Fiduciary Trust Hybrid Attribution 3

Fiduciary Trust Hybrid Attribution
July, 2023
Author: Krasimir Valkov

Title
Contents
ETM Hybrid............................................................................................................................................................... 3
General Workflow/Data Flow.................................................................................................................................... 3
Data Requirements................................................................................................................................................... 5
Transaction Mapping................................................................................................................................................ 6
Data Extracts & Parsers........................................................................................................................................... 8
B-One Workflow...................................................................................................................................................... 10
Automation: BWA & Cornerstone........................................................................................................................... 10
Portfolio Analysis.................................................................................................................................................... 10
Documents.......................................................................................................................................................... 11
Groupings........................................................................................................................................................... 11
Portfolio Dashboard................................................................................................................................................ 12
Publisher................................................................................................................................................................. 13
Appendix................................................................................................................................................................. 13
Copyright © 2023 FactSet Research Systems Inc. All rights reserved. FactSet Business Use Only www.factset.com | 2
Document Purpose
A hybrid FactSet performance solution is a combination of B-One and core FactSet applications such as PA &
SPAR. This document focuses on Fiduciary Trust’s hybrid attribution implementation details for the combined B-
One & PA solution where B-One is the source of the client’s validated portfolio positions & transactions used in
PA’s enhanced transaction mode (ETM) to generate performance and attribution results.
Fiduciary Trust is an existing B-One, PA & SPAR client, with limited integration between these workflows. The
project required the introduction of Brinson Equity Attribution for the existing universe of accounts in B-One. This
data flow also had to include security master groupings because the need to “co-calculate” performance in B-One
and attribution in PA. The implementation scope includes approximately 6,700 accounts (including ordinary and
consolidated) with accounting data since 31-Aug-2021. The attribution is to be performed based on Asset Class,
Sector and Market Cap groupings (details below).
The attached spreadsheet consists of detailed information about the account scope, benchmark and their
associations, SQL code used for extracting and other purposes, return reconciliations between PA and B-One,
and other.
ETM Hybrid
Hybrid implementations are typically proposed as alternative to FPS when one of the following conditions exist:
 Requirement for B-One for Total Return

There is not yet functional parity between B-One’s Total Return Module & core FactSet. As a result, for a
consistent data flow, B-One is leveraged as single data management layer both total & security return
workflows, as well as the performance generator for Total Return, with the final total & security return
output being available for client use in SPAR & PA.
 Existing B-One client

Fiduciary Trust is utilizing B-One to calculate total and decomposed returns as well as performing various
data checks and generating multiple reports.
 User-driven data management workflow.

Fiduciary Trust is utilizing B-One’s data management, control & workflow functions to centrally manage
their performance operations.
General Workflow/Data Flow

