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Welcome to Flametree Technologies
Here you can find information about Flametree Technologies and our flagship fixed income attribution product, FIA.
Attribution continues to be one of the hottest topics in fixed income management. Attribution has enormous value in generating profits and increasing funds under management. Yet existing systems are expensive, difficult to use, and require major investments in time, money and expertise to set up and run.
FIA provides a powerful new approach to solving this problem using the least amount of data possible without compromising on depth of analytics or instrument coverage. Designed by a leading industry expert, FIA's capabilities equal or surpass those of any other attribution system in the marketplace.
Best of all – it’s straightforward to use. A typical first report takes less than 30 minutes to set up and run. FIA
- is designed to leverage established performance measurement systems, not to replace them;
- does not require price, duration, yield or other time-dependent security data;
- has a zero deployment footprint and no software setup or external data integration, resulting in minimal setup and running costs;
- is usable by non-specialists;
- supports attribution at daily, weekly or monthly intervals;
- handles a wide range of security types, risk types and attribution options;
- supports carve-outs and subportfolios to any depth and complexity;
- supports both yield curve pricing and perturbational attribution models;
- offers extensive reporting options, ranging from raw numbers to pre-formatted reports – all generated for you on our server;
- is affordable, quick to set up, and has very low data requirements. You can run FIA from a netbook.
- is extremely fast. On a typical customer-supplied portfolio FIA ran in 4 seconds, compared to the 20 minutes required by a leading industry competitor's product - a speed increase of 300 times.
The result is that FIA allows you to focus on your core portfolio management skills, instead of becoming bogged down in technology issues.
Not sure if FIA will meet your needs? Try the system out on-line for free for 30 days without obligation. Or contact us for a demonstration, using your portfolio data.
Why a wiki?
One of our guiding principles in writing FIA is to be as transparent as possible about how the system works. We don't trust 'black box' approaches to analytics, where the specifics of a calculation or an algorithm are treated as a trade secret. Instead, we believe a policy of openness delivers the best possible results for our customers.
We have therefore taken the approach of putting all information about the system - including documentation, white papers, and technical specifications - online, rather than using a more traditional graphically oriented website. This also allows us to ensure that the system's documentation is always up to date.
New features (May 2012)
Security-level asset allocation return
For top-down investment processes, FIA now makes the Brinson equity attribution model available to measure the effects of asset allocation decisions on overall portfolio return.
Asset allocation returns are calculated at the security level and are aggregated over sectors in the same way as all other sources of return.
Price return
A common source of active return is pricing discrepancies between securities that are held in both the portfolio and the benchmark. FIA now allows the user to isolate this return and report it in a separate category.
New features (April 2012)
Custom sector allocation
FIA now allows an unlimited number of custom sectors to be defined on a per-security basis. These sector classifications can be used for asset allocation and custom reporting.
Drill-down reports in Excel
FIA now generates exposure and risk reports that use Excel's grouping capabilities to summarise reports, while making it easy to drill-down into data to identify the specific causes of investment returns without using long paper reports.
New features (March 2012)
Sector and country curve attribution
Use the new Sector curve field in the security definition file and the SpreadAttribution switch to perform country spread or sector spread attribution on your portfolio.
New features (February 2012)
Residual allocation
FIA now has the ability to direct residuals, or security-specific returns, to custom buckets. This is accomplished via use of the new Residual field in the security master file.
Credit classification
Explicit credit ratings are no longer required for all securities. Securities with a blank or a space in their credit rating field are now treated as unrated.
New features (December 2011)
Interactive graphical user interface (GUI) now available
The configuration editor is a stand-alone Windows application that can be used to set up and edit attribution configuration files. If FIA has been installed on the same system, the GUI will also run FIA using the selected settings.
Par curve to zero curve conversion utility now available
FIA uses zero curves to price securities, but data is frequently only available as par curves, particularly for credit curves. We now provide a conversion utility that reads data from spreadsheets, performs the par to zero conversion automatically, and exports yield curve data in the format required by FIA.
New features (October 2011)
- Attribution calculations may now be allocated across multiple cores on the host PC
- Automatic generation of static and animated graphical reporting files from FIA output, using the free 'R' statistical package
- Comprehensive documentation now on-line
New features (August 2011)
- Principal component analysis for decomposition of curve movements
- Convexity attribution
- Optionality attribution
- Static risk reports, showing exposures, modified duration, convexity, YTM and running yield, both in absolute terms and relative to benchmark
FIA manual
- Chapter 1 Introduction
- Chapter 2 Getting started
- Chapter 3 File formats
- Chapter 4 Setting up the configuration file
- Chapter 5 Running FIA
- Chapter 6 Types of fixed income security
- Chapter 7 Types of fixed income risk
- Chapter 8 Subportfolios
- Chapter 9 Reporting
- Chapter 10 Stress tests
