Product Overview
Utilising all the Biton PMS functionality, this specific application provides full performance attribution, enabling detailed analysis of exactly where performance has been achieved, broken down between asset allocation of local market and Foreign Exchange
The Global Fixed Income Attribution System offers a systematic detailed attribution analysis against the benchmark in terms of asset allocation local market and foreign currency (FX) factors. The breakdown reports the factors behind a fund manager's ability to add value over the benchmark for any time period, including daily.
The system handles cash, deposits, FX, bonds, forwards, futures and options. It gives users a clear picture of how the portfolio is doing against the designated benchmark on any given day. The daily framework allows Fund Managers to measure the impact of market timing. It is an essential tool for fund managers and Chief Investment Officers, as it provides an objective summary of where money is being made and lost at a moments notice. The ideal analysis time frame is daily, but the mathematical formulation is designed to provide accurate information over any date range.
The system grew up on top of the Biton multi-currency Portfolio Management System which brings our client, Salomon Smith Barney, the following unique advantages :
- Completely integrated with the back-office system without additional effort of maintaining a stand-alone system.
- Measures timing and impact of all trades on performance.
- With appropriate daily data on indices, exchange rates, and securities prices, users can analyse a portfolio over any date range.
- Immediate access facilitates in improved performance and better risk control.
- Portfolios can be analysed on both gross and net return basis.
- Identify the performance impact of any number of trades.
- The index feed facility can load daily indices statistics from index vendors automatically.
- Summary as well as highly detailed reports are available.
- Customised reports with the access to individual attribution components is possible.
- Exposure analysis against any benchmark
