Inputs_Outputs and Effects – Geometric Method

Inputs

Fund Returns

Base Return Fund

See Detecting Inconsistent Returns in Appendix C for details on using the Base Return Fund to identify inconsistencies in performance data.

Local Return Fund

Index Returns

Base Return Index

See Detecting Inconsistent Returns in Appendix C for details on using the Base Return Index to identify inconsistencies in performance data.

Local Return Index

Weights

Base Weight Fund

Base Weight Index

Outputs

Fund Returns

Base Return Fund

See Detecting Inconsistent Returns in Appendix C for details on using the Base Return Fund to identify inconsistencies in performance data.

Cross Product Return Fund

Geometric Attribution Method analysis does not support cross product effects such as the Cross Product Return Fund effect.

Currency Return Fund

Fund Contributions

Base Contribution Fund

Cross Product Contribution Fund

Geometric Attribution Method analysis does not support cross product effects such as the Cross Product Contribution Fund effect.

Currency Contribution Fund

Geometric Attribution Method analysis does not support the Currency Contribution Fund effect.

Local Contribution Fund

Index Returns

Base Return Index

See Detecting Inconsistent Returns in Appendix C for details on using the Base Return Index to identify inconsistencies in performance data.

Cross Product Return Index

Geometric Attribution Method analysis does not support cross product effects such as the Cross Product Return Index effect.

Currency Return Index

Index Contributions

Base Contribution Index

Cross Product Contribution Index

Geometric Attribution Method analysis does not support cross product effects such as the Cross Product Contribution Index effect.

Currency Contribution Index

Geometric Attribution Method analysis does not support the Currency Contribution Index effect.

Local Contribution Index

Relative Returns

Base Return Difference

Base Return Fund In-Out Difference

See Detecting Inconsistent Returns in Appendix C for details on using the Base Return Fund In-Out Difference and Base Return Index In-Out Difference to identify inconsistencies in performance data.

Base Return Index In-Out Difference

See Detecting Inconsistent Returns in Appendix C for details on using the Base Return Fund In-Out Difference and Base Return Index In-Out Difference to identify inconsistencies in performance data.

Cross Product Return Difference

Geometric Attribution Method analysis does not support cross product effects such as the Cross Product Return Difference effect.

Currency Return Difference

Local Return Difference

Attribution Effects

These options display the effects before the smoothing algorithm, if used, is applied. Geometric Attribution Method analysis does not use smoothing.

Allocation

Allocation Interaction

Geometric Attribution Method analysis does not support interaction effects. If you select this effect, it calculates an Allocation Interaction effect that has the same value as the Allocation effect.

Cross Product Effect

Geometric Attribution Method analysis does not support cross product effects such as the Cross Product effect.

Currency Effect

For Geometric Attribution Method analysis, the Currency effect is available only at the Total level when multicurrency analysis is in effect. The analysis becomes multicurrency based on the return inputs defined for the field group (rather than by inspecting the actual return values in the performance data). The system calculates the Currency effect if either:

• The field attribute input for Base Return Fund differs from the field attribute input for Local Return Fund.
  
• The field attribute input for Base Return Index differs from the field attribute input for Local Return Index.

Interaction

Geometric Attribution Method analysis does not support the Interaction effect.

Local Total Attributed

You can use the Local Total Attributed effect for Geometric Attribution Method analysis only. This effect does not apply to Carino or Menchero analyses.

Selection

Selection Interaction

Geometric Attribution Method analysis does not support interaction effects. If you select this effect, it calculates a Selection Interaction effect that has the same value as the Selection effect.

Total Attributed

For Geometric Attribution Method analysis, the Total Attributed effect is available only at the Total level when multicurrency analysis is in effect. It has the same value as the Smoothed Total Attributed effect. If your Local Return and Base Return inputs:

• Differ, the Currency effect is available, and the Total Attributed effect is shown only at the total level when you run multicurrency analysis.
  
• Match, the Currency effect is zero. The Total Attributed effect is the same as the Local Total Attributed effect. The Total Attributed effect is shown only at all levels when you run single currency analysis. You can always show the Local field at all levels.

Smoothed Attribution Effects

For the Geometric Attribution Method, these options do not apply a smoothing algorithm — they provide results identical to those of the corresponding non smoothed effects.

Smoothed Allocation

Smoothed Allocation Interaction

Geometric Attribution Method analysis does not support interaction effects. If you select this effect, it calculates a Smoothed Allocation Interaction effect that has the same value as the Smoothed Allocation effect.

Smoothed Cross Product Effect

Geometric Attribution Method analysis does not support cross product effects such as the Smoothed Cross Product effect.

Smoothed Currency Effect

For Geometric Attribution Method analysis, the Smoothed Currency effect is available only at the Total level when multicurrency analysis is in effect.

Smoothed Fund Base Contribution

Smoothed Index Base Contribution

Smoothed Interaction

Geometric Attribution Method analysis does not support interaction effects such as the Smoothed Interaction effect.

Smoothed Local Total Attributed

You can use the Smoothed Local Total Attributed effect for Geometric Attribution Method analysis only. This effect does not apply to Carino or Menchero analyses.

Smoothed Selection

Smoothed Selection Interaction

Geometric Attribution Method analysis does not support interaction effects. If you select this effect, it calculates a Smoothed Selection Interaction effect that has the same value as the Smoothed Selection effect.

Smoothed Total Attributed

For Geometric Attribution Method analysis, the Smoothed Total Attributed effect matches the Total Attributed effect.

Weights

Average Base Weight Difference

Average Base Weight Fund

Average Base Weight Index

Base Weight Difference