Performance and Attribution System Implementation with Fixed Income Attribution 

Our client wanted to replace their performance and attribution system for equity and fixed income funds. They wished to move away from the current buy and hold model to transaction-based attribution in the new system. There was also a requirement to calculate ROI, using a bespoke calculation formula, and report this to internal stakeholders. We were engaged to be responsible for the overall project management of the implementation for both conventional and Islamic portfolios.

What we did

The project was broken into two phases to accommodate existing product license expiry (three months from the project start date)

  • Phase 1 covered a like for like performance and reporting implementation of the new system so that there was a continuity in business. A bespoke development was necessary for the data files and the data characteristics required to support the current model
  • Phase 2 covered the switch to the transaction-based performance and attribution and delivery of the ROI solution from within the system. The initial files built for the Phase 1 were re-designed and new data files were created for the transactions and the additional data for the ROI Calculation
  • We addressed data management challenges in the underlying datasets, developed custom ROI calculations on top of the solution’s existing capability, and configured the solution to support their Islamic investing requirements
  • Defined dashboards that helped management better understand aggregate level performance against risk taken by front office to achieve performance
  • We applied our proprietary automated testing strategies, which helped to reduce the implementation time and ensured high quality delivery
  • Operational support for middle office to help stabilise the system and ensure a smooth handover following the implementation

Our impact

  • The client was able to navigate challenges such as erroneous accounting data, inability of the new solution to support custom (ROI) calculations, and incorporation of Shariah based profit appropriation of returns, based on Shariah Council’s advice
  • The new solution proved to be essential for the client’s business objectives of having a single system to cater to all their reporting requirements

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