Field descriptions for Selectable Input Smoothing and Field Map are described in the tables below.
Field
Description
Name | Specifies a name for the SIS Field Map. |
Comments | Provides descriptive comments. This field is optional. |
Do not allow others to edit this field | Determines whether others can edit the Global Attribution Group. |
Field Options | Specifies field options. Options include:
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Smoothing | Carino 99 – Refers to traditional vertical Carino Smoothing. |
Attribution Linking Method | Arithmetic |
Attribution | User can choose between Contribution and Attribution Smoothing. Absolute (Contribution) – User can map only fund returns in Control field(s) tab. Relative ( |
attribution) – User must map both fund and index returns in Control field(s) tab. | |
Use Business Calendar | Determines whether to use the business calendar to ensure there are no missing returns. Options include: No (Default). The system does not use a business calendar. Yes. The system uses the entity’s business calendar to adjust the end dates of the analysis period so that they align with identified business dates. Yes, with Total level check. Eagle Performance does the same adjustment as the ―Yes option. Also, it compares the business calendar dates to the dates of returns at the Total level and applies the check results at all levels. If days are missing at the Total level, all levels fail the check and display as blank. If days match at the Total level, all levels attempt to calculate by linking the available data. |
Frequency | Specifies the periodicity of the returns extracted. Options include: Daily. Uses daily frequency performance data. Monthly. Uses monthly frequency performance data. |
Use Returns | Specifies whether to use performance data with a preliminary and/or final status. Options include: Final. Uses final performance data only. Preliminary. Uses both preliminary and final performance data. |
Weights as Percent | Specifies whether to display values as a percentage or decimal. Options include: Yes. The value displays as a percent. No (Default). The value displays as a decimal |
Convert Inputs to Percent | Specifies whether the input effects are stored as a percentage or decimal. Options include: Yes (Default) The input values are not stored as a percent. E.g. 5% is stored as 5 in db. No The values are stored as a percent. E.g. 5% is stored as 0.05 in db. |
Substitute missing Benchmark Return with | Specifies how to treat missing benchmark returns. Options include: Zeros. (Default). Allows use of zero if the portfolio does not hold segments or nodes in the benchmark. Portfolio Segment Returns. Allows use of the portfolio segment return if the benchmark does not hold segments or nodes in the portfolio. Eagle recommends selecting this option. For missing segments, the selection effect becomes zero and the excess return is shifted to allocation. |
Substitute missing Portfolio Return with | Specifies how to treat missing portfolio returns. Options include: Zeros. (Default.) Allows use of zero if the benchmark does not hold segments or nodes in the portfolio. Benchmark Segment Returns. Allows use of the benchmark segment return if the portfolio does not hold segments or nodes in the benchmark. Eagle recommends selecting this option. For missing segments, the selection effect becomes zero and the excess return is shifted to allocation |
Annualize Returns | Specifies the algorithm to use for annualizing attribution results. Options include: Do not Annualize. (Default) The system performs cumulative attribution and does not annualize attribution results. Cumulative Return Difference Annualized. The system annualizes the cumulative active return difference. It uses the ratio of the annualized cumulative active return difference to scale all of the attribution effects so that they are all combined correctly to the annualized return difference. Difference of Annualized Returns. The system annualizes both the portfolio return and the benchmark return. It takes the arithmetic difference of these annualized returns. It uses the ratio of the arithmetic return difference to the cumulative return difference to scale all of the attribution effects so that they are combined correctly to the arithmetic return difference. To Held Period, Cumulative Return Difference Annualized. The system annualizes the cumulative active return difference for the held period. It uses the ratio of the annualized cumulative active return difference to scale all of the attribution effects so that they are all combined correctly to the annualized return difference. To Held Period, Difference of Annualized Returns. The system annualizes both the portfolio return and the benchmark return for the held period. It takes the arithmetic difference of these annualized returns. It uses the ratio of the arithmetic return difference to the cumulative return difference to scale all of the attribution effects so that they are combined correctly to the arithmetic return difference. To Held Period, Difference of Annualized Returns Observation Count, Cumulative Return Difference Annualized Observation Count, Difference of Annualized Returns
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Annualization Method | Specifies the method to use for annualization. Only available if Annualize Returns dropdown is set to
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Numerator for Annualization Based on Days | Specifies the number of days to use in the numerator for annualization and ignores the value set in Performance System Parameter 9. Only available if Annualize Returns dropdown is not set to ―Do not Annualize‖ and the Annualization Method dropdown is set to ―Days. |
Benchmark Entity | In addition to all the options in BF Options and Field Maps Field, you can select None if Absolute (Contribution) has been selected in the Attribution dropdown.. This is to enable contribution smoothing. |
