Eagle's performance attribution component offers attribution analysis and reporting for both single and multicurrency portfolios based on the Fixed Income Attribution model. The Fixed Income Attribution model provides in-depth analysis and reporting, measuring bond returns and allowing for easy identification of factors that determine bond level performance.
Eagle's Fixed Income Attribution model:
- Separately identifies the risk-free return and the spread return.
- Provides a choice of methodologies. For example, you can present the portfolio's strategy in terms of roll, parallel shift, and curve reshaping. As well as roll and key rate durations.
- Gives you choices regarding the level of detail for benchmark data. For example, you can choose the constituent (security) level or segment level.
- Enables analysis of the ability to provide added value relative to a benchmark.
Fixed Income Attribution analysis is available for the following:
- Single time periods
- Multiple time periods – including Carino and Menchero smoothing for linking effects over more than a single time period
- Monthly and daily frequencies
- Multiple segment levels
0 Comments