Detect Inconsistent Returns

Base Return Fund and Base Return Index fields are available as inputs and outputs via the Inputs and Outputs Field Selector dialog box when you configure the Global Attribution Group field. See the following figure. These two sets of return fields can help you identify inconsistencies in performance data at the various attribution levels.

The Base Return Fund input and the Base Return Index input reflect the exact values stored in the PERF_SEC_RETURNS table in the PERFORM database. The Base Return Fund output and the Base Return Index output reflect a sum of contribution rollup from the lowest level selected for the attribution analysis. These returns are calculated by a rollup of the weights and returns as the sum of contributions divided by the weight at each level. These rolled up total return outputs are always used as the basis for the smoothing calculations. The multi-period attribution always uses consistent data when aggregating effects to higher levels and smoothing these across multiple-periods using these total returns.

Additionally, the Base Fund Return In-Out Difference output and the Base Index Return In-Out Difference output are provided to display the differences between the return inputs (PERF_SEC_RETURNS) and the return outputs (contribution rollups).

These differences will be zero at all levels if the rollup returns are the same as the PERF_SEC_RETURNS stored returns. Any differences between the two styles of return will be apparent from the differences. These differences are the values you currently track for auditing consistency checks when running attribution. You can report any difference at the total level on your Advanced report attribution output.