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

A Final Word From Peter Ellis, and a Fond Farewell!

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Dec 21, 2016 8:00:00 AM

A couple of months ago, Peter Ellis, renowned PMAR expert and valued advisor to BISAM, took the decision to retire at the end of this year. Or as he put it, “it’s more of a semi-retirement, as I will continue to advise the industry here and there.” We will miss Peter’s insights and contributions, but we are pleased for him and wish him well on his adventures in retirement. In the following post, Peter reflects on his time at BISAM and the ever-evolving performance and risk industry, and offers words of encouragement for the future. I hope you enjoy reading it as much as I did. And now, here's Peter...

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Topics: Fixed Income Attribution, Market Trends, Performance & Attribution

The Post-POINT Transition Series - Part 3: Decoupling Analytics

Posted by Sean Murray, Director of Product Strategy, BISAM on Sep 21, 2016 8:20:55 AM

Fixed Income Attribution solutions are notoriously data hungry, requiring immense amounts of data from many sources to seamlessly decompose portfolio and benchmark returns. Acquiring the data is just one small part of the equation - equally important is integrating, matching, and validating the data - not to mention ensuring the portfolio managers and external customers are happy with the selections. When it comes to choosing data vendors and data tools, the priority has typically been to focus first on selecting a vendor of index and analytics data that could meet the requirements of internal users and customers, and then simply leveraging that vendor’s data tools for a low (or no) fee.

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Topics: Fixed Income Attribution, Performance & Attribution, Risk Management, Barclays POINT Transition Series

The Post-POINT Transition Series - Part 2: Data Considerations

Posted by Lisa Conner, Head of Data Management, BISAM on Aug 4, 2016 7:00:00 AM

In the world of Risk and Performance and Attribution, the players are buzzing – what is going on with Bloomberg LP and the acquisition of Barclays POINT and the Barclays Fixed Income indices? 

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Topics: Data Management, Fixed Income Attribution, Performance & Attribution, Risk Management, Barclays POINT Transition Series

The Post-POINT Transition Series - Part I: Choosing the right application for your firm

Posted by Sean Murray, Director of Product Strategy, BISAM on Jul 27, 2016 8:19:46 AM

BISAM has long been recognized as a leader in the Fixed Income Attribution space, due in no small part to our early and sharp focus on providing an application that provides consistent results within the firm, but also outside the firm.  We have watched our customers embed the results coming from B-One into direct conversations with their clients, marketing literature, client reporting, etc.  Through this process, we have realized that our customers’ clients have become more and more educated.  Their historical inattention has turned into a keen eye to manager performance as it relates to their fixed income investments.  They understand the impact of

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Topics: Fixed Income Attribution, Performance & Attribution, Risk Management, Barclays POINT Transition Series

Barclays POINT – Filling the Gap

Posted by Erika Alter, Global Head of Commercial Strategy, BISAM on Jan 26, 2016 10:33:33 AM


Since Bloomberg announced its acquisition of Barclays POINT at the end of 2015, BI-SAM has received a number of inquiries from our customers who are seeking guidance as they begin to consider a transition plan.

In that spirit, we have outlined three questions that current Barclays POINT users should consider as part of their evaluation process:

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Topics: Fixed Income Attribution, Performance & Attribution, Risk Management, Barclays POINT Transition Series

Fixed Income Attribution – The Edge Is In the Data

Posted by Lisa Conner, Head of Data Management, BISAM on Nov 17, 2015 9:37:48 AM

This month, the BI-SAM Insights Blog has been tackling the specific challenges posed by fixed income attribution, and a recent comment from a reader regarding the importance of good data got me thinking about not only the complexities of fixed income attribution, but of the complexities and multiple considerations that come with managing fixed income data.

So for the sake of today’s post, let’s agree on a basic premise - in the world of fixed income securities and data, a minor change can result in millions of dollars in cost differential.  In other words, you better get the data right!

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Topics: Data Management, Fixed Income Attribution

Fixed Income Attribution - We Can Make It Easier To Implement

Posted by BI-SAM's Professional Services Team on Nov 10, 2015 9:00:00 AM

In our previous blog post we discussed the use of attribution analysis and fixed income attribution methodologies to analyze bond portfolios. Surprisingly, attribution analysis is not widely used for bond portfolios; and of those using fixed income attribution, many are dissatisfied to some extent with the results it produces. The reasons often given are that it’s hard to understand and it’s hard to implement.

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Topics: Fixed Income Attribution, Support & Implementation