Missing Data Handling Return/Weight | Determines how the system processes missing returns and weights. Options include:
|
Field Map
Name | Specifies a name for the SIS Field Map. |
Comments | Provides descriptive comments. This field is optional. |
Do not allow others to edit this field | Determines whether others can edit the Global Attribution Group. |
Field Options | Specifies field options. Options include:
|
Smoothing | Carino 99 – Refers to traditional vertical Carino Smoothing. |
Attribution Linking Method | Arithmetic |
Attribution | User can choose between Contribution and Attribution Smoothing. Absolute (Contribution) – User can map only fund returns in Control field(s) tab. Relative ( |
attribution) – User must map both fund and index returns in Control field(s) tab. | |
Use Business Calendar | Determines whether to use the business calendar to ensure there are no missing returns. Options include: No (Default). The system does not use a business calendar. Yes. The system uses the entity’s business calendar to adjust the end dates of the analysis period so that they align with identified business dates. Yes, with Total level check. Eagle Performance does the same adjustment as the ―Yes option. Also, it compares the business calendar dates to the dates of returns at the Total level and applies the check results at all levels. If days are missing at the Total level, all levels fail the check and display as blank. If days match at the Total level, all levels attempt to calculate by linking the available data. |
Frequency | Specifies the periodicity of the returns extracted. Options include: Daily. Uses daily frequency performance data. Monthly. Uses monthly frequency performance data. |
Use Returns | Specifies whether to use performance data with a preliminary and/or final status. Options include: Final. Uses final performance data only. Preliminary. Uses both preliminary and final performance data. |
Weights as Percent | Specifies whether to display values as a percentage or decimal. Options include: Yes. The value displays as a percent. No (Default). The value displays as a decimal |
Convert Inputs to Percent | Specifies whether the input effects are stored as a percentage or decimal. Options include: Yes (Default) The input values are not stored as a percent. E.g. 5% is stored as 5 in db. No The values are stored as a percent. E.g. 5% is stored as 0.05 in db |
Substitute missing Benchmark Return with | Specifies how to treat missing benchmark returns. Options include: Zeros. (Default). Allows use of zero if the portfolio does not hold segments or nodes in the benchmark. Portfolio Segment Returns. Allows use of the portfolio segment return if the benchmark does not hold segments or nodes in the portfolio. Eagle recommends selecting this option. For missing segments, the selection effect becomes zero and the excess return is shifted to allocation. |
Substitute missing Portfolio Return with | Specifies how to treat missing portfolio returns. Options include: Zeros. (Default.) Allows use of zero if the benchmark does not hold segments or nodes in the portfolio. Benchmark Segment Returns. Allows use of the benchmark segment return if the portfolio does not hold segments or nodes in the benchmark. Eagle recommends selecting this option. For missing segments, the selection effect becomes zero and the excess return is shifted to allocation |
Annualize Returns | Specifies the algorithm to use for annualizing attribution results. Options include: Do not Annualize. (Default) The system performs cumulative attribution and does not annualize attribution results. Cumulative Return Difference Annualized. The system annualizes the cumulative active return difference. It uses the ratio of the annualized cumulative active return difference to scale all of the attribution effects so that they are all combined correctly to the annualized return difference. Difference of Annualized Returns. The system annualizes both the portfolio return and the benchmark return. It takes the arithmetic difference of these annualized returns. It uses the ratio of the arithmetic return difference to the cumulative return difference to scale all of the attribution effects so that they are combined correctly to the arithmetic return difference. To Held Period, Cumulative Return Difference Annualized. The system annualizes the cumulative active return difference for the held period. It uses the ratio of the annualized cumulative active return difference to scale all of the attribution effects so that they are all combined correctly to the annualized return difference. To Held Period, Difference of Annualized Returns. The system annualizes both the portfolio return and the benchmark return for the held period. It takes the arithmetic difference of these annualized returns. It uses the ratio of the arithmetic return difference to the cumulative return difference to scale all of the attribution effects so that they are combined correctly to the arithmetic return difference. To Held Period, Difference of Annualized Returns Observation Count, Cumulative Return Difference Annualized Observation Count, Difference of Annualized Returns |
Annualization Method | Specifies the method to use for annualization. Only available if Annualize Returns dropdown is set to ―Yes‖ or ―To Held Period. Options include:
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Numerator for Annualization Based on Days | Specifies the number of days to use in the numerator for annualization and ignores the value set in Performance System Parameter 9. Only available if Annualize Returns dropdown is not set to ―Do not Annualize‖ and the Annualization Method dropdown is set to ―Days. |
Benchmark Entity | In addition to all the options in BF Options and Field Maps Field, the user would have the option to choose ‘None’ if Attribution dropdown is chosen as “Absolute (Contribution)”. This is to enable contribution smoothing. |
Missing Data Handling Return/Weight | Determines how the system processes missing returns and weights. Options include:
|