Setting up the configuration file

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Contents

Introduction

The configuration file is a short text file that contains the names of the files to be used in the attribution calculation, the type of attribution to be performed, and any other information required for the analysis, such as the base currency for the final reports. A configuration file must be supplied each time FIA is run.

A configuration file allows the user to set large numbers of parameters without having to retype them each time the program is run.

Configuration files may be given any name, but must have the suffix cnf. Configuration files may be written or edited using any text editor, such as Notepad (in Windows) or gedit (in Linux).

A sample configuration file looks as follows:

# sample.cnf
[FIA]
PortfolioFile = statfund1.csv
SecurityFile = sec_defs.csv
CarryDecomposition = pull_to_par
SovereignCurveDecomposition = STB
RollDownAttribution = n
DateFormat = %d/%m/%Y

This file specifies that

The user has left a comment on the first line that the name of the file is sample.cnf. Any line that is prefixed by a # symbol is treated as a comment, and is ignored by FIA.

A detailed list of the possible options specified in the configuration file is shown in the next table. Note that many settings do not need to have values assign, as sensible default values are defined.

A configuration file must always start with [FIA].

If an option setting that does not correspond to a defined field is supplied, FIA flags an error and stops.

Portfolios that are regularly analysed may be assigned their own configuration file. This file can then be reused as often as required.

Options may be set in any order.
Options are case-sensitive.

Setting up a configuration file

There are two ways to set up a configuration file for FIA.

Setting up values

For string-valued options, use the pattern

FIELD=VALUE

VALUE can be upper or lower case.

For Boolean-valued options, use the pattern

FIELD=VALUE

where VALUE can take the values True, False, Yes, No, 1, 0.

No quotation marks are needed. Spaces to either side of the ‘=’ sign are ignored.

If a field is specified that is not recognized by FIA, the program will stop with an error message.

The following tables show the names and formats of quantities that may be read from the configuration file.

Diagnostic options

Field Description Required? Possible values Example Default
Silent Whether to display run-time messages to the console No True, False, Yes, No, 1, 0 No Yes

Notes

The Silent setting allows the user to turn off any output to the system console when running the FIA library. This can be useful when, for instance, running FIA many time in batch mode.

File name configuration

Field Description Required? Possible values Example Default
PortfolioFile Name of portfolio weights and returns file, including file path if required Yes File name as string portfolio.csv Not applicable
BenchmarkFile Name of benchmark weights and returns file, including file path if required No File name as string benchmark.csv None
SecurityFile Name of security definitions file, including file path if required Yes File name as string sec_defs.csv Not applicable
YieldCurveFile Name of yield curve data file, including file path if required No File name as string yc.csv Not applicable
MapFile Name of security map file, including file path if required, containing security names that refer to the same security No File name as string MapFile.csv None
StressFile Name of stress test file, including file path if required, containing one or more stress test scenarios. See Chapter 10 (Stress tests) for more information about setting up and running stress tests. No File name as string StressFile.csv None
FXFile Name of exchange rate file, including file path if required, containing currency codes, dates and rates. No File name as string fxfile.csv None
IndexFile Name of file containing time series such as inflation indices, LIBOR and paydown schedules No File name as string IndexFile.csv None

Notes

The benchmark file is optional. If no benchmark is specified, the program will run attribution on the supplied portfolio and generate an appropriate set of reports.

The only exception is when the user has requested an asset allocation report. This type of analysis specifically requires a benchmark, so in this case FIA will generate an error message and halt.

Date format configuration

Field Description Required? Possible values Example Default
DateFormat User-supplied format for parsing dates from all files No See below %d/%m/%Y %Y-%m-%d
SecurityDateFormat User-supplied format for parsing dates in security file No See below %d/%m/%Y %Y-%m-%d
PortfolioDateFormat User-supplied format for parsing dates in portfolio returns files No See below %d/%m/%Y %Y-%m-%d
BenchmarkDateFormat User-supplied format for parsing dates in benchmark returns files No See below %d/%m/%Y %Y-%m-%d
YieldCurveDateFormat User-supplied format for parsing dates in yield curve files No See below %d/%m/%Y %Y-%m-%d
FXDateFormat User-supplied format for parsing dates in exchange rate files No See below %d/%m/%Y %Y-%m-%d
IndexDateFormat User-supplied format for parsing dates in index file No See below %d/%m/%Y %Y-%m-%d

Attribution calculation configuration

Field Description Required? Possible values Example Default
CarryDecomposition String indicating type of carry return attribution required:
  • NONE: no return measured for the passage of time.
  • AGGREGATED: all return from carry assigned to one source.
  • PULL_TO_PAR: return decomposed into return from current yield and return from pull-to-par effects.
  • CREDIT_CARRY: carry return decomposed into return generated by risk-free yield, and return generated by spread above this yield.