The general hybrid workflow consists of the following steps:
1. Accounting data extraction (incl. characteristics such as sector, market cap etc. to be included in PA
groupings)
2. Accounts and Benchmarks master files extraction
3. Consolidated Accounts and Benchmarks structure/memberships
4. All extracts uploaded into B-One SFTP
5. Python scripts to concatenate “per portfolio” accounting data files into a single file for Parser consumption
6. File archiving
7. All extracts uploaded into Cornerstone SFTP in .zip format
8. Cornerstone job to execute Parsers (upload of data)
Not in scope for current implementation
Data Requirements
There isn’t yet a standard set of data requirements for hybrid ETM implementations. The PA data requirements
specifically for ETM mode are specified here.
The standard B-One data requirements cover most, if not all, of these downstream requirements for PA with the
following exceptions/considerations.
Security Identifiers
The best practice in B-One is to leverage a security identifier that is unique and is unlikely to change, most
commonly this is a client internal identifier sourced from a client’s source accounting system or data warehouse.
The best practice in PA is to leverage a market identifier (CUSIP, SEDOL, ISIN etc.) so as to align with market &
benchmark data for attribution purposes. At Fiduciary Trust, we incorporated a cascadic logic with utilizing first the
CUSIP, then SEDOL and finally FT’s internal security code.
Derivatives
Derivatives would usually be handled by the native PA’s Asset Type Adjustments (AUOs). For the scope of this
implementation, we would not require applying any specific AUOs.
Transaction Mapping
Currently, ETM mode requires both security and cash transactions to be supplied. Transaction mapping in B-One
should include linked cash transactions.
PA employs specific transaction types (BL, SL, SS, BC, IN, PD, TI, TO, FEE), which are comparable to B-One's
Transaction Category information. However, to ensure accurate mapping of security and cash transactions and
reflect the appropriate transaction effect in PA, we needed to utilize specific data items obtained from Global Plus,
Fiduciary Trusts' accounting system. These include:
 Transaction Category
 Transaction Type
 Trade Quantity
 Holding Quantity and its daily change
 Trade Value
By leveraging this data from Global Plus, we can successfully map the transactions and accurately represent their
effects in PA. The mapping process entails the creation of SQL database views (DYN_HYBRID_TRA &
DYN_HYBRID_CASH_TRA), which encompass essential transaction details and their respective PA categories.
These details are subsequently referenced and utilized by the B-One data extracts before generating the
transaction file for FactSet/PA consumption.
Security Transactions: (1) Trade Type and (2) Trade Value
Cash Transactions: (1) Trade Type and (2) Trade Value
Data Extracts & Parsers
Generated files from B-One based on Data Extracts that are to be loaded into FactSet, along with the order of
parsers:
1. Holdings
a. Parser: HYBRID_HOLDINGS (Append mode)
b. B-One Data Extract: Workflow: (1) Enhanced Holdings
c. File extension: HOL_*.csv
2. Cash Transactions
a. Parser: HYBRID_CASH_TXN (Overwrite mode)
b. B-One Data Extract: Workflow: (2) Enhanced Cash TXNs
c. File extension: CASH_TRA_*.csv
3. Transactions
a. Parser: HYBRID_TXN (Append mode)
b. B-One Data Extract: Workflow: (3) Cash TXNs
c. File extension: TRA_*.csv
4. Hybrid Benchmarks Structure
a. Parser: HYBRID_ACTM_HB_BMK (Append mode)
b. B-One Data Extract: Workflow: (4) ACTM Structure (HB Benchmark)
c. File extension: HB_Structure_*.csv
5. Benchmarks Structure
a. Parser: HYBRID_ACTM_BMK (Append mode)
b. B-One Data Extract: Workflow: (5) ACTM Structure (Benchmark)
c. File extension: BMK_Structure_*.csv
6. Accounts Master
a. Parser: HYBRID_ACCT_MASTER (Append mode)
b. B-One Data Extract: Workflow: (6) ACCT Master
c. File extension: ACCT_Master_*.csv
7. Consolidated Accounts Master
a. Parser: HYBRID_ACTM_MASTER (Append mode)
b. B-One Data Extract: Workflow: (7) ACTM Master (CN)
c. File extension: ACTM_Master_*.csv
8. Consolidated Accounts Structure
a. Parser: HYBRID_ACTM_CN (Append mode)
b. B-One Data Extract: Workflow: (8) ACTM Structure (CN)
c. File extension: ACTM_Structure_*.csv
The data extracts reflecting any account characteristics or structure/membership changes leverage the auditing
tables in B-One and ensure only new modifications are being extracted (i.e. Audit Date > Last Workflow Execution
Date).
Cancelled transactions are not managed based on the ACCT/CNCL flag in the Parser, as this information is
currently not available in B-One. Instead, re-statements are identified through the audit tables in B-One and
reflected in the transaction file. It is important to note that the Cash Transaction parser is prior to the Security
Transaction parser, and it is using an Overwrite mode. It is common for Fiduciary Trust to directly load a cash
transaction without a corresponding security transaction, while security transactions typically have corresponding
offset/netting transactions.
B-One Workflow
The standard B-One workflow configuration is a master “Generic” workflow, “hybrid_attrib_workflow”, containing
the following sub-workflows:
 Data Extract: Accounting Data

o Holdings
o Transactions (both Security and Cash)
 Data Extract: Benchmarks
o HB Benchmarks Structure
o Benchmarks Structure
 Data Extracts Portfolios
o ACCT Master
o ACTM Master
o ACTM Structure
The “Accounting Data” type of workflows have a dynamic SQL selection, that includes the daily loaded
holdings/transactions + any re-statements that occurred after the last execution of the workflow. Those workflows
are Portfolio Data Dependent, thus generating a file per portfolio per date.
The other type of workflows would be in the form of a single file, containing information only relevant after the last
execution of the workflow (e.g. if a consolidated account has a new joiner, or if there is a new account joining the
scope).
There is an additional workflow that was used for loading the historical accounting data into FactSet.
The below attachments consist of the workflows structure and the underlying data extracts.
Automation: BWA & Cornerstone

