Selectable Input Smoothing

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 the Performance 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.

 Input Data

The inputs to be smoothed will be either committed or uploaded into the performance tables. The following table summarizes the inputs needed for contribution and attribution smoothing.

The unsmoothed effects are Inputs. The performance fields pointing to these unsmoothed effects are called 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 are called control fields.

Finally, smoothing will ensure that the sum of effects is equal to the

• Linked fund or index return at Total level for Contribution.
• Linked excess returns at Total level for Attribution.

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