Create Brinson and Fachler Options - Geometric Method

Name

Specifies a name for the Brinson-Fachler Field Map.

Comments

Provides descriptive comments. This field is optional.

Do not allow others to edit this field

Determines whether others can edit the Global Attribution Group.

Field Options

Specifies field options. Options include:

• Make available to other report types
• Specify Category
• Define Inventory attributes
• Define Field Identifier
• Publish

Smoothing

Specifies the smoothing options for multi-period attribution analysis. Options include:

• Geometric Method
• Menchero (Default)
• Carino
  See Linking Methods for Brinson-Fachler Attribution for details.

Attribution Linking Method

Specifies the linking method for multi-period attribution analysis.
Options include:

• Arithmetic. This option applies only to Menchero and Carino smoothing.
• Geometric. This option applies only to Geometric Method and Carino smoothing.
  
  You can change this option only if you set Smoothing to Carino. Otherwise, if you set Smoothing to Geometric Method, the Geometric linking method appears and you cannot change it. If you set Smoothing to Menchero, the Arithmetic linking method appears and you cannot change it.
  See Linking Methods for Brinson-Fachler Attribution for details.

Use Business Calendar

Determines whether to use the business calendar to ensure there are no missing returns. Options include:

• No (Default). The system does not use a business calendar.
• Yes. The system uses the entity's business calendar to adjust the end dates of the analysis period so that they align with identified business dates.
• Yes, with Total level check. Eagle Performance does the same adjustment as the Yes option. In addition, it compares the business calendar dates to the dates of returns at the Total level and applies the check results at all levels. If days are missing at the Total level, all levels fail the check and display as blank. If days match at the Total level, all levels attempt to calculate by linking the available data.

Frequency

Specifies the periodicity of the returns extracted. Options include:

• Daily. Uses daily frequency performance data.
• Monthly. Uses monthly frequency performance data.

Use Returns

Specifies whether to use performance data with a preliminary and/or final status. Options include:

• Final. Uses final performance data only.
• Preliminary. Uses both preliminary and final performance data.

Weights as Percent

Specifies whether to display values as a percentage or decimal. Options include:

• Yes. The value displays as a percent.
• No (Default). The value displays as a decimal.

Express Geometric Result as

This field is available only if Attribution Linking Method has a value of Geometric. Specifies the format for geometric results. Options include:

• Percentages. (Default) The report expresses geometric results as percentages.
• Wealth Ratio The report expresses geometric results as a wealth ratio.

Treat Nulls as Zeros in Average Weights

Determines how to include missing weights in average weight calculations. Options include:

• Yes. (Default). The system treats missing weights as zeros. This produces an average over the entire period and the total of the weights are equal to 100%.
• No. The system excludes missing weights from the average weight calculation. This produces an average for the held observations and the total of the weights may not be equal to 100%.

Substitute missing Benchmark Return with

Specifies how to treat missing benchmark returns. Options include:

• Zeros. (Default). Allows use of zero if the portfolio does not hold segments or nodes in the benchmark.
• Portfolio Segment Returns. Allows use of the portfolio segment return if the benchmark does not hold segments or nodes in the portfolio. Eagle recommends selecting this option. For missing segments, the selection effect becomes zero and the excess return is shifted to allocation.

Substitute missing Portfolio Return with

Specifies how to treat missing portfolio returns. Options include:

• Zeros. (Default.) Allows use of zero if the benchmark does not hold segments or nodes in the portfolio.
• Benchmark Segment Returns. Allows use of the benchmark segment return if the portfolio does not hold segments or nodes in the benchmark. Eagle recommends selecting this option. For missing segments, the selection effect becomes zero and the excess return is shifted to allocation.

Annualize Returns

Specifies the algorithm to use for annualizing attribution results. Options include:

• Do not Annualize. (Default) The system performs cumulative attribution and does not annualize attribution results.
• Cumulative Return Difference Annualized. The system annualizes the cumulative active return difference. It uses the ratio of the annualized cumulative active return difference to scale all of the attribution effects so that they are all combined correctly to the annualized return difference.
• Difference of Annualized Returns. The system annualizes both the portfolio return and the benchmark return. It takes the arithmetic difference of these annualized returns. It uses the ratio of the arithmetic return difference to the cumulative return difference to scale all of the attribution effects so that they are combined correctly to the arithmetic return difference.
• To Held Period, Cumulative Return Difference Annualized. The system annualizes the cumulative active return difference for the held period. It uses the ratio of the annualized cumulative active return difference to scale all of the attribution effects so that they are all combined correctly to the annualized return difference.
• To Held Period, Difference of Annualized Returns. The system annualizes both the portfolio return and the benchmark return for the held period. It takes the arithmetic difference of these annualized returns. It uses the ratio of the arithmetic return difference to the cumulative return difference to scale all of the attribution effects so that they are combined correctly to the arithmetic return difference.
  See Appendix C for details.

Annualization Method

Specifies the method to use for annualization. Only available if Annualize Returns drop-down list is set to Yes or To Held Period. Options include:

• Use System Settings. Uses the values set in Eagle Performance System Parameters 8 (Annualization Method) and 9 (Numerator for annualization based on days).
• Default Method. Uses the Default method for annualization, and ignores the value set in Performance System Parameter 8.
• Days Method. Uses a Performance System Parameter 8 value of Days.
• Months Method. Uses a Performance System Parameter 8 value of Months.

Numerator for Annualization Based on Days

Specifies the number of days to use in the numerator for annualization and ignores the value set in Performance System Parameter 9. Only available if Annualize Returns drop-down list is not set to Do not Annualize and the Annualization Method drop-down list is set to Days.

Style

Specifies the level of attribution.
There are two styles of attribution at All Levels. These include to Total and to Segment. These options determine how the allocation effect and weights are calculated. Options include:

• Single Level. Calculates the attribution effects for higher levels of a performance model by rolling up the values from the level selected for the analysis in the report profile. The rollup is by addition for arithmetic attribution and multiplication for geometric attribution.
• All Levels using Attribution to Total. Calculates the attribution effects at all levels of the performance model with the selected level being the lowest level of the model that is calculated (e.g., selected for analysis in the report profile). All input weights are automatically normalized so that the top level model weight is 100%. The allocation equation is calculated as follows:
  
  (Portfolio Segment Weight – Benchmark Segment Weight) * (Benchmark Segment Return – Benchmark Total Return).
  Note. If you set Smoothing to Geometric Method, the All Levels using Attribution to Segment option is not available.

Benchmark Options

Benchmark Entity

Specifies a benchmark for the portfolio.

Missing Data Handling

Return/Weight

Determines how the system processes missing returns and weights. Options include:

• Continue Processing. Default.
• Check for Null. Treats data as mandatory and stops processing.

Inconsistent Input Handling

Weights

Specifies how to process errors when the weight inputs do not sum to 1 (100%). Options include:

• Continue Processing. When weights do not sum to 100%, an error appears in the diagnostics and log with a notification.
• Terminate. When weights do not sum to 100%, an error is given and the report processing terminates.

Returns

Specifies how to process errors when the return inputs do not sum to 1 (100%). Options include:

• Continue Processing. When returns do not sum to 100%, an error appears in the diagnostics and log with a notification.
• Terminate. When returns do not sum to 100%, an error is given and the report processing terminates.