Data Migration: Performance Attribution Model Migration

Overview

Performance attribution modeling, the method by which to calculate the differences in performance between a managed portfolio and its associated benchmark, enables portfolio manager to evaluate and deconstruct their active returns in relation to the portfolio’s mandate.

As part of our client’s business restructuring and cost saving exercise, their performance attribution calculations would be brought in-house. As the project became protracted, Monocle was brought on to assist in delivering on the initial POC with the implementation of their chosen vendor solution. Ultimately, Monocle implemented and delivered the performance attribution solution for reporting and portfolio management purposes.

Our responsibilities included the thorough investigation of source data, the mediation of any data quality issues, the implementation of data enrichments, and the implementation of the end to-end attribution calculation process. Due to the delays and various handovers experienced on the project before Monocle joined, an analysis of the full vendor capabilities and any subsequent gaps with the initial POC had to be determined and resolved by Monocle. This included vendor model validation, extended data integration efforts, and workaround implementations given the extent of vendor limitations

Solution

• Implementation of Performance Attribution solution for reporting and portfolio management purposes

Insights

• Conduct thorough POC analysis alongside the evaluation of potential vendor systems’ capabilities to ensure business requirements can be met before development begins.
• Ensure resources with financial market experience are assigned to the implementation phase
• It is fundamental that adequate attention is given to static data requirements when implementing any market data solution: the technicalities and costs of industry standards underlying financial instruments are often overlooked by business.

Results

• Sourcing Data: Source validation, DQ remediation, data enrichment, and process flow implementation.

• Solution Implementation: Integration analysis, data transformation, and ingestion.

• Outcome Validation: Model validation and reconciliation attribution results.

Key Skills Required

• Thorough knowledge of financial markets and portfolio management standards and conventions
• In-depth understanding of vendor offerings and shortcomings for successful system integration
• Data flow design, data validation, data transformation and process implementation

Banking Area

• Financial Markets

• Asset Management

• Performance Reporting

Skill Sets

• Data and System Analysis

• Model Validation

• Data Integration

• SQL, Python, Power BI

Themes

• Data Migration
• Vendor Integration
• Process Automation
• Performance Attribution