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Name | Specifies a name for the Fixed Income Field Map. |
Comments | Provides descriptive comments. This field is optional. |
Do not allow others to edit this field | Determines whether others can edit the Global Attribution Group. |
Field Options | Specifies field options. Options include: |
Smoothing | Specifies the smoothing options for multi-period attribution analysis. Options include: For more details, see Link Methods for Fixed Income Attribution. |
Attribution Linking Method | Specifies the linking method for multi-period attribution analysis. Options include: For more details, see Link Methods for Fixed Income Attribution. |
Use Business Calendar | Determines whether to use the business calendar to ensure there are no missing returns. Options include: No. Default. The system does not use the business calendar. Yes. The system uses the entity's business calendar to adjust the end dates of the analysis period so that they align with identified business dates. Yes, with Total level check. Eagle Performance does the same adjustment as the Yes option. In addition, it compares the business calendar dates to the dates of returns at the Total level and applies the check results at all levels. If days are missing at the Total level, all levels fail the check and display as blank. If days match at the Total level, all levels attempt to calculate by linking the available data.
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Frequency | Specifies the periodicity of the returns extracted. Options include: |
Use Returns | Specifies whether to use performance data with a preliminary and/or final status. Options include: |
Weights as Percent | Specifies whether to display values as a percentage or decimal. Options include: |
Treat Nulls as Zeros in Average Weights | Determines how to include missing weights in average weight calculations. Options include: Yes. Default. The system treats missing weights as zeros. This produces an average over the entire period and the total of the weights are equal to 100%. No. The system excludes missing weights from the average weight calculation. This produces an average for the held observations and the total of the weights may not be equal to 100%.
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Include FI Effects in Total Attribution | Determines whether to perform fixed income or equity style attribution analysis on the bonds. Options include: Checked. Calculates all of the fixed income specific effects. Unchecked. Does not calculate all of the fixed income specific effects. The analysis degrades to an equity style attribution. This option shows you what the attribution would look like if the bonds were analyzed the same way as equities. For example, suppose you wanted equity style analysis on a high yield bond fund. If you leave this option unchecked, the analysis decomposes to an equity style attribution. That is, the total return is decomposed into allocation, selection, and interaction. The system does not calculate any of the fixed income specific effects.
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Substitute missing Benchmark Return with | Specifies how to treat missing benchmark returns. Options include: Zeros. Default. Allows use of zero if the portfolio does not hold segments or nodes in the benchmark. Portfolio Segment Returns. Allows use of the portfolio segment return if the benchmark does not hold segments or nodes in the portfolio. Eagle recommends selecting this option. For missing segments, the selection effect becomes zero and the excess return is shifted to allocation.
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Substitute missing Portfolio Return with | Specifies how to treat missing portfolio returns. Options include: Zeros. Default. Allows use of zero if the benchmark does not hold segments or nodes in the portfolio. Benchmark Segment Returns. Allows use of the benchmark segment return if the portfolio does not hold segments or nodes in the benchmark. Eagle recommends selecting this option. For missing segments, the selection effect becomes zero and the excess return is shifted to allocation.
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Annualize Returns | Specifies the algorithm to use for annualizing attribution results. Options include: Do not Annualize. The system performs cumulative attribution and does not annualize attribution results. Cumulative Return Difference Annualized. The system annualizes the cumulative active return difference. It uses the ratio of the annualized cumulative active return difference to scale all attribution effects so that they all combine correctly to the annualized return difference. Difference of Annualized Returns. The system annualizes both the portfolio return and the benchmark return. It takes the arithmetic difference of these annualized returns. It uses the ratio of the arithmetic return difference to the cumulative return difference to scale all of the attribution effects so that they are combined correctly to the arithmetic return difference. To Held Period, Cumulative Return Difference Annualized. The system annualizes the cumulative active return difference for the held period. It uses the ratio of the annualized cumulative active return difference to scale all of the attribution effects so that they are all combined correctly to the annualized return difference. To Held Period, Difference of Annualized Returns. The system annualizes both the portfolio return and the benchmark return for the held period. It takes the arithmetic difference of these annualized returns. It uses the ratio of the arithmetic return difference to the cumulative return difference to scale all of the attribution effects so that they are combined correctly to the arithmetic return difference.
See Appendix C for details. |
Annualization Method | Specifies the method to use for annualization. Only available if Annualize Returns drop-down list is set to Yes or To Held Period. Options include: Use System Settings. Uses the values set in Eagle Performance System Parameters 8 (Annualization Method) and 9 (Numerator for annualization based on days). Default Method. Uses the Default method for annualization, and ignores the value set in Performance System Parameter 8. Days Method. Uses a Performance System Parameter 8 value of Days. Months Method. Uses a Performance System Parameter 8 value of Months.
