Attribution Toolkit: Preconfigured Components
- Pamela Totas (Deactivated)
Field Attributes
Global Attribution Group Fields for Portfolio and Benchmarks
The Attribution Toolkit includes Global Attribution Group Fields configured to perform Month to Date Attribution from daily frequency performance data. All the fields are configured for daily performance clients that are moving to Eagle from a legacy monthly or daily system.
Month to Date
The Attribution Group fields are always configured for daily returns. If run for a day that is not the calendar month end, the daily returns up to the selected date are retrieved and analyzed. If run on the calendar month end, the data is retrieved from the full month’s worth of daily returns.
Performance Risk Analysis Fields
The Attribution Toolkit includes Performance Risk Analysis fields configured to perform Three Year Risk statistic analyses from 36 monthly performance records. As the Performance Toolkit is configured for daily performance clients that are moving to Eagle from a legacy monthly or daily system, these monthly records are built from the daily records during an end of the month build process.
OLAP Reports
Performance Analysis Reports
The Attribution Toolkit includes many Performance Analysis reports, described in the following table.
Category | Sub Category | Name | Performance Analysis Report Profile | Description |
|---|---|---|---|---|
Contribution | Contribution | Top/Bottom Contributors | Egl Prf Contribution Top Bottom Contributors | Top/Bottom Contributors at security level. Number of securities to show is configurable. |
Contribution | Contribution | Group Contribution | Egl Prf Contribution By | MTD group level smoothed contributions for the portfolio. Six models: Region Country, GICS, Aggregate Bond, Currency, Asset Class, Long Short |
Contribution | Contribution to Value Added | Top Alpha Creators & Destroyers | Egl Prf Contribution Top Alpha CreatorsDestroyers | Top Alpha Creators and Destroyers at security level. Number of securities to show is configurable |
Contribution | Relative Contribution | Group Relative Contribution | Egl Prf Contribution Relative By | MTD group level smoothed contributions for the portfolio and benchmark 1 as well as the contribution to value added. Five models: Region Country, GICS, Aggregate Bond, Currency, Asset Class |
Attribution | Equity Attribution | Equity Attribution | Egl Prf Attribution Equity By | Three Models: Region Country, GICS, Asset Class |
Attribution | Global Attribution | Global Equity Attribution | Egl Prf Attribution Global Equity By Currency | Global Brinson Fachler Equity Attribution |
Attribution | Global Attribution | Karnosky Singer Attribution – No Synthetic Hedging | Egl Prf Attribution KS No Hedge By Currency | Karnosky Singer Attribution – No Synthetic Hedging |
Attribution | Global Attribution | Karnosky Singer Attribution -Synthetic Hedging to Base | Egl Prf Attribution KS Hedge To Base By Currency | Karnosky Singer Attribution – Synthetic Hedging to Base Currency |
Attribution | Global Attribution | Global Fixed Income Attribution | Egl Prf Attribution Global FI By Currency | Global Fixed Income Attribution |
Attribution | Fixed Income Attribution | Fixed Income Attribution | Egl Prf Attribution FI By Aggregate Bond | Global Fixed Income Attribution – Constituent (security) level analytical inputs. |
Attribution | Fixed Income Attribution | Fixed Income Attribution - Sector | Egl Prf Attribution FI Sector By Aggregate Bond | Global Fixed Income Attribution – Sector (segment only) level analytical inputs. |
Attribution | Fixed Income Attribution | Fixed Income Attribution – Key Rate Duration | Egl Prf Attribution FI KRD By Aggregate Bond | Fixed Income Attribution using Key Rate Duration |
Data Mart Models
Data Mart Models used by the Attribution Toolkit are described in the Data Mart Models section of the Reporting Toolkit chapter.