Multi Asset Performance Software

Now more than ever, knowing confidently how much each asset class and investment decision contributes to absolute and relative performance is vital.

Traditional solutions specialise in equity with a fixed income bolt-on, leaving multi-asset attribution to self-serve via spreadsheet and database analysis with its inherent risks and limitations.

These challenges, complicated by the selection of appropriate models and the desire to properly allocate decisions, has moved the attribution process from fairly straightforward to significantly more complex.

At a time when clients demand more detailed analysis and portfolio managers require greater insights into the sources of return, CloudAttribution has developed a better way.

Core Areas

Currency Exposure

Incorporating Fixed Income

Focus on the Factors Managed

Strategy Tagging

Fund look-through

Currency Exposure

It is widely recognised as vitally important to represent who manages the exposure, whether it is an underlying FI / EQ manager, a multi-asset team or a currency team.

There is also a need to display currency exposure for both portfolio and benchmark, and for awareness of all currency effects, including held funds and NAV benchmarks.

Our Solution

We create currency baskets where exposure differs from trading currency providing an efficiency gain in negating the need to process underlying assets. In addition this approach allows us to extend analysis into ETFs.

Currencies can remain with the parent or classified separately. We can also represent the split between local and FX returns, while performance remains unchanged.

Managers can see the results of their decisions.

Incorporating Fixed Income

It is essential to provide the right insight with a system that can incorporate and handle all exposures (futures, swaps, VC, PE, commodity etc) and shine a light on all elements of the decision.

Our Solution

Our approach incorporates equities (Brinson Fachler) and fixed income (extended van Breukelen). Using the accounting data means we handle any exposure the accounting system can, including VC, PE, Commodities, Futures, Options, Swaps etc.

We link the selection term with the underlying fund versus its benchmark, so attribution uses the most appropriate model for the asset class. Attributing benchmark differences are also clearly displayed.

Total clarity provided around choices, teams and performance achievements.

Focus on the Factors Managed

Multi-asset attribution has traditionally involved processing a large number of securities (benchmarks / ETFs etc) in an attempt to gain detailed insight into sources of return.

Our Solution

We pre-calculate benchmark aggregates, based on the factors used to manage the portfolio linking analysis to the strategy while retaining the portfolio at security level to calculate performance.

There is a significant efficiency gain via the reduction in assets while maintaining accurate attribution. All portfolios can be incorporated daily rather than focusing on a few high profile ones.

Strategy Tagging

Challenges exist around the number of strategies currently implemented, as opposed to fixed classification structures.

There are as many as 70 strategies, but it is more likely to be 10-20 per portfolio. Strategies are implemented using ETFs, futures and swaps, and securities exist in multiple strategies adding to the complexity.

Our Solution

Our approach facilitates strategy tagging at the transaction level, so securities and currency can be tracked across multiple strategies. By automating the process we provide further details including trades, weights, contracts and before/after analysis which helps speed tagging.

We capture changes in classification from day-to-day and within a day. We also incorporate component contributions and a trade and level tracker.

Elevate the discussion through our tear sheets for use in meetings

Fund look-through

Capturing the underlying fund contributions transparently can be a difficult process when you consider elements such as handle holding (underlying residual), the inclusion of corporate events and classification flexibility in representation (fund or portfolio).

Our Solution

By using the classification of the underlying fund we provide you the ability to classify securities within the rest of the portfolio.

The ability to handle funds with zero weight means you can allocate residual or corporate events which negates any need for smoothing. Our approach identifies underlying fund securities back to the source and allows you to maintain total portfolio performance.

Solve Common Problems With a Multi-Asset Performance Software Solution From CloudAttribution

Problem

Issues

Our Solution

Problem

Managing an ever-increasing security count

Evolution from top-down attribution of 10 sectors to full security-level attribution.

Desire to surface exposures being managed
Expose underlying assets within the fund
Represent ETFs via benchmark securities

Issues

Each portfolio and benchmark combined can be 16,000 to 20,000 securities
Processing itself is a challenge
Increase in sources of error

Our Solution

Focus on the factors being managed
Sector, country and currency
Match to the management style
Reduce the assets without losing detail in attribution

Problem

The role of Strategy Tagging

Managers discuss strategies currently implemented over fixed classification structures.

Issues

Capturing strategies correctly
Automation into attribution
One security may exist in many different strategies
Overlap
Attribution by strategy
Multiple strategies per portfolio

Our Solution

Automation where possible
Trades, weights, contracts
Detailed output
Better understanding of portfolio
Easily constructed ‘Tear Sheets’ for meetings

Problem

Handling Futures

On roll day, reflect the correct and consistent exposures. Include daily margins to capture currency effects. Check operations teams have booked correct margins

Issues

Need consistency between close and open transactions
Avoid double-counting caused by overlapping the holdings
Avoid zero exposure
Margins included as a single item

Our Solution

Handle open and close at single point in time
Margins included with individual contracts
When booked margins incorrect, feedback correction to Ops teams

Asset Class

A greater desire for diversification of investments, coupled with increased uncertainty, has generated an inflow in AUM to multi-asset portfolios.

Get in touch

Fill in your contact details along with your enquiry and one of our team will be in touch with you as soon as possible.

info@cloudattribution.com

Multi-Asset Attribution

Core Areas

Currency Exposure

Our Solution

Incorporating Fixed Income

Our Solution

Focus on the Factors Managed

Our Solution

Strategy Tagging

Our Solution

Fund look-through

Our Solution

Solve Common Problems With a Multi-Asset Performance Software Solution From CloudAttribution

Managing an ever-increasing security count

The role of Strategy Tagging

Handling Futures

Asset Class

Related Articles and Downloadable Resources

Multi-Asset Attribution Grows Up – White Paper

Multi-Asset Investment Strategy – Attribution made simple

Multi-Asset Portfolio Challenges: eliminating the noise, simplifying the process

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