[Other values are reserved for future expansion]

No
  • NONE
  • AGGREGATED
  • PULL_TO_PAR
  • CREDIT_CARRY
PULL_TO_PAR AGGREGATED
SovereignCurveDecomposition String indicating type of yield curve attribution required:
  • NONE: no return assigned to sovereign curve movements. The user may prefer not to display this field if no securities in the portfolio are affected by changes in the term structure.
  • AGGREGATED: all return from sovereign curve movements assigned to one source
  • DURATION: return from sovereign curve assigned to parallel and non-parallel curve movements
  • STB: return from sovereign curve assigned to parallel shift, twist and curvature movements
  • KRD: return from sovereign curve assigned to movements at various maturities
  • CCB: twist motions measured by performing a least-squared fit of a first-order polynomial to the curve
  • PCA: models curve movements using principal component analysis

[Other values are reserved for future expansion]

No
  • NONE
  • AGGREGATED
  • DURATION
  • STB
  • KRD
  • CCB
  • PCA
DURATION AGGREGATED
AverageCurveLevel String indicating averaging routine to calculate mean level of yield curve:
  • ARITHMETIC: Simple arithmetic averaging of yield levels
  • TRAPEZOIDAL: Uses trapezoidal integration to remove effect of unequally spaced sample points on the yield curve
  • FIXED: Uses maturity specified in value ShiftMaturity at which to measure changes in curve

[Other values are reserved for future expansion]

No
  • ARITHMETIC
  • TRAPEZOIDAL
  • FIXED
ARITHMETIC TRAPEZOIDAL
LowerTwistMaturity Lower maturity about which curve twists are measured. Only used if SovereignCurveDecomposition=STB. No >0 5 3
UpperTwistMaturity Upper maturity about which curve twists are measured. Only used if SovereignCurveDecomposition=STB. No >0 15 10
ShiftMaturity Maturity point at which curve shifts are measured. For instance, if this value is set to 5, then a curve's parallel shift is deemed to be the change in the curve's level at the 5 year maturity. No >0 5 7
ConvexityAttribution Whether to display returns due to security convexity

If this field is not displayed, any returns from this source are assigned to RESIDUAL.

No True, False, Yes, No, 1, 0 No No
RollDownAttribution Whether to display returns due to roll-down effects

If this field is not displayed, any returns from this source are assigned to RESIDUAL.

No True, False, Yes, No, 1, 0 No No
PayDownAttribution Whether to display returns due to paydown

If this field is not displayed, any returns from this source are assigned to RESIDUAL.

No True, False, Yes, No, 1, 0 No No
LeverageAttribution Whether to display returns due to leverage

If the portfolio has leverage in place (effective exposure differs from market exposure), this switch makes FIA calculate the proportion of return generated by leverage.

No True, False, Yes, No, 1, 0 No No
MaturityList List of maturities that define buckets used in reporting. No Any set of positive numbers. List does not need to be sorted. '0' is added automatically if not explicitly declared. 0,1,2,3,4,5,10,15 0,1,...,10,15,20,30
DurationList List of modified durations that define buckets used in reporting. No Any set of positive numbers. List does not need to be sorted. '0' is added automatically if not explicitly declared. 0,1,2,3,4,5,10,15 0,1,...,10,15,20,30
KRDList List of key rate durations to be used if SovereignCurveDecomposition=KRD. No Any set of positive numbers. List does not need to be sorted. '0' is added automatically if not explicitly declared. 0,1,...,10,15,20,30 0,1,...,10,15,20,30
TenorList List of tenor points on yield curve to be used if CurveReport=T. No Any set of positive numbers. List does not need to be sorted. '0' is added automatically if not explicitly declared. 0,1,...,10,15,20,30 0,1,...,10,15,20,30

