The Selectable Input Smoothing Option in Global Attribution allows Eagle’s performance engine to consume a set of unsmoothed contributions or attribution effects from performance tables and smooth them with industry-standard smoothing algorithms. The feature is designed to work at the total report level for Stored Performance models.
This feature is useful in several ways:
- You can compute Non-Brinson attribution effects using Perf Calculation and then commit them in Eagle’s Performance tables. The sum of single period effects usually reconcile to the excess returns. However, the multi-period sum of effects is not equal to the linked excess returns creating residuals. Once the effects are smoothed with the Carino 99 algorithm, the residuals would disappear.
- This feature can be used by a client with an in-house attribution system to break-down excess returns but would like to use Eagle’s smoothing algorithms to ensure that the computed effects reconcile to the excess returns.
- If a client has pre-computed unsmoothed attribution effects from a legacy system, it can be loaded directly into performance tables and smoothed with Eagle’s smoothing algorithms.
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