The Fixed Income Attribution report highlights the month to date fixed income style attribution between the account and benchmark when constituent (security level) weights, returns, and analytics are available for both the account and the benchmark.
These reports read month to date Data Mart data that is calculated from daily frequency performance data and stored in the following Data Mart group models.
Advanced Report Profile
| Advanced Report Profile | Data Mart Detail Model |
|---|---|
Egl Prf Attribution FI By Aggregate Bond | PERF_AGGBOND_MTD_FI |
Options
Available options appear in the following table.
| Option | Description |
|---|---|
Eagle Report Title | Controls the title of the report. |
Eagle Table Name | Controls the name of Data Mart group model to query. |
Eagle Number of Grouping Levels | Controls the number of levels to display. |
Eagle Report Period Label | Controls the time period label. |
Eagle Column Prefix | Controls the column prefix used for columns in the Data Mart. For example, “MTD” for MTD_XXXXX attribution columns. |
Data Used by Report
The following table shows data used by the report.
| Report Element | Data Mart Table | Data Mart Column | Underlying Field Attribute |
|---|---|---|---|
Average Weight - Account | PERF_CURRENCY_MTD_FI | MTD_GFI_WEIGHT | eglGag-Mtd-Gfi-BaseAvgWtFnd |
Average Weight - Benchmark | PERF_CURRENCY_MTD_FI | MTD_BM1_GFI_WEIGHT | eglGag-Mtd-Gfi-BaseAvgWtIdx |
Month to Date Return % - Account | PERF_CURRENCY_MTD_FI | MTD_GFI_RETURN | eglGag-Mtd-Gfi-BaseRtnFnd |
Month to Date Return % - Benchmark | PERF_CURRENCY_MTD_FI | MTD_BM1_GFI_RETURN | eglGag-Mtd-Gfi-BaseRtnIdx |
Month to Date Return % - Difference | PERF_CURRENCY_MTD_FI | MTD_GFI_BM1_RDIFF | eglGag-Mtd-Gfi-BaseRtnDiff |
Month to Date Attribution Effects % - Currency | PERF_CURRENCY_MTD_FI | MTD_BM1_GFI_CURR | eglRca-Mtd-Gfi-S-CurrencyCrossEff |
Month to Date Attribution Effects % - Duration Matched Yield | PERF_CURRENCY_MTD_FI | MTD_BM1_GFI_DMYIELD | eglGag-Mtd-Gfi-S-DMYieldEff |
Month to Date Attribution Effects % - Roll | PERF_CURRENCY_MTD_FI | MTD_BM1_GFI_ROLL | eglGag-Mtd-Gfi-S-RolldownEff |
Month to Date Attribution Effects % - Parallel Shift | PERF_CURRENCY_MTD_FI | MTD_BM1_GFI_PARA | eglGag-Mtd-Gfi-S-ParaShiftEff |
Month to Date Attribution Effects % - Reshape | PERF_CURRENCY_MTD_FI | MTD_BM1_GFI_SPREAD | eglRca-Mtd-Gfi-S-SpreadEff |
Month to Date Attribution Effects % - Total | PERF_CURRENCY_MTD_FI | MTD_BM1_GFI_TOTAL | eglGag-Mtd-Gfi-S-TotalAttrib |
The following table shows how totals of the report are determined.
| Report Column Total | Data Mart Group Table (Used by Eagle Table Name) | Data Mart Column | Underlying Field Attribute |
|---|---|---|---|
Totals for all Columns except Account and Benchmark Total Returns | None | None | Calculated as the sum of the model top level segments for each of the columns |
Month to Date Return % - Account | PERF_AGGBOND_MTD_FI | MTD_FI_SCNTR | Calculated as the sum of the model top level segment smoothed contributions |
Month to Date Return % - Benchmark | PERF_AGGBOND_MTD_FI | MTD_BM1_FI_SCNTR | Calculated as the sum of the model top level segment smoothed contributions |
Report DLL
The report DLL is named GlobalFixedIncomeAttribution.dll.
0 Comments