Unlike most other reports in FIA, the user can control the contents of the interactive report in numerous ways.
In general, the selected decomposition by sector and security is shown at the right hand, while the decomposition by risk and variable type is shown from left to right.
Interactive reports are generated in native Excel format, already rolled up using Excel's drill-down feature.
To generate an interactive report, set
in the configuration file.
Defining an interactive report
Interactive reports are set up using the ReportSectors setting in the configuration file. ReportSectors has numerous options which are covered below.
FIA can generate multiple, different interactive reports for the same portfolio and benchmark after each run of the program. To use this feature, set multiple values of ReportSectors in the configuration file.
Interactive report settings
In general, a report setting takes the form
ReportSectors = sector1, sector2, sector2 | var1, var2, var3
where the sectors to the left of the pipe ('|') symbol defines the report hierarchy, and the variables to the right define the returns, exposures or risks to be shown on the report. Detailed examples are supplied below.
Sectors in interactive reports
To set up the sectors used in an interactive report, supply the names of the sectors, separated by commas. The case of the sector names is ignored, as are any spaces between the names.
If no sectors are defined, FIA uses a default sector definition of Currency, Security.
If the report is to display information down to the security level, the last sector should always be Security. If the last sector is not set to this value, the report will only display aggregated data down to the level of the last sector in the list.
Sectors can be
- one of FIA's predefined sectors. These are
Coupon, duration and maturity buckets are set up using the CouponList, DurationList and MaturityList settings in the configuration file. FIA handles movements between duration and maturity buckets automatically.
- a user-defined sector. Each security can be assigned to one or more sectors using the Classification field in the security master file. If a value has not been assigned for a particular sector, FIA classifies the security as unknown.
Variables in interactive reports
To define the variables to shown on an interactive report, place a pipe symbol ('|') after the sector list, and enter the names of the variables required, separated by commas. FIA will then generate a report showing the requested variables in the same order as they are supplied in the list.
Some quantitie, such as return, attribution and tracking error, are calculated over the whole report interval. Others, such as exposure and modified duration, are measured at the last day of the report interval.
FIA ignores the case of the variables in the list, and removes any spaces.
Variables currently defined by FIA are
|Variable name||Name on report||Description|
|MV||Market value||The market value, in local currency terms, of the displayed security or sector|
|EE||Effective exposure||The effective exposure, in local currency terms, of the displayed security or sector|
|MD||Modified duration||The modified duration of the displayed security or sector|
|MD_CONT||Modified duration contribution||The contribution to modified duration of the displayed security or sector. The sum of all security-level modified duration contributions is the modified duration of the portfolio.|
|UNWEIGHTED_R||Unweighted return||Absolute return of the displayed portfolio, sector or security|
|R||Total (base) currency return contribution||Base return contribution of the displayed portfolio, sector or security|
|ATTRIBUTION_R||Attribution return contributions||Return contribution of the current source of risk for the displayed portfolio, sector or security|
|TE||Tracking error||Tracking error contribution for the displayed portfolio, sector or security.|
|ATTRIBUTION_TE||Attributed tracking error||Tracking error, decomposed by source of risk|
|MV_WGT||Market value weight||Market value contribution to portfolio|
|EE_WGT||Effective exposure weight||Effective exposure contribution to portfolio|
|MD_WGT||Modified duration weight||Modified duration contribution to portfolio|
Additional variables may be added in future.
For instance, if you want to display market value, effective exposure and modified duration as fields on the interactive report, enter
MV, EE, MD
after the pipe ('|') symbol.
If no variables are entered and no pipe symbol is present, FIA generates a report with default columns (asset allocation, duration contribution, attribution returns, base currency return).
Variables ATTRIBUTION_R and ATTRIBUTION_TE display as many columns as there are sources of risk. All other variables only display one column of data.
By default, FIA displays all aggregated values below their individual sub-values.
To display aggregated values above their sub-values, set
TotalsAtTop = true
in the configuration file.