Client: Global asset manager with $800 billion in AUM
- Client Need: A global insurance and financial services firm required assistance to lead their performance attribution automation project. There was significant risk in the front and middle office processes for producing attribution numbers.
- Why IMP Was Chosen: The portfolio managers recognized the importance of a thorough understanding of the instruments and quantitative nature of the data and so the project was led by an SME/Quant Analyst at IMP with trading experience.
- IMP Solution: The firm used POINT to compare third party managed portfolios to market indices and custom benchmarks. Using interfaces to other applications, the firm fed holdings data into POINT. A custom report utilizing the output from POINT was created to group holdings using custom buckets (ratings buckets, duration and asset type). This report was used daily by the portfolio managers and analytics were used in downstream systems.
- Outcome: As part of the creation of the custom report, durations needed to be compared to other systems and to publicly reported index data. Through a thorough reconciliation process, the SME was able to identify holdings that required additional attention (e.g. factor issues, paydowns, incorrect maturities). These were identified, documented and reviewed by the performance group and risk management team.