Configure the Global Attribution Group for Fixed Income

Owned by Tom Fahey (Unlicensed)
Last updated: Nov 28, 2022 by Jacob Mathews (Deactivated)
4 min read

Eagle's performance attribution component has built the Fixed Income Attribution model into its Global Attribution Group field. This group field provides support for both single currency and multicurrency attribution analysis.

The Fixed Income Attribution model gives you choices regarding the level of detail for benchmark data. For example, you can choose constituent (security) level or segment level data. The following procedure assumes you are configuring the system to retrieve segment level data and analytics for the benchmark.

To configure the Global Attribution Group for Fixed Income:

  1. From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
  2. Enter Reporting in the Start Search text box and click the General Reporting (Performance Center) link.
    You see the Performance Center with the General Reporting workspace.
  3. Expand the Fields folder, expand the Custom folder, and click Global Attribution Group.
    You see a list of Global Attribution Groups. See the following figure.
  4. Right-click your mouse and select New from the pop-up menu. Or click New on the toolbar.
    You see the Creating Global Attribution Group dialog box.
  5. Click Eagle Fixed Income and click Next.
    You see the Creating Global Attribution Group dialog box.
  6. Complete the fields on the Options tab. For more information, see Create Global Attribution Group Dialog Box Options.
  7. Click Done.
  8. Click in the empty cell to the right of the Options & Field Map Field option.
    You see the Field Map Selector dialog box.
  9. Select FI Options & Field Map from the Custom folder and click New.
    You see the Creating Fixed Income Options & Field Map Field dialog box.
  10. Complete the fields on the Options tab and click Next.
    See Create Fixed Income Options.
  11. Click Next.
    The Fields tab is displayed. This dialog box is used to specify the inputs to the attribution calculations. See the following figure.
  12. Complete the fields on the Fields tab and click Next.
    To complete the fields on the Fields tab, click the text box in the Fields column. The system displays the Field Selector dialog box. See the following figure.
    Eagle's Fixed Income Attribution model gives you choices regarding the level of detail for benchmark data. For example, you can choose constituent (security) level or segment level data.
    The Performance folder on the Field Map Selector dialog box points to possible fields containing the segment level yield curve identifier and yield for either the portfolio or the benchmark or both the portfolio and the benchmark. These fields map to the data columns in the PERF_SEC RETURNS table in the PERFORM database for segment level inputs.
    The Security folder on the Field Map Selector dialog box points to possible fields containing the security level yield and yield curve identifier for either the portfolio or the benchmark or both the portfolio and the benchmark. These fields map to the data columns in the SECURITY table in the PERFORM database.
    This procedure assumes you are configuring the system to retrieve segment level data and analytics for the benchmark.
  13. After clicking Next, you see the Portfolio Duration Fields tab.
  14. Specify a Duration or a set of Key Rate Durations.
    Underlying Fields / Fields - Duration. Measures the sensitivity of the bond's price to changes in interest rates across the entire yield curve. For more information about choosing a field, see Specify a Duration. This field is unavailable if you select the Key Rate Duration check box in the Options tab.
    Duration Point (years) / Field - Key Rate Duration. Measures the sensitivity of the bond's price to changes in interest rates for a given segment (key rate) of the yield curve. If you add up the complete set of key rate durations for a bond, it equals the duration. For each key rate duration point, you can specify a duration point in years and a corresponding field. For more information, see Specify a Key Rate Duration.
    These fields are available only if you select the Key Rate Duration check box in the Options tab.
    Note you have the option of specifying (optional) inputs for additional bond return components using the Optional Fields tab. See Specifying Optional Fields Such as Par Value, Coupon, and Convexity for details.
  15. Select the fixed income field map you created from the Field Selector dialog box and click the Effects tab.
    You see the Effects tab.
  16. Click the Effects drop down list.
    You see the Inputs and Outputs Field Selector dialog box.
  17. Check the box of each effect you want to display on the fixed income attribution report.
    Inputs are data inputs used in the analysis. Outputs are the results of the analysis.For further information, see Inputs/Outputs and Effects for Fixed Income.
    The Base Return Fund and Base Return Index inputs and outputs and Base Return Fund In-Out Difference and Base Return Index In-Out Difference outputs can help you identify any inconsistencies in performance data at the various attribution levels.
  18. Click Done.
    You see the field attributes you selected displayed in the Effects.

    The Save Field as column displays the default names of the fields. You can change the default names by clicking in the text box and entering a new name.
  19. Click Finish.
    If you did not specify a field option, you are prompted to map the group field to a report type. Click Yes to display the Field Options drop down list. Check Performance Analysis.
    You have created a Global Attribution Group. You see the new group field on the Components tab.Â