Performance Analysis and Attribution Fields

Performance Analysis fields allow you to return the single period returns that are committed in the PerfCalc or loaded into the performance database. Dynamic performance supports the following Effects: Return, Weight, Begin Value, and End Value. As mentioned above, if the underlying database field has the Dynamic Weight option set, all the levels above security are calculated using the contribution method. If not, the value is summed at all levels above security.

Performance Link Analysis Fields

Performance Link Analysis fields point to underlying Performance Analysis fields. The Performance Analysis fields first calculate single period returns for the link period and then pass those returns to the linking algorithm.

Performance Risk Analysis Fields

Performance Risk Analysis fields point directly to Performance database fields. As a result, they interpret the underlying Performance database field, reading the Dynamic Weight the same way that the Performance Analysis field does. They then pass these single period values to the normal multi period risk processing algorithms.

Performance Attribution Fields

Unlike Performance Analysis fields, Performance Attribution fields point directly to a Performance database field for return and a second one for weight. As a result, they do not use the field selected as the Dynamic Weight the same way that the Performance Analysis field does. Instead they use the selected weight field, calculate the single period values, and then pass these single period values to the normal multi period attribution algorithms.

If you are familiar with Performance Attribution using performance models, you may notice that Attribution fields in Dynamic performance calculate the same value you see when the Use stored returns option is OFF. The only difference is that the grouping levels are created dynamically instead of being pulled from the performance model.

FI Multi Period Attribution Fields

Like Performance Attribution fields, FI Multi Period Attribution fields point directly to a Performance database field for return and a second one for weight. As a result, they process single period values in the same manner as Attribution fields, then pass these single period values to the normal fixed income multi period attribution processing.

If you are familiar with the FI Multi Period Attribution fields using performance models you will notice that Dynamic performance calculates the same values. The only difference is that the grouping levels are created dynamically instead of being pulled from the performance model.