The timing of the workflow/job execution is further to be defined (weekly or monthly).
 BWA job name: “FTCP-HYBRID-ATTRIB-DATA”

 Cornerstone job name: “B-One Hybrid Feed PROD” in fidtrust_qnt
 Workflow name is: B1 Holdings Daily PROD,
Copyright © 2023 FactSet Research Systems Inc. All rights reserved. FactSet Business Use Only www.factset.com |
10
 Loads to: super_client:/hybrid_attr/
After initiating the B-One workflow and generating files in the B-One SFTP, the subsequent steps involve
concatenating the ‘per portfolio’ accounting data files, so that the consolidated files are then zipped and sent to
the Cornerstone SFTP, where Cornerstone can process them accordingly. Eventually, the files will be parsed into
FactSet as part of the overall process.
Portfolio Analysis
Documents
 SUPER_CLIENT:/HYBRID_ATTRIB/ETM – A working document
 SUPER_CLIENT:/HYBRID_ATTRIB/HYBRID_ATTRIBUTION – A document used for the PUB reports
The accounts, benchmarks and indices are located as follows:
Accounts Location: SUPER_CLIENT:/HYBRID_ATTRIB/HYBRID_ATTRIBUTION/ACCOUNTS

Benchmarks Location: SUPER_CLIENT:/HYBRID_ATTRIB/HYBRID_ATTRIBUTION/BENCHMARKS
Indices Location: SUPER_CLIENT:/HYBRID_ATTRIB/HYBRID_ATTRIBUTION/INDICES
Groupings
Fiduciary Trust require the following grouping schemas for their Equity Attribution analysis:
1. Sector/Industry: Asset Class + Sector + Industry
11
2. Market Cap: Asset Class + Market Cap + Sector
3. Equity Asset Class Only: Asset Class + Sector + Industry
12
In PA’s grouping logic, we utilize both security level characteristic sent from B-One as part of the Holding/Gen
parser, existing MSLs (SUPER_CLIENT:/FTCI_GPLUS_MAP in particular) and custom formulas (specifically for
the Market Cap) to define the grouping by leveraging the AVAIL function (i.e. using a cascading logic).
For top-level indices (non-equity ones), there is an OFDB dedicated for mapping the index to a specific segment
as illustrated below:
Portfolio Dashboard
A dashboard comparing PA bottom-up return versus SPAR (top level returns fed by B-One’s Total Return module)
was built for history return reconciliation. The document includes all accounts in the HYBRID_ATTRIB directory.
Document: SUPER_CLIENT:/HYBRID_ATTRIB/PERFORMANCE_DASHBOARD
13
Publisher
Information about PUB implementation
Appendix
Python scripts for concatenating accounting data (Holdings, Transactions, Cash Transactions) used locally.
Similar scripts have been deployed in BWA for the automated concatenating process directly within the SFTP.
14

Fiduciary Trust Hybrid Attribution 3

Uploaded by

Document Information

Original Description:

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Fiduciary Trust Hybrid Attribution 3

Uploaded by

Copyright:

Available Formats

Fiduciary Trust Hybrid Attribution

Author: Krasimir Valkov

 Requirement for B-One for Total Return

 Existing B-One client

 User-driven data management workflow.

General Workflow/Data Flow

Security Transactions: (1) Trade Type and (2) Trade Value

 Data Extract: Accounting Data

Automation: BWA & Cornerstone

 BWA job name: “FTCP-HYBRID-ATTRIB-DATA”

The accounts, benchmarks and indices are located as follows:

Accounts Location: SUPER_CLIENT:/HYBRID_ATTRIB/HYBRID_ATTRIBUTION/ACCOUNTS

1. Sector/Industry: Asset Class + Sector + Industry

3. Equity Asset Class Only: Asset Class + Sector + Industry

You might also like