Reporting options

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Report types

To inspect the output from FIA, numerous reporting options are available.

FIA's reports fall into three types:

  • Predefined Excel reports
  • CSV reports
  • SQL data

Portfolio, benchmark and active reporting

Fixed income attribution differs from equity attribution in that the return of a portfolio can be decomposed by sources of risk without reference to a benchmark. In contrast, equity attribution (or any other type of attribution based on comparison of allocation weights) requires a benchmark.

FIA can handle all these cases:

  • If a fixed income portfolio is supplied without a benchmark, reports will be generated for that portfolio.
  • If a fixed income portfolio is supplied together with a benchmark, and no allocation effects are calculated, then FIA will generate reports for the portfolio, the benchmark, and any active return.
  • If allocation effects are calculated, then a benchmark must be provided. In this case FIA's attribution reports will only show active return.

For reference, FIA calcualtes allocation effects when any of the following settings are active:

  • BrinsonAllocationSectors
  • CarryAllocationