Objective

Creation of a profit and loss showing the contribution of individual investment teams and strategies helped provide a total return view for the fund

Challenge

Investment committee of a sovereign wealth fund and asset class CIO’s required transparency on the contribution of individual investment strategies to the total net return of the fund.

The aim was to develop a firmwide analysis and framework of segregated P&Ls at managerial level.

Allocation of capital decided based on attractiveness of respective investments within strategic and risk-based boundaries without considering economic relevance and impact on the funds’ profitability.

Solution

Conceptualised and implemented product, investment team and asset class profitability analyses.

This included ● combination of fund accounting, balance sheet and financial reporting information ● relevant profitability analyses including gross return, benchmark return, alpha, investment cost, net return, direct operating cost and indirect operating cost ● basis point information converted into absolute amounts to build a profit and loss view.

Benefits

Supported the conceptualization, introduction, and implementation of mid-term strategic targets for a fund and the underlying asset classes and investment operations function as well as the tracking of financial performance for each component.

Progressed institutional mindset away from an alpha-centric view to a total return view and created a more cost-conscious investment organisation.

Technologies utilised

• Oracle Hyperion Essbase & Knime (on-prem)
• Microsoft PowerBI
• Oracle SmartView Excel Add-In