You’re the analytics lead for Aurora Wealth, a digital wealth manager with $38B AUM across 2.4M retail accounts and a growing institutional channel. Aurora allocates client portfolios to a mix of internal index strategies and 25 external active managers (long-only equity, credit, and multi-asset). External managers collectively run $9.5B AUM and charge 35–85 bps in management fees plus occasional performance fees.
Over the last two quarters, the CIO has flagged that several external managers are “not earning their fees.” At the same time, Relationship Management warns that terminating managers too aggressively can cause client churn (clients notice changes in holdings and performance patterns). Compliance also requires that Aurora demonstrate a repeatable, documented process for manager selection and monitoring.
One flagship manager, NorthBridge Growth (US Large Cap), has:
The CIO asks you to design an evaluation framework that can be applied across all managers and used to make decisions in the next Investment Committee meeting in 10 days.
You have daily holdings, returns, and transaction data for all managers, plus benchmark and factor model data. You also have client-level flows and churn for accounts exposed to each manager.
| Source | What it contains | Grain |
|---|---|---|
manager_daily_returns | manager_id, date, gross_return, net_return, aum_eod | Manager-day |
benchmark_returns | benchmark_id, date, return | Benchmark-day |
manager_holdings | manager_id, date, security_id, weight, sector, country | Manager-day-security |
trades | manager_id, trade_ts, security_id, side, qty, price, commission, slippage_est | Trade |
fees | manager_id, date, mgmt_fee_bps, perf_fee, other_expenses | Manager-day/month |
risk_model_factors | date, security_id, factor_exposures (value, momentum, quality, size), factor_returns | Security-day |
client_positions | account_id, date, model_portfolio_id, manager_id, market_value | Account-day |
client_flows_churn | account_id, date, net_flow, churn_flag | Account-day |
Constraints: You must support both monthly reporting and ad-hoc diagnostics, and your KPI must be explainable to non-quants on the Investment Committee.