The Approach to Multi-Asset Class Attribution

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Feb 23, 2016 9:00:00 AM
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BI-SAM_will_participate_to_FTF_Conference.pngBI-SAM is pleased to announce our participation at the March 10 – 11 FTF Performance Measurement Conference in NYC. On Day two of the conference, BI-SAM’s own Sean Murray will moderate the Multi-Asset-Class Attribution panel, during which he and the expert team of panelists will discuss the many different ways of approaching multi-asset-class attribution.

With the conference just a few weeks away, I sat down with Sean to learn more about what he and the panel will discuss, and to get his point of view on some of the key trends and challenges in multi-asset attribution practices today.

Erika Alter: What are the key trends and challenges that you expect to cover during the panel discussion?

Sean Murray: Well as a start, the mere attempt to define “multi asset attribution” will be a key discussion point. I would define multi-asset attribution as many asset classes each with their unique needs, brought together into one holistic view for the needs of management and clients. But in my ongoing experience with our clients, and in early discussions with the panel, there is not a single, agreed upon definition. For example, just today, I heard it referred to by one practitioner as an “aggregation issue,” while another suggested it is a “classification issue.” The same can be said of methodology – another topic we plan to cover - different practitioners apply different methodologies to multi-asset attribution.

EA:  Well I imagine there is a correlation between how performance professionals define multi asset attribution and the specific methodologies they choose to apply?

SM: Of course. Methodologies range from simple contribution analysis across all asset classes, e.g. one methodology for one asset, whereas others will split attribution down per asset class and apply a very specific, best practice approach for each instrument before rolling back up into a single view.

EA: So is it fair to say that coming to a single, one-size-fits-all definition and methodology approach to multi-asset attribution is the primary challenge for practitioners?

SM: Not at all. That would imply that there is a one-size-fits-all approach, and there is not. As always, it actually comes down to data and technology. The key challenge for any approach to multi-asset attribution is actually aligning data and technology to support any and all of the processes that a team might wish to apply, regardless of how they define multi-asset attribution, or the methodologies they apply to analyzing attribution.

EA: So what are some of the key data and technology challenges that you’ve come across during your interactions with BI-SAM’s customers, and your early discussions with the panel?

SM: From a technology standpoint, the biggest challenge is being able to configure technology to support your firm’s particular processes and best practices. For example, the alignment of results with decision-making processes. But even if a firm has the optimal technology platform in place, it ultimately comes down to getting the data right. Best practices must be followed: Automate. Validate. Check. Reconcile.

EA: In other words, as the wise Lisa Conner continues to say, “get the data right, and the rest will follow!” So any other hot topics you expect to come out of the discussion?

SM: The panel and I are quite interested to hear how many firms still use a proprietary in-house system, or how many have recently transitioned to a third party vendor, and how or if their specific challenges have changed as a result of that change.

EA: Thanks Sean. I look forward to hearing more from you and the panel at the conference.  

To our readers: if you plan to attend the FTF Performance Measurement Conference, please stop by the BI-SAM booth to say hello to the team, and of course be sure to attend Sean’s panel discussion at 3:30 p.m. on March 11. We hope to see many of you there!

See our related posts for more information:

Fixed Income Attribution – Why Do We Make it So Hard on Ourselves? - Peter Ellis
Fixed Income Attribution – The Edge is in the Data - Lisa Conner
What Has Your Performance Application Done for You Lately? - Sean Murray
You Know it’s All About the Data - Lisa Conner
Attribution, Where Did it All Go Wrong? - Peter Ellis

Topics: Performance & Attribution

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