BISAM Insights Blog

The dust has settled on Fixed Income Attribution

Posted by Sean Murray, Director of Product Strategy, BISAM on Mar 22, 2017 8:30:00 AM

Not long ago, the notion of an investor requesting multi factor attribution on their fixed income portfolios was unheard of.  To a near lay-person, the concept of explaining the movements of a portfolio sensitive to interest rates was crazy.  Multi factor attribution was for the front office, and its value was hampered by the limitations of the solutions at that time - unofficial results driven by lackluster data quality, without the ability to control data sources (outside of what the vendor chose for you).

At the same time, vendors and solutions providers were working hard to convince the industry that one attribution methodology was better than the other.  Lehman (then Barclays and finally Bloomberg) had ”Hybrid Attribution,” other vendors provided “Key Rate Duration”, while still others tried to convince the industry they what they needed was ”Custom Attribution.”  I’ll let you in on a secret: 90% of the time the same story is told in the same way.  The brand name of a methodology is actually a marketing exercise.

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Topics: Fixed Income Attribution, Performance & Attribution

Case Study: Increased Productivity = Enhanced P&A Results

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Mar 15, 2017 10:42:50 AM

The global asset manager featured in today's customer success story collaborated with BISAM to get support for three key objectives: 1. Multi-asset attribution calculations, 2. Reduce manual processing and operational risks, and 3. Set up a scalable and timely process for performance data calculations and delivery. 

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Topics: Performance & Attribution

Sneak Peek: Sean Murray at the Upcoming FTF Performance Measurement Americas Conference

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Mar 8, 2017 9:25:04 AM

The FTF Performance Measurement Americas conference kicks off this afternoon in New York City, and BISAM is pleased to once again participate alongside our PMAR industry colleagues and customers. Our own Sean Murray, BISAM's Director of Product Strategy, will moderate the closing discussion on Thursday afternoon, and in today's BISAM Insights blog post, he shares a sneak peek of what participants can expect from the panel.

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Topics: Performance & Attribution

MILESTONE: BISAM and FinAnalytica One Year On.

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Mar 2, 2017 2:45:13 PM

It has been one year since BISAM announced its acquisition of FinAnalytica, expanding our best-in-class buy-side offerings to include multi-asset market risk, portfolio construction and investment decision analytics. In reflecting on related discussions with the market over the last 365 days, I was struck by the volume of new and innovative ideas that our thought leaders have delivered to the market - from headline-driven fat-tailed risk analyses to research on the correlations of market turbulence, volatility and liquidity risk.

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Topics: Risk Management

The Elegance of Simplicity: Basic Tenets of Technology

Posted by Sean Murray, Director of Product Strategy, BISAM on Mar 1, 2017 8:30:00 AM

I recently saw the movie La La Land, and it got me thinking about the current state of technology in our industry.  You’re probably thinking “he’s nuts - how could a blockbuster musical possibly align with technology in our industry?”  Easy: the elegance of simplicity.

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Topics: Data Management, Market Trends, Performance & Attribution, Risk Management

Risk Analysis of the U.S. Dollar Index (DXY)

Posted by Ivan Mitov, Head of Quantitative Research, BISAM on Feb 22, 2017 12:38:43 PM

 

During the last couple of weeks, the U.S. Dollar has lost some power with respect to the currencies of the United States’ major trading partners, prompting myself and my colleagues - Velislav Bodurov and Bono Nonchev - to question how strong and characteristic the movements are, as well as what methodology should be used to model them. Following is our analysis, which looks at the U.S. Dollar Index (DXY) using BISAM's patented Cognity® real-world risk modeling approach. 

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Topics: Risk Management

Infographic: Build A Better Portfolio with Cognity

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Feb 15, 2017 8:53:10 AM

Investment professionals - RIAs and Asset Managers alike - must constantly find ways to differentiate and offer deeper level of insight into portfolio construction, including risk and return drivers and trade-offs, volatility, sensitivity analysis, correlations, and other quantitative factors. 

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Topics: Reporting, Risk Management

ETFs and Hidden Risks in your Portfolio

Posted by Sean Murray, Director of Product Strategy, BISAM on Feb 8, 2017 8:30:00 AM

An article published recently on FT.com detailed the rise in use of ETFs as an alternative to actively managed (or passively managed) Mutual Funds. The piece, ETFs are Eating the Stock Market, notes that the reasons investors choose ETFs over Mutual Funds are well understood, and can be summarized as broad investment allocation across segments with low fees.  The article goes on to surmise that ETFs are here to stay, even with a presumed turnaround in active management in 2017. So for those firms selecting ETFs as a quick and easy way to gain exposure to a specific segment, what might be the overall impact on your portfolio, and how can you prepare for the potential of hidden (and unintended) risks?

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Topics: Data Management, Performance & Attribution, Risk Management

Case Study: End to End Investment Performance Analysis

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Feb 1, 2017 8:33:23 AM

Today’s blog post summarizes how BISAM collaborated with the performance team and their front office counterparts at a large global insurance firm to deliver a robust performance and attribution platform for complex data management, performance measurement, reporting and multi-asset attribution.  The resulting solution enabled the performance team and portfolio managers to evaluate and enhance their investment strategies, while maintaining high levels of security, transparency, process control and operational scale. 

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Topics: Data Management, Reporting, Performance & Attribution

BISAM Daily Risk Statistics – Post Inauguration Market Observations

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Jan 25, 2017 11:27:57 AM

In their November 2016 post-election analysis, Is the Recent Market Rally Indeed Small Caps Drivenour BISAM Quant team noted that, “despite the media expectations of a swift market crash following the U.S. presidential elections on November 8, 2016, the markets actually continued going up significantly.” Since then, our team has kept an eye on the Cognity Daily Risk Statistics, which visualize Normal vs. Fat-Tail VaR spreads.*  As of today, it would seem that the spreads have remained fairly flat across both the Russell 2000 and S&P 500 - a signal of ongoing optimism in the current market regime.  

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Topics: Daily Risk Statistics, Risk Management