The The Selectable Input Smoothing Option option in Global Attribution allows Eagle’s performance engine to consume a set of unsmoothed contributions contribution or attribution effects from performance tables and then smooth them with industry-standard smoothing algorithms. The feature is designed to work at the total report level for Stored Performance modelsfor both stored performance models and dynamic performance analysis.
This feature is useful in several ways:
You can compute
Nonnon-Brinson attribution effects using
theEagle's Performance Calculation function and
thencommit them
in Eagle’sto the Performance tables. The sum of single period effects usually
reconcilereconciles to the arithmetic excess
returnsreturn. However, the multi-period sum of effects is not usually equal to the linked excess returns
creating residuals. The difference is usually called residual. Once the effects are smoothed with
thea smoothing algorithm like Carino 99
algorithm, the residuals
woulddisappear.
- This feature can be used by a client with
You can use an in-house attribution system to break
-down excess returns
but would like tointo effects and store them in Eagle's performance database. With this feature, you can use Eagle’s smoothing algorithms to ensure that the computed effects reconcile to the excess returns.
If
a client hasyou have pre-computed unsmoothed attribution effects from a legacy system,
itthey can be loaded directly into performance tables and smoothed with Eagle’s smoothing algorithms.
Input Data
The inputs to be smoothed will be are either committed or uploaded into the performance tables. The following table summarizes the inputs needed for contribution and attribution smoothing.
...
Contribution
| Attribution
|
The unsmoothed effects are Inputsinputs. The performance fields pointing to these unsmoothed effects are called Input input fields. Returns at the total level are needed for each single period to compute K factors in Carino 99. The performance fields pointing to these returns are called control fields.
Smoothing ensures that the sum of effects is equal to the
Linked fund or index return at
Totalthe total level for
Contributioncontribution.
Linked excess returns at
Totalthe total level for
Attributionattribution.
To configure the Global Attribution Group for a Single PeriodSelectable Input Smoothing:
In the Performance desk, click General Reporting in the left navigation.
You see the Performance Center with the General Reporting workspace.Expand the Fields folder, expand the Custom folder, and
...
then click Global Attribution Group.
You see a list of Global Attribution Groups.Right-click your mouse and
...
select New
...
from the pop-up menu. Or
...
click New
...
on the toolbar.
You see the Creating Global Attribution Group dialog box.
...
Click Selectable Input Smoothing
...
and
...
click Next.
You see the Creating Global Attribution Group dialog box.
...
The Options tab display.z
In the Options tab, enter a name for the field, select the SIS Options and Field Map field and define the field periodicity. For more information,
...
Click Next.
Select Options & Field Map from the Custom folder and click New.
You see the Options & Field Map dialog.On the Options tab, choose the attributes required for smoothing. Only Carino 99 Arithmetic is currently supported
...
. In the Attribution field, you can select either Contribution or Attribution. If you select Absolute (Contribution) in the Attribution dropdown, only the portfolio return would be available. If you select Relative (Attribution), both portfolio and benchmark returns would be available. Click Next.
In the Input Fields tab, you can choose up to thirty unsmoothed effects
...
. Click Next.
In the Control Fields tab choose the fund and index weights and returns
...
.
NOTE: If you selected Absolute (Contribution) in the
...
Attribution field in the Options & Field Maps field, only the portfolio weight and return
...
is available. If
...
you selected Relative (Attribution), both portfolio and benchmark weights and returns would be
...
available.
Click Finish.
...
After you have made your sections in the Options and Field Map dialog, all the chosen Inputs (Returns and Unsmoothed effects), and Outputs (Smoothed effects) display in the Effects tab of the Global Attribution Group dialog.