Display options configuration

Field Description Required? Possible values Example Default
TimeReturnLabel Label for time/coupon return. Only used when CouponDecomposition set to AGGREGATED No Any Coupon Coupon
RunningYieldLabel Label for return due to runninh yield. Only used when CouponDecomposition set to PULL_TO_PAR No Any Running yield Running yield
PullToParLabel Label for return due to pull to par effects. Only used when CouponDecomposition set to PULL_TO_PAR No Any Pull to par Pull to par
RiskFreeCarryLabel Label for return due to risk free yield. Only used when CouponDecomposition set to CREDIT_CARRY No Any Risk-free carry Risk-free carry
CreditCarryLabel Label for return due to pull to par effects. Only used when CouponDecomposition set to CREDIT_CARRY No Any Credit carry Credit carry
RolldownLabel Label for rolldown return No Any Rolldown Rolldown
ResidualReturnLabel Label for residual return No Any Residual Residual
SovereignCurveReturnLabel Label for return due to changes in sovereign curve No Any Sovereign curve Sovereign curve
DurationCurveReturnLabel Label for return due to parallel changes in the sovereign curve. Only used when SovereignCurveDecomposition set to DURATION No Any Duration Duration
NonParallelCurveReturnLabel Label for return due to non-parallel changes in the sovereign curve. Only used when SovereignCurveDecomposition set to DURATION No Any Non-parallel curve Non-parallel curve
ShiftReturnLabel Label for return due to parallel shift in sovereign curve. Only used when SovereignCurveDecomposition set to STB No Any Shift Shift
TwistReturnLabel Label for return due to steepening or flattening in sovereign curve. Only used when SovereignCurveDecomposition set to STB No Any Twist Twist
CurvatureReturnLabel Label for return due to increasing or decreasing curvature in sovereign curve. Only used when SovereignCurveDecomposition set to STB No Any Curvature Curvature
ConvexityReturnLabel Label for return due to convexity. No Any Convexity Convexity
SpreadReturnLabel Label for return due to movements in the country or sector spread No Any Spread Spread
FXReturnLabel Label for return due to changes in exchange rates No Any FX return FX return
UnatttributedReturnLabel Label for return to due unattributed securities No Any Unattributed Unattributed
TotalReturnLabel Label for sum of all returns No Any Total Total

Mixed model allocation options

Field Description Required? Possible values Example Default
BrinsonAllocationSectors Sectors with which to perform allocation attribution on security-level returns.

If this field is set to one or more valid sector names, returns will be decomposed using market value (Brinson) allocation. Allocation returns will be calculated using the supplied sector list, and a stock selection return will also be displayed.

The Brinson allocation model firstly calculates asset allocation returns for an entire portfolio, and then assigns any remaining return to a stock selection category.

The Brinson allocation model should be used for equity portfolios. It is also suitable for mixed portfolios that contain both equity and fixed income securities. If the portfolio has been managed from the top-down in terms of security type and then country allocations, set BrinsonAllocationSectors=pricing, country (assuming a country variable has been defined). The program will then calculate the return made by the security type allocation decision, then the return made by the country allocation decision for each pricing type, and then a security selection return.

If the configuration file has been set up to calculate fixed income returns, then these effects will be displayed in the system's report. If fixed income allocation decisions have been taken, then they will show up in the same report. For instance, if a configuration file requires both overall asset allocation returns and spread duration allocation returns, then values should be assigned to BrinsonAllocationSectors and SpreadAllocationSectors, and corresponding returns will be displayed on the attribution report.

If equity attribution is to be run, the value of the Residual label should be changed to Stock selection. Equity securities have no interest rate exposures, so no carry return will be generated and all non-allocation return will be directed to this return category.

No See below See below [Blank]

Fixed income allocation attribution options

Field Description Required? Possible values Example Default
CarryAllocationSectors Sectors with which to perform allocation attribution on security-level carry returns.

If this field is set to one or more valid sector names, carry returns will be decomposed using market value allocation. Allocation returns on carry will be calculated using the supplied sector list, and a stock selection return will also be displayed.

Only market allocation is available for carry returns.

If carry return is decomposed into multiple sources of sub-return (such as running yield and pull-to-par) then the overall allocation return for carry will be calculated, followed by individual stock selection returns, one for each source. For instance, if CarryAllocationSectors is set to Credit, Duration then the following four sources of carry return will be calculated:

  • Carry allocation return due to credit allocation decisions
  • Carry allocation return due to duration allocation decisions
  • Running yield return
  • Pull-to-par return

If a portfolio does not generate any carry returns (for instance, if it only contains equities), no carry allocation or selection returns will be calculated.

