Performance Reporting and Attribution Analyst
Salary: Up to £80,000. Excellent bonus and benefits.
Summary of the role:
Produce analysis of Fixed Income strategies to identify key performance drivers (attribution, excess performance), providing in-depth reporting to investment managers, product specialist, sales and marketing teams. Continually enhance and develop Fixed Income analytical output of the team by ensuring systems, data feeds and reconciliation processes are relevant and optimised to continually provide superior service to our internal and external clients. Work closely with the team head on development and deployment of attribution solutions for non-fixed income asset classes.
Support the Head of Performance and Index in meeting overall functional objectives by delivering:
- Produce monthly performance attribution reports / package for the investment teams;
- Conduct performance deep dives to identify performance drivers for Senior Management revues;
- Provide accurate and timely responses to portfolio analysis queries / attribution request for external client reporting/RFPs;
- Calculate ex-post Tracking Error, Information Ratio, Volatility and Sharpe Ratios and Portfolio characteristics analysis;
- Work closely with external vendors to continually enhance internal attribution reports and analytics;
- Provide oversight and support to the production of proprietary Smart Beta Fixed Income benchmarks
- Deep understanding of the fixed income asset class and instruments (understand how security level PnL is calculated, including complex derivatives);
- Build strong working relations with investment managers and business support team across different offices/regions;
- Work closely with our external third party providers to ensure accurate and timely daily/monthly performance data;
- Be seen as the fixed income performance subject matter expert.
Develop and enhance performance processes:
- Understand transactional activity within an account and how it translates into performance;
- Become a SME in underlying attribution systems, data feeds, conventions, rules, and attribution models;
- Develop monthly reconciliation process to ensure accuracy in performance numbers in attribution systems;
- Troubleshoot and provide answers on performance queries to internal and external interested parties;
- Work closely with technology resources to enhance quality checks (using SQL, VBA as appropriate);
- Establish and document defined processes, procedures, quality standards, quality thresholds and system conventions.
Project lead for the migration of fixed income attribution from Barclays POINT to Bloomberg and the ongoing development of the Bloomberg PORT/PREP attribution tool.
Knowledge and skills required:
- Degree, followed by appropriate market, relevant working experience;
- Proven experience in Performance Measurement and Performance Attribution Analysis;
- Proven experience in IT projects related to Performance Analysis, data feeds, UAT testing, and performance reconciliation;
- In-depth knowledge Fixed Income attribution model;
- Knowledge of Multi-Asset attribution model;
- Knowledge of Equity Brinson Attribution;
- Knowledge of Morningstar Direct database;
- Advanced/Expert in MS Excel skills;
- Working knowledge of Barclays Point Hybrid Attribution;
- Knowledge of Bloomberg terminal big plus (including Bloomberg APIs);
- Knowledge of StatPro and GIPS composite management;
- Knowledge of Bloomberg terminal – PORT/PREP/BBU applications along with API experience;
- Matlab knowledge.