OLAP Reports
Performance Analysis Reports
The Attribution Toolkit includes many Performance Analysis reports, described in the following table.
Category | Sub Category | Name | Performance Analysis Report Profile | Description |
|---|---|---|---|---|
Contribution | Contribution | Top/Bottom Contributors | Egl Prf Contribution Top Bottom Contributors | Top/Bottom Contributors at security level. Number of securities to show is configurable. |
Contribution | Contribution | Group Contribution | Egl Prf Contribution By | MTD group level smoothed contributions for the portfolio. Six models: Region Country, GICS, Aggregate Bond, Currency, Asset Class, Long Short |
Contribution | Contribution to Value Added | Top Alpha Creators & Destroyers | Egl Prf Contribution Top Alpha CreatorsDestroyers | Top Alpha Creators and Destroyers at security level. Number of securities to show is configurable |
Contribution | Relative Contribution | Group Relative Contribution | Egl Prf Contribution Relative By | MTD group level smoothed contributions for the portfolio and benchmark 1 as well as the contribution to value added. Five models: Region Country, GICS, Aggregate Bond, Currency, Asset Class |
Attribution | Equity Attribution | Equity Attribution | Egl Prf Attribution Equity By | Three Models: Region Country, GICS, Asset Class |
Attribution | Global Attribution | Global Equity Attribution | Egl Prf Attribution Global Equity By Currency | Global Brinson Fachler Equity Attribution |
Attribution | Global Attribution | Karnosky Singer Attribution – No Synthetic Hedging | Egl Prf Attribution KS No Hedge By Currency | Karnosky Singer Attribution – No Synthetic Hedging |
Attribution | Global Attribution | Karnosky Singer Attribution -Synthetic Hedging to Base | Egl Prf Attribution KS Hedge To Base By Currency | Karnosky Singer Attribution – Synthetic Hedging to Base Currency |
Attribution | Global Attribution | Global Fixed Income Attribution | Egl Prf Attribution Global FI By Currency | Global Fixed Income Attribution |
Attribution | Fixed Income Attribution | Fixed Income Attribution | Egl Prf Attribution FI By Aggregate Bond | Global Fixed Income Attribution – Constituent (security) level analytical inputs. |
Attribution | Fixed Income Attribution | Fixed Income Attribution - Sector | Egl Prf Attribution FI Sector By Aggregate Bond | Global Fixed Income Attribution – Sector (segment only) level analytical inputs. |
Attribution | Fixed Income Attribution | Fixed Income Attribution – Key Rate Duration | Egl Prf Attribution FI KRD By Aggregate Bond | Fixed Income Attribution using Key Rate Duration |
Data Mart Models
Data Mart Models used by the Attribution Toolkit are described in the Data Mart Models section of the Reporting Toolkit chapter.