers often present the performance of a single investment or a subset of a portfolio (“extracted performance”) in marketing materials. Historically, the SEC required both gross and net performance to be shown for such extracts. The new guidance provides a pathway for firms to display only gross-of-fee extracted performance, provided the following conditions are met:

  1. The extracted performance must be clearly identified as gross performance.
  2. The advertisement must also present the total portfolio’s gross and net performance in a manner consistent with SEC requirements.
  3. The total portfolio’s performance must be given at least equal prominence to, and facilitate comparison with, the extracted performance.
  4. The total portfolio’s performance must be calculated over a period that includes the entire period of the extracted performance.

If these conditions are satisfied, the SEC staff has indicated they will not recommend enforcement action, even if the extracted performance is presented without corresponding net returns. This is a notable shift, as it allows firms to avoid the complex and often impractical task of allocating fees at the investment or sector level.

Portfolio and Investment Characteristics: Net-of-Fee Not Always Required

Another common industry question has been whether certain portfolio or investment characteristics—such as yield, volatility, Sharpe ratio, sector returns, or attribution analysis—constitute “performance” under the marketing rule, and if so, whether they must be presented net of fees.

The SEC’s latest guidance acknowledges that calculating these characteristics net of fees can be difficult and, in some cases, may lead to misleading results. As a result, the staff has confirmed that firms may present gross characteristics alone, without net characteristics, if they meet the following criteria:

  1. The characteristic must be clearly identified as calculated without the deduction of fees and expenses.
  2. The advertisement must also present the total portfolio’s gross and net performance in a manner consistent with SEC requirements.
  3. The total portfolio’s performance must be given at least equal prominence to, and facilitate comparison with, the gross characteristic.
  4. The total portfolio’s performance must be calculated over a period that includes the entire period of the characteristic being presented.

As with extracted performance, these conditions help ensure that the presentation is not misleading, reducing the risk of enforcement action.

Bottom Line: A Practical Path Forward

This updated SEC guidance provides much-needed flexibility for investment managers, allowing for the presentation of gross-of-fee returns in a compliant manner. Firms that clearly disclose their approach and follow the specified conditions can reduce compliance burdens while still meeting investor protection standards. While this does not eliminate all complexities of the Marketing Rule, it does offer a practical solution that allows for more straightforward and meaningful performance reporting.

For firms navigating these changes, ensuring clear disclosures and maintaining compliance with the general prohibitions of the rule remains critical. Those who align their advertising materials with these guidelines can now confidently use gross-of-fee performance in a way that is both transparent and in compliance with regulatory requirements.

Questions?

If you have questions about calculating or presenting investment performance in a manner that complies with regulatory requirements or industry best practices, we would love to talk to you. Please feel free to email us at hello@longspeakadvisory.com.