Skip to end of metadata
Go to start of metadata

You are viewing an old version of this page. View the current version.

Compare with Current View Page History

« Previous Version 6 Next »


Inputs/Outputs

Effect Name

Comments

Inputs



Fund Returns




Base Return Fund

See Detecting Inconsistent Returns in Appendix C for details on using the Base Return Fund to identify inconsistencies in performance data.


Local Return Fund


Index Returns




Base Return Index

See Detecting Inconsistent Returns in Appendix C for details on using the Base Return Index to identify inconsistencies in performance data.


Local Return Index


Weights




Base Weight Fund



Base Weight Index


Outputs



Fund Returns




Base Return Fund

See Detecting Inconsistent Returns in Appendix C for details on using the Base Return Fund to identify inconsistencies in performance data.


Cross Product Return Fund

Geometric Attribution Method analysis does not support cross product effects such as the Cross Product Return Fund effect.


Currency Return Fund


Fund Contributions




Base Contribution Fund



Cross Product Contribution Fund

Geometric Attribution Method analysis does not support cross product effects such as the Cross Product Contribution Fund effect.


Currency Contribution Fund

Geometric Attribution Method analysis does not support the Currency Contribution Fund effect.


Local Contribution Fund


Index Returns




Base Return Index

See Detecting Inconsistent Returns in Appendix C for details on using the Base Return Index to identify inconsistencies in performance data.


Cross Product Return Index

Geometric Attribution Method analysis does not support cross product effects such as the Cross Product Return Index effect.


Currency Return Index


Index Contributions




Base Contribution Index



Cross Product Contribution Index

Geometric Attribution Method analysis does not support cross product effects such as the Cross Product Contribution Index effect.


Currency Contribution Index

Geometric Attribution Method analysis does not support the Currency Contribution Index effect.


Local Contribution Index


Relative Returns




Base Return Difference



Base Return Fund In-Out Difference

See Detecting Inconsistent Returns in Appendix C for details on using the Base Return Fund In-Out Difference and Base Return Index In-Out Difference to identify inconsistencies in performance data.


Base Return Index In-Out Difference

See Detecting Inconsistent Returns in Appendix C for details on using the Base Return Fund In-Out Difference and Base Return Index In-Out Difference to identify inconsistencies in performance data.


Cross Product Return Difference

Geometric Attribution Method analysis does not support cross product effects such as the Cross Product Return Difference effect.


Currency Return Difference



Local Return Difference


Attribution Effects


These options display the effects before the smoothing algorithm, if used, is applied. Geometric Attribution Method analysis does not use smoothing.


Allocation



Allocation Interaction

Geometric Attribution Method analysis does not support interaction effects. If you select this effect, it calculates an Allocation Interaction effect that has the same value as the Allocation effect.


Cross Product Effect

Geometric Attribution Method analysis does not support cross product effects such as the Cross Product effect.


Currency Effect

For Geometric Attribution Method analysis, the Currency effect is available only at the Total level when multicurrency analysis is in effect. The analysis becomes multicurrency based on the return inputs defined for the field group (rather than by inspecting the actual return values in the performance data). The system calculates the Currency effect if either:

  • The field attribute input for Base Return Fund differs from the field attribute input for Local Return Fund.
  • The field attribute input for Base Return Index differs from the field attribute input for Local Return Index.


Interaction

Geometric Attribution Method analysis does not support the Interaction effect.


Local Total Attributed

You can use the Local Total Attributed effect for Geometric Attribution Method analysis only. This effect does not apply to Carino or Menchero analyses.


Selection



Selection Interaction

Geometric Attribution Method analysis does not support interaction effects. If you select this effect, it calculates a Selection Interaction effect that has the same value as the Selection effect.


Total Attributed

For Geometric Attribution Method analysis, the Total Attributed effect is available only at the Total level when multicurrency analysis is in effect. It has the same value as the Smoothed Total Attributed effect. If your Local Return and Base Return inputs:

  • Differ, the Currency effect is available, and the Total Attributed effect is shown only at the total level when you run multicurrency analysis.
  • Match, the Currency effect is zero. The Total Attributed effect is the same as the Local Total Attributed effect. The Total Attributed effect is shown only at all levels when you run single currency analysis. You can always show the Local field at all levels.

Smoothed Attribution Effects


For the Geometric Attribution Method, these options do not apply a smoothing algorithm — they provide results identical to those of the corresponding non smoothed effects.


Smoothed Allocation



Smoothed Allocation Interaction

Geometric Attribution Method analysis does not support interaction effects. If you select this effect, it calculates a Smoothed Allocation Interaction effect that has the same value as the Smoothed Allocation effect.


Smoothed Cross Product Effect

Geometric Attribution Method analysis does not support cross product effects such as the Smoothed Cross Product effect.


Smoothed Currency Effect

For Geometric Attribution Method analysis, the Smoothed Currency effect is available only at the Total level when multicurrency analysis is in effect.


Smoothed Fund Base Contribution



Smoothed Index Base Contribution



Smoothed Interaction

Geometric Attribution Method analysis does not support interaction effects such as the Smoothed Interaction effect.


Smoothed Local Total Attributed

You can use the Smoothed Local Total Attributed effect for Geometric Attribution Method analysis only. This effect does not apply to Carino or Menchero analyses.


Smoothed Selection



Smoothed Selection Interaction

Geometric Attribution Method analysis does not support interaction effects. If you select this effect, it calculates a Smoothed Selection Interaction effect that has the same value as the Smoothed Selection effect.


Smoothed Total Attributed

For Geometric Attribution Method analysis, the Smoothed Total Attributed effect matches the Total Attributed effect.

Weights




Average Base Weight Difference



Average Base Weight Fund



Average Base Weight Index



Base Weight Difference


  • No labels