Data Inputs for Fixed Income Attribution

Fixed income attribution requires base and local returns and base average invested balances (market values) or weights for the portfolio and benchmark. Additionally, it has data input requirements for bonds, including beginning and ending yield curve data for all of the analysis periods and analytical data. You must also load risk-free yield curve data for each of the distinct yield curve codes pointed to by the bond security records or the entity details.

You can run the Performance Calculation report to calculate single-period returns and build the Performance model. Or specify the segment groupings in the Performance Analysis report rule instead of the Performance Calculation report rule. This is known as dynamic performance. The system supports fixed income attribution when you configure dynamic performance in the report rule. See Performance Analysis and Reporting for details. Dynamic performance allows for ad hoc attribution analysis.

After specifying the segment groupings, use the Performance Analysis report to decompose the single or multicurrency fixed income portfolio's return and perform benchmark relative performance.

See Calculate Global Effects for the Fixed Income Attribution Model for details.