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Eagle's Fixed Income Attribution model:
Separately identifies the risk-free return and the spread return.
Provides a choice of methodologies. For example, you can present the portfolio's strategy in terms of roll, parallel shift, and curve reshaping. As well as roll and key rate durations.
Gives you choices regarding the level of detail for benchmark data. For example, you can choose the constituent (security) level or segment level.
Enables analysis of the ability to provide added value relative to a benchmark.
Fixed Income Attribution analysis is available for the following:
Single time periods
Multiple time periods – including Carino and Menchero smoothing for linking effects over more than a single time period
Monthly and daily frequencies
Multiple segment levels