Article from João Sousa Dias focuses on residuals on duration-based fixed income attribution
LONDON, September 25, 2017 – Eagle Investment Systems LLC, a BNY Mellon company and leading provider of financial services technology, is pleased to recognize the publication of an article by its Solutions Specialist, João Sousa Dias, in the summer 2017 issue (Volume 21 Number 4) of The Spaulding Group’s The Journal of Performance Measurement.
The article, “Residuals on Duration-based Fixed Income Attribution,” explores the different approaches to fixed income attribution and covers how residual-management practices can streamline fixed income attribution calculations and increase the accuracy of its results.
The Journal of Performance Measurement caters to performance professionals in the investment management field. The magazine serves as a sounding board for proposed standards for new issues such as attribution, best practices, and risk presentations.
“Fixed income attribution is a key focus for investment managers,” said Douglas Spaulding, Senior Vice President of The Spaulding Group and Editor of The Journal of Performance Measurement. “João’s presentation on this topic at our PMAR Europe conference in June was incredibly well received and is one of the fastest growing areas of interest among our members.”
“Data quality issues are among the biggest causes of residuals in fixed income attribution analysis,” said João Sousa Dias. “A duration-based model is an elegant and flexible approach to decompose returns of fixed income assets. Because it relies on simple and readily available data, it is also a model that helps tackle the issue of residuals. This article was designed to help performance management professionals reduce the effort necessary to produce high quality analysis.”
The full article, available to subscribers of The Journal of Performance Measurement, is available here: http://www.spauldinggrp.com/the-journal/
João Sousa Dias will be presenting on fixed income attribution at the upcoming FTF Performance Measurement Europe conference in London on 26 September. Full details of the event can be found here.
Eagle Investment Systems
Eagle is committed to helping financial institutions worldwide grow assets efficiently with its award-winning portfolio management suite of data management, investment accounting and performance measurement solutions that are delivered over its secure private cloud, Eagle ACCESSSM. Eagle deploys trusted solutions and services that create operational efficiencies and help reduce complexity and risk. Eagle Investment Systems LLC is a subsidiary of BNY Mellon. Additional information is available at http://www.eagleinvsys.com/ or follow us on Twitter @Eagleinvsys.
BNY Mellon is a global investments company dedicated to helping its clients manage and service their financial assets throughout the investment lifecycle. Whether providing financial services for institutions, corporations or individual investors, BNY Mellon delivers informed investment management and investment services in 35 countries and more than 100 markets. As of June 30, 2017, BNY Mellon had $31.1 trillion in assets under custody and/or administration, and $1.8 trillion in assets under management. BNY Mellon can act as a single point of contact for clients looking to create, trade, hold, manage, service, distribute or restructure investments. BNY Mellon is the corporate brand of The Bank of New York Mellon Corporation (NYSE: BK). Additional information is available on www.bnymellon.com. Follow us on Twitter @BNYMellon or visit our newsroom at www.bnymellon.com/newsroom for the latest company news.