No See below See below [Blank]
CurveAllocationSectors Sectors with which to perform allocation attribution on security-level curve (non-carry) returns.

Allocation returns will be calculated using the supplied sector list, and a stock selection return will also be displayed, decomposed into fixed income effects if required.

For instance, if CurveAllocationSectors is set to Credit, Country and the fixed income effects are Curve and Credit then the following five sources of curve return will be calculated:

  • Market direction return
  • Duration allocation return due to credit duration allocation decisions
  • Duration allocation return due to country duration allocation decisions
  • Curve returns
  • Credit returns

Note that curve and credit returns will be differ from the values calculated using a bottom-up approach, since a different attribution model is being used.

No See below See below [Blank]
SpreadAllocationSectors Sectors with which to perform spread allocation attribution on security-level curve spread returns.

Allocation returns will be calculated using the supplied sector list, and a stock selection return will also be displayed, decomposed into fixed income effects if required.

For instance, if SpreadAllocationSectors is set to Credit, Country and the fixed income effects are Curve and Credit then the following five sources of curve return will be calculated:

  • Market spread direction return
  • Spread duration allocation return due to credit spread duration allocation decisions
  • Spread duration allocation return due to country spread duration allocation decisions
  • Curve returns
  • Credit returns

Note that curve and credit returns will be differ from the values calculated using a bottom-up approach, since a different attribution model is being used.

No See below See below [Blank]
DTS This setting calculates spread duration allocation returns using a Duration Times Spread (DTS) approach rather than a vanilla spread duration allocation approach.

This setting is only used if a value has been assigned to SpreadAllocationSectors, so that spread duration allocation is being calculated.

No on,off,yes,no,1,0,true,false Yes No
ResidualAsCredit If there is significant credit return in the residual term, this switch labels return of type residual as having type credit, so it contributes to the curve allocation attribution calculation.

This setting is only used if a value has been assigned to CurveAllocationSectors, so that spread duration allocation is being calculated.

ResidualCredit should only be used for a portfolio where there is significant credit return, but no credit curve.

No on,off,yes,no,1,0,true,false Yes No

Smoothing options

Field Description Required? Possible values Example Default
SmoothingModel String indicating type of smoothing algorithm required.
  • CARINO: Arithmetic smoothing using the Carino algorithm (return contributions combine arithmetically).
  • GEOMETRIC: Geometric smoothing (return contributions combine multiplicatlively)

[Other values are reserved for future expansion]

No
  • CARINO
  • GEOMETRIC
GEOMETRIC CARINO

Benchmark hedging options

Field Description Required? Possible values Example Default
HedgeCurrency Currency in which hedging is performed.

HedgeCurrency must be a currency code of the same type supplied in the FX file.

If HedgeCurrency is not set, no hedging is performed.

No Any three-character ISO 4217 currency label AUD None
HedgeRatio Hedge ratio for hedging calculation.

HedgeRatio must lie between 0 (no hedging) and 1 (100% hedging).

No 0.0 to 1.0 0.5 1.0

Futures cash offset options

Field Description Required? Possible values Example Default
UseCashOffsets Whether to use cash holdings in portfolio as offsets against futures holdings

If this switch is set to 'on', futures holdings are treated exactly like the underlying security, and a cash offset must be included in the portfolio's holdings to replicate the zero effective exposure of futures.

If the switch is set to 'off' (the default), the zero effective exposure of futures contracts is taken into account automatically when calculating performance.

Many commercial attribution systems calculate and export cash offset holdings by default.

Futures cash offset holdings must be set up as zero-interest, since they are an accounting convenience rather than a physical asset.

