Selectable Input Smoothing

 The Selectable Input Smoothing Option in Global Attribution allows Eagle’s performance engine to consume a set of unsmoothed contributions or attribution effects from performance tables and smooth them with industry-standard smoothing algorithms. The feature is designed to work at the total report level for Stored Performance models.

This feature is useful in several ways:

• You can compute Non-Brinson attribution effects using the Performance Calculation and then commit them in Eagle’s Performance tables. The sum of single period effects usually reconcile to the excess returns. However, the multi-period sum of effects is not equal to the linked excess returns creating residuals. Once the effects are smoothed with the Carino 99 algorithm, the residuals would disappear.
• This feature can be used by a client with an in-house attribution system to break-down excess returns but would like to use Eagle’s smoothing algorithms to ensure that the computed effects reconcile to the excess returns.
• If a client has pre-computed unsmoothed attribution effects from a legacy system, it can be loaded directly into performance tables and smoothed with Eagle’s smoothing algorithms.

Input Data

The inputs to be smoothed will be either committed or uploaded into the performance tables. The following table summarizes the inputs needed for contribution and attribution smoothing.

The unsmoothed effects are Inputs. The performance fields pointing to these unsmoothed effects are called Input fields. Returns at the total level are needed for each single period to compute K factors in Carino 99. The performance fields pointing to these are called control fields.

Smoothing ensures that the sum of effects is equal to the

• Linked fund or index return at Total level for Contribution.
• Linked excess returns at Total level for Attribution.

To configure the Global Attribution Group for a Single Period:

1. In the Performance desk, click General Reporting in the left navigation. 
   You see the Performance Center with the General Reporting workspace.
2. Expand the Fields folder, expand the Custom folder, and click Global Attribution Group.
   You see a list of Global Attribution Groups. 
3. 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.
4. Click Selectable Input Smoothing  and click Next.
   You see the Creating Global Attribution Group dialog box.
   
   
5. Complete the fields on the Options tab. For more information, see xx Options.

6. In the Options and Field Map field choose attributes required for smoothing. Only Carino 99 Arithmetic is currently supported. The Attribution dropdown would let the user choose between contribution and attribution. The other options needed in SIS Field are shown in the image below.

7. Click in the empty cell to the right of the Options & Field Map Field option.
8. Select BF Options & Field Map from the Custom folder and click New.
9. Complete the fields on the Options tab. For more information, see Create Brinson and Fachler Options - Menchero or Carino Method.
10. Click Next.
    The Input Fields tab displays. This dialog box is used to specify the inputs to the attribution calculations. The user can choose up to thirty unsmoothed effects in the “Input Fields” tab.
11. You can select an existing field from the list, or click New to display the New Regular Field dialog box and create a new field. Complete a mapping for all of the fields on the Fields tab and click next. 
12. The user can choose the fund and index returns in the “Control fields” tab. Since smoothing is supported only at the total level, the fund/index weights are not included.
13. Click Finish.
    You see the Creating a Global Attribution Group dialog box Options tab.
14. 
    You see the Field Map Selector dialog box.

15. 
    

16. Complete the fields on the Options tab and click Next.

17. The user can choose the fund and index returns in the “Control fields” tab. Since smoothing is supported only at the total level, the fund/index weights are not included.

    
    

    If the user chooses Absolute (Contribution) in the ‘Attribution’ dropdown OFM field, only the portfolio return would be available. If the user chooses Relative (Attribution), both portfolio and benchmark returns would be made available.

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