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Numerator for Annualization Based on Days | Specifies the number of days to use in the numerator for annualization and ignores the value set in Performance System Parameter 9. Only available if Annualize Returns drop-down list is not set to Do not Annualize and the Annualization Method drop-down list is set to Days. |
Style | Specifies the level of attribution. There are two styles of attribution at All Levels. These include to Total and to Segment. These options determine how the allocation effect and weights are calculated. Options include: Single Level. Calculates the attribution effects for higher levels of a performance model by rolling up the values from the level selected for the analysis in the report profile. The rollup is by addition for arithmetic attribution and multiplication for geometric attribution. All Levels using Attribution to Total. Calculates the attribution effects at all levels of the performance model with the selected level being the lowest level of the model that is calculated (for example, selected for analysis in the report profile). All input weights are automatically normalized so that the top level model weight is 100%. The allocation equation is calculated as follows:
(Portfolio Segment Weight – Benchmark Segment Weight) * (Benchmark Segment Return – Benchmark Total Return). All Levels using Attribution to Segment. Calculates the attribution effects at all levels of the performance model with the selected level being the lowest level of the model that is calculated (e.g., selected for analysis in the report profile). Each segment's weights are normalized to 100% at each segment level instead of 100% at the total level. This option uses the allocation equation described in the to Total option where Benchmark Total Return is Benchmark Segment Total Return. That is, the benchmark's return at the given segment level of the performance model. The allocation equation is calculated as follows:
(Portfolio Segment Weight – Benchmark Segment Weight) * (Benchmark Segment Return – Benchmark Segment Total Return).
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Residual | Specifies the type of spread(s) to include or exclude from the residual return calculation. The spreads are also excluded from the decomposition of Residual into Allocation, Selection, and Interaction. The Residual option is typically set to exclude any Spread effect that is shown individually in another column on the report. Options include: Includes Price Spread and Yield Spread. Default. Residual effect includes both price spread and yield spread. Includes Yield Spread. The price spread is removed from the residual calculation and only the yield spread is included. Does not include Price Spread or Yield Spread. Both spreads are removed from the residual.
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Yield Curve Lookup | Allows more precise calculation for non-zero coupon bonds where duration is not usually equal to the bond’s time to maturity. Options include: Duration. Default. This is provided for backward compatibility. If you select this option, the yield curve look up is based on the specific security or segment’s duration. Time to Maturity. If you select this option, the yield curve lookup is based on the specific security or segment’s Time to maturity. If you select this option, you need to map the Time to Maturity in the Portfolio Duration Fields and Benchmark Duration Fields tabs. Use Duration if TTM is not available. If you select this option, the engine uses the duration-based lookup for the securities or segments where Time to Maturity is not available in database. If you select this option, you need to map the Time to Maturity in the Portfolio Duration Fields and Benchmark Duration Fields tabs.
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Return/Contribution Options
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Key Rate Duration | Determines use of key rate durations. Options include: Checked. Uses key rate durations to measure 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.
When you choose this option, you can enter a set of key rate duration points and corresponding fields in the Portfolio Duration Fields tab and in the Benchmark Duration Fields tab. If you select this check box, the Pivot Point Style option and Pivot Point (Years) option become unavailable. Unchecked. Default. Does not use key rate durations. When you clear this check box, you can select a duration field in the Portfolio Duration Fields tab and in the Benchmark Duration Fields tab.
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Pivot Point Style | Specifies the method used to determine the pivot point. A pivot point is a price level used to predict the direction of price movement in the market. Options include: User Entered. Allows you to specify the pivot point. This option enables the Pivot Point (Years) option. Benchmark Duration. Default. The system uses the duration of the benchmark as the pivot point for each analysis period.
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Pivot Point (Years) | Specifies the pivot point if you selected User Entered for the Pivot Point Style option. |
Yield Curve | Specifies how to determine which yield curve to use for the bonds being analyzed. Options include: Security Driven. The system associates the yield curve identifier with each security or segment. This option uses an individual yield curve per currency for the analysis. Portfolio Base. (Not Used) The system uses the same yield curve for all securities. Security level yield curve codes are not used. All securities are compared to the same risk-free curve that is specified by the setting in the Entity Detail – User field1 field.
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Days in Year | Specifies the number of days in the year to use in the yield calculations. |
Benchmark Options
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Benchmark Entity | Specifies a benchmark for the portfolio. |
Missing Input Handling
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Yield Curve | Determines how the system processes missing yield curve data. Options include: |
Analytics | Determines how the system processes missing analytics. Options include: |
Return/Weight | Determines how the system processes missing returns and weights. Options include: |
Inconsistent Input Handling
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Weights | Specifies how to process errors when the weight inputs do not sum to 1 (100%). Options include: Continue Processing. When weights do not sum to 100%, an error appears in the diagnostics and log with a notification. Terminate. When weights do not sum to 100%, an error is given and the report processing terminates.
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Returns | Specifies how to process errors when the return inputs do not sum to 1 (100%). Options include: Continue Processing. When returns do not sum to 100%, an error appears in the diagnostics and log with a notification. Terminate. When returns do not sum to 100%, an error is given and the report processing terminates.
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