No on,off,yes,no,1,0,true,false Yes No

Reporting options

Field Description Required? Possible values Example Default
XLSReport Whether to generate Excel reports No on,off,yes,no,1,0,true,false on on
CSVReport Whether to generate CSV reports No on,off,yes,no,1,0,true,false on on
SummaryAttributionReport Whether to generate summary reports, showing returns from all risks aggregated over all dates and securities. Relative reports are generated if a benchmark is provided. No on,off,yes,no,1,0,true,false on on
MaturityExposureReport Whether to generate maturity bucketed exposure reports. Relative exposure reports are generated if a benchmark is provided. No on,off,yes,no,1,0,true,false on on
DurationExposureReport Whether to generate duration bucketed exposure reports. Relative exposure reports are generated if a benchmark is provided. No on,off,yes,no,1,0,true,false on on
InteractiveAttributionReport Whether to generate interactive risk reports (Excel only). Relative risk reports are generated if a benchmark is provided. No on,off,yes,no,1,0,true,false on on
SecurityAttributionReport Whether to generate reports showing unweighted returns No on,off,yes,no,1,0,true,false on on
SecurityRiskNumberReport Whether to generate reports showing price, duration, yield, convexity No on,off,yes,no,1,0,true,false on on
DateRiskReport Whether to generate reports showing portfolio returns and risks over time, both by time interval and cumulative No on,off,yes,no,1,0,true,false on on
SQLDataReport Whether to generate a CSV report showing weights and risk returns at the security level in a format suitable for importing into an SQL database No on,off,yes,no,1,0,true,false on on
CurveReport Whether to generate reports showing sovereign yield curves used in analysis broken down according to the requested decomposition. No on,off,yes,no,1,0,true,false on on
TreeMapReport Whether to generate a CSV file containing data about the current portfolio suitable for generating a tree map report. No on,off,yes,no,1,0,true,false on off
ReportSectors Names of sectors, in order, to be used when generating a drill-down reports. See the following section for more information on this option. No See below See below PRICING,CURRENCY,SECURITY
LookThrough For portfolios that contain one or more levels of subportfolios, whether to show the subportfolios in the same way as securities in the upper level portfolio, or to show the constituent securities only without any nesting structure No on,off,yes,no,1,0,true,false on on
RootLevelOnly For portfolios that contain one or more levels of subportfolios, whether to generate reports only for the top level portfolio, or to generate stand-alone reports for all subportfolios. No on,off,yes,no,1,0,true,false on on
SkipFirstDate Controls whether the start date shown on reports is the date at the start of the first interval, or at the end of the first interval. No on,off,yes,no,1,0,true,false on off

Display options

Field Description Required? Possible values Example Default
ndp Number of decimal places shown in Excel reports No Any integer 2 4

Notes

The number of decimal places shown in Excel reports can be any value between 0 and 8.

If ndp is set to a number less than 0, it is reset to 0. If ndp is set to a number greater than 8, it is reset to 8.

Start and end dates

Field Description Required? Possible values Example Default
Start date Start date for report No [Any date] 31-Dec-2015 N/A
End date End date for report No [Any date] 31-Jan-2015 N/A

Notes

The start date must lie on or before the end date.

If no dates are supplied, the program calculates results over all the dates in the supplied returns files.

For a report covering a single interval, the start and end dates should be the same.

For instance, if you want to calculate attribution reports over a single day (say, 6th July to 7th July 2015), the calculation is for the single interval ending 7th July 2015. In this case, set StartDate=07-07-15 and EndDate=07-07-15.

To view results over a calendar month, set StartDate to be the first day in the month, and EndDate to be the last day. For instance, to calculate returns over January 2015 set StartDate=01-Jan-2015 and EndDate=31-Jan-2015. The results will include the return generated between 31st December 2014 and 1st January 2015.

Reporting and allocation options

ReportSectors, CarryAllocationSectors, CurveAllocationSectors and SpreadAllocationSectors each require a comma-delimited list of sector names.

Sectors can be in any order and in any number.

CarryAllocationSectors, CurveAllocationSectors and SpreadAllocationSectors can only have one instance each defined. However, unlike other reporting options, you can define as many instances of ReportSectors as you wish. Each instance will generate a separate drill-down report on your data.

There are two types of sector.

The first sector type are those that are always available; these are CURRENCY, CREDIT, CURVE, MATURITY, DURATION, SECURITY.

The second sector type are those sector names defined in the Custom sectors column of the security master file. If a particular security has not had its sector type defined, a default value of Unassigned is used.

For instance, if you have Country = (country name) defined, then the sector COUNTRY can also be used for reporting and for allocation calculations.

Often, the last entry in the ReportSectors list will be SECURITY, as this ensures that the bottom-most level of the drill-down report always shows individual securities. However, the SECURITY field can be omitted, in which case the lowest level of the drill-down report will correspond to the last sector given in the list.

