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
