Use Benchmark Data in Performance Reports
- Tom Fahey (Unlicensed)
- Pamela Totas (Deactivated)
The following examples show how you can use benchmark data in Performance reports.
Perform a Contribution Analysis
The following figure provides an example of a contribution analysis prepared using Eagle Performance. It compares a fixed income portfolio to its index by type of instrument.
In the previous figure, the portfolio and index weights and durations by segment show the market value and duration positioning of the portfolio. The weighted durations show the contribution to portfolio and index duration made by each instrument type.
To complete this analysis, you can either load or calculate the instrument-level durations for the period. For the index, this data is available from the sponsor of the index. Using the Performance Analysis report, you can compare entities to indexes by other factors, such as the following:
Sector, industry, duration, quality
Market capitalization, p/e, sector
Asset class, country
The following examples show how you can use benchmark data in Performance reports.
Perform a Contribution Analysis
The following figure provides an example of a contribution analysis prepared using Eagle Performance. It compares a fixed income portfolio to its index by type of instrument.
In the previous figure, the portfolio and index weights and durations by segment show the market value and duration positioning of the portfolio. The weighted durations show the contribution to portfolio and index duration made by each instrument type.
To complete this analysis, you can either load or calculate the instrument-level durations for the period. For the index, this data is available from the sponsor of the index. Using the Performance Analysis report, you can compare entities to indexes by other factors, such as the following:
Sector, industry, duration, quality
Market capitalization, p/e, sector
Asset class, country
Compare Returns
The following figure shows how you can compare relative returns using the Performance Analysis and Performance Query reports. The report in the following figure displays the 1-month return of the fund versus its index.
To perform this analysis, Eagle Performance takes the daily and monthly frequency single-period returns and geometrically links them together. The single-period returns for the index can be loaded at the security or segment level.
You can compare performance over time by the following:
Sector, industry, duration, quality
Market capitalization, p/e ratio, sector
Asset class, country
Attribute Relative Performance to Management Effects
After you loaded or calculate the portfolio and index returns, you can attribute the relative performance to the various management effects. The following figure shows how to quantify the impact of the decisions to overweight and underweight stocks within a domestic equity portfolio.