A typical group of ReportSectors looks as follows:

[FIA]
...
ReportSectors = Duration, Credit, Security
ReportSectors = Maturity, Security
ReportSectors = Currency, Country, Security
ReportSectors = Curve

FIA allows at most 8 levels in the drill-down report, due to constraints imposed by Excel.

Date format strings

FIA can parse a wide range of date formats. Date formats are constructed by appending a number of format specifiers, corresponding to the day, month and year fields of the supplied date, together with the field delimiters.

Formats correspond to those used by the C strptime function. The following formats are allowable:

Format Example Sample
%d Day of month (1-31) 15
%m Month number (1-12) 2
%b Month in abbreviated or full form February, Feb
%y The year without century data (0-99). When a century is not otherwise specified, values in the range 69-99 refer to years in the twentieth century (1969-1999); values in the range 00-68 refer to years in the twenty-first century (2000-2068) 45
%Y The year, including century 2015

Date format strings are constructed by aggregating the above format strings with the date delimiter. For instance, if your dates are in the dd-mm-yy format, set the format string to %d-%m-%y, using a hyphen as the delimiter.

The following table lists some example date format strings.

Date Format
15/05/2013 %d/%m/%Y
15/05/13 %d/%m/%y
05/15/2013 %m/%d/%Y
05-15-2013 %m-%d-%Y
05152003 %m%d%Y
20031505 %Y%m%d
15-May-13 %d-%b-%y
15-May-2013 %d-%b-%Y

FIA allows you to specify a date format to be used for all files, a specific date format for each file, or any combination of the two. Formats are applied using the following schema:


Example Setting Result
Example 1 No date format strings set All dates from all files will be read using the default format string %Y-%m-%d
Example 2 DateFormat is set to DEMO_STRING

No other format strings set

All dates in all files will be read and parsed using DEMO_STRING
Example 3 DateFormat is set to DEMO_STRING1, SecurityDateFormat is set to DEMO_STRING2. All dates in the security file will be read and parsed using DEMO_STRING2

All dates in other files will be read and parsed using DEMO_STRING1

Example 4 DateFormat is not set

SecurityDateFormat is set to DEMO_STRING1

All dates in the security file will be read and parsed using DEMO_STRING1

All other dates will be read and parsed according to the default format string %Y-%m-%d

Database settings

Field Description Required? Possible values Example Default
DSN Data source name Yes, if data to be read from database Any DSN_FIA_64 [Blank]
DSN_user Username to log into database No Any admin [Blank]
DSN_password Password to log into database No Any password [Blank]
DSN_portfolio Name of portfolio No Any STF1 [Blank]
DSN_benchmark Name of benchmark No Any BM1 [Blank]

Notes

The settings in this section should be used if FIA reads and writes its data to an SQL database, rather than via CSV files.

FIA_security_data
FIA_portfolio_data
FIA_curve_data
FIA_index_data
FIA_stress_data
FIA_FX_data
FIA_map_data

Not all tables need be populated to run an attribution analysis. For instance, FX data supplied in the FIA_FX_data view is optional.

Migrating from version 1 to version 2 of FIA

Some minor changes are required in your configuration files to migrate from version 1 to version 2 of FIA.

In some cases settings have been removed and should not be used further. In other cases, we have renamed some of the settings so that their function is more apparent.

Settings to remove

The settings shown in the left hand column should be removed from your configuration files. If left in, FIA 2 will flag an error.

Setting to remove Reason
SpreadDecomposition Arbitrary collections of spread curves can now be set up on a per-security basis in the security master file, therefore this setting is not required.
CreditRatingList Arbitrary collections of spread curves can now be set up on a per-security basis in the security master file, therefore this setting is not required.
InflationAttribution Inflation return is now calculated in an external risk function using the OpenRisk interface.
CashAttribution Cash return is now calculated in an external risk function using the OpenRisk interface.

Settings to modify

The settings shown in the left hand column should be updated to the corresponding value in the right hand column. If left unmodified, FIA 2 will flag an error.

The names of these settings have been changed for overall consistency or greater clarity.

Old value New value
SummaryRiskReport SummaryAttributionReport
StaticRiskReport SecurityRiskNumberReport

PortfolioRiskNumberReport

RawReturnsReport SecurityAttributionReport
InteractiveRiskReport InteractiveAttributionReport
CPIDateFormat IndexDateFormat
MixedAllocationSectors BrinsonAllocationSectors
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