What are interactive reports?
Interactive reporting uses a number of concepts from OLAP (On-line Analytical Processing).
The type of OLAP implemented in FIA is much easier to use than it is to describe. Rather than concentrating on the theoretical underpinnings of OLAP reporting, we strongly suggest you try the system out.
The advantage of interactive reports are that you define how you want to look at your data. The tool aggregates your results in a myriad of different ways, and allows you to view results at levels that range from the most sweeping view possible down to attribution returns for individual securities. Reports can be decomposed by security type, currency, maturity bucket, risk type, credit rating, and many other categories.
Interactive reporting allows
- slice and dice capability
- crosstabulation of results
The most commonly met type of interactive report is an Excel pivot table. However, FIA's reporting tool improves considerably on this approach. FIA understands how returns are compounded and correctly accumulates returns over time and sector. In addition, the user has the choice of displaying absolute or relative (active) returns for any report.
Once the report has been defined, you may elect to save the format in the form of a schema file. This schema can subsequently be reloaded and applied to other data sets.
Generating OLAP report files
To use the interactive reports facility, set the OLAP_report switch to 1 in your configuration file. FIA will then generate a number of OLAP report files with the suffix '.OLP'.
FIA will now generate an OLAP file for each portfolio or subportfolio referenced in your source files. In addition, a portfolio vs benchmark file will also be produced.
Running the OLAP reporting tool
The OLAP viewer is a stand-alone Windows program with the name 'FIA interactive reporting tool'. Run this file from Windows. The screen shown below will appear:
To load data previously generated by FIA, click on the File menu item and select Load. The following dialog box will appear, prompting you for an OLP file:
Select one of the OLP files and press 'OK'. The file will be loaded and a display similar to that shown below will appear. Depending on the size of the data set, there may be a delay of several seconds while the file is loaded, during which time a 'Busy' cursor will be displayed.
Note that the name and path of the selected file is shown at the bottom of the window.
The default display shows the overall return of the portfolio and benchmark, decomposed by risk source. The risks shown here are those that you selected earlier in your configuration file.
The toolbar at the top of the window is now active; we will describe what each function does in more detail below. For now, the most important parts of the display are the blue boxes (Date, Credit rating, etc) and the figures in red and green. Each row shows the contribution to overall return from each source of risk, and the total return of portfolio and benchmark is shown in the 'Totals' field.
Relative and absolute performance contribution
The first thing to try is converting the returns from absolute performance contributions to relative performance contributions. To do this, double-click on any of the performance figures:
The relative returns between portfolio and benchmark are now shown, allowing you to see in which areas the portfolio outperformed the benchmark. To go back to absolute returns, double-click again.
Let's now look a level deeper by building a report that shows returns due to both risk type and maturity bucket. To do this, position the mouse cursor on the blue Maturity bucket label at the upper left of the display, and hold the left mouse button down. You will now be able to drag the label around the screen. Move the cursor to that it lies between the green Field list label and the green Measures label. When the cursor is in the right position, you will see two yellow arrows appear, as shown in the next picture:
With the cursor in this position, release the left mouse button. The display will update itself and you will see a cross-tabulated report, with risk on the left axis and maturity bucket on the top axis:
This shows, for instance, that parallel shifts in the yield curve generated 25 basis points of outperformance from securities with maturities in the 6-8 year range.
To see the contributions made by individual securities, click on the Security label and drag it down toe the right of the Maturity label. The display will be updated as shown:
Each security will be placed in the correct maturity bucket. To 'roll up' the data for a particular security bucket, click on the boxed negative sign at the top left of each bucket's label. For instance, rolling up the returns for the 0-2 year bucket changes the display as follows:
The display can be limited to a subset of the supplied values for a given label. To activate the filter for a particular label, click on the black arrow box at the right of the label to dispalay the filter dialog box:
This allows you to select or deselect individual buckets. The first two controls at the bottom allow selection or delselection of all buckets, and while the third toggle button inverts the current selection.