| Inputs | |
|---|---|
| Fund Returns | Base Return Fund Local Return Fund Trade Return Fund Price Return Fund See Detecting Inconsistent |
Returns for details on using the Base Return Fund to identify inconsistencies in performance data. | |
Index Returns | Base Return Index Local Return Index Trade Return Index Price Return Index See Detecting Inconsistent Returns |
for details on using the Base Return Index to identify inconsistencies in performance data. | |
| Weights | Base Weight Fund Base Weight Index |
| Fund Returns | Accret Amort Return Fund Base Return Fund Convexity Return Fund Coupon Return Fund Cross Product Return Fund Currency Return Fund Duration Matched Excess Yield Change Fund Duration Matched Price Return Fund Duration Matched Total Return Fund Duration Matched Yield Change Fund Duration Matched Yield Return Fund Key Rate Duration Return Fund Option Adjusted Begin Spread Fund Option Adjusted End Spread Fund Option Adjusted Spread Change Fund Option Adjusted Yield Change Fund Parallel Shift Return Fund Pivot Yield Change Fund Price ExConvexity Return Fund Price Return Fund Price Spread Return Fund Reshape Return Fund Rolldown Return Fund Total Residual Return Fund Total Spread Return Fund Yield Return Fund Yield Spread Return Fund See Detecting Inconsistent |
| Returns for details on using the Base Return Fund to identify inconsistencies in performance data. | |
| Fund Contributions | Base Contribution Fund |
| Index Returns | Accret Amort Return Index |
Index See Detecting Inconsistent Returns |
for details on using the Base Return Index to identify inconsistencies in performance data. | |
| Index Contributions | Base Contribution Index Cross Product Contribution Index Currency Contribution Index Duration Matched Price Contribution Index Duration Matched Total Contribution Index Duration Matched Yield Contribution Index Key Rate Duration Return Contribution Index Local Contribution Index Parallel Contribution Index Price Spread Contribution Index Reshape Contribution Index Residual Return Contribution Index Roll Contribution Index Total Spread Contribution Index Yield Spread Contribution Index |
| Relative Returns | Accret Amort Return Difference Base Return Difference Base Return Fund In-Out Difference Base Return Index In-Out Difference Convexity Return Difference Coupon Return Difference Cross Product Return Difference Currency Return Difference Duration Matched Excess Yield Change Difference Duration Matched Price Return Difference Duration Matched Total Return Difference Duration Matched Yield Change Difference Duration Matched Yield Return Difference Key Rate Duration Return Difference Local Return Difference Option Adjusted Begin Spread Difference Option Adjusted End Spread Difference Option Adjusted Spread Change Difference Option Adjusted Yield Change Difference Parallel Shift Return Difference Pivot Yield Change Difference Price ExConvexity Return Difference Price Model Return Difference Price Return Difference Price Spread Return Difference Reshape Return Difference Residual Return Difference Rolldown Return Difference Total Spread Return Difference Yield Return Difference Yield Spread Return Difference See Detecting Inconsistent Returns |
| for details on using the Base Return Fund In-Out Difference and Base Return Index In-Out Difference to identify inconsistencies in performance data. | |
| Attribution Effects | Allocation Note: These options display the effects before the multiple-period smoothing algorithm is applied. |
| Smoothed Attribution Effects | Smoothed Allocation Interaction Note: These options display the effects after the smoothing algorithm is applied. |
| Weights | Average Base Weight Difference Average Base Weight Fund Average Base Weight Index Base Weight Difference |
| Anchor | ||||
|---|---|---|---|---|
|
| Anchor | ||||
|---|---|---|---|---|
|
| Anchor | ||||
|---|---|---|---|---|
|
...
- From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
- Enter System in the Start Search text box and click the System Parameter (Performance Center) link.
You see the Performance Center and the Performance System Parameters workspace.
- Select Sys Item 11, Maximum number of Key Rate Duration points for Fixed Income Attribution, right click and select Edit.
You see the Edit Performance System Parameter 11 dialog box.
...
- Edit the value in the Item Value text box and click Save.
...
You can use the Optional Fields tab on the Creating Fixed Income Options & Field Map Field dialog box to specify additional fields. These additional fields are optional. That is, they are not required for the standard portfolio and benchmark return decomposition that is used for the benchmark relative attribution analysis. See the following figure.
Creating Fixed Income Options & Field Map Field – Optional Fields Tab
The following table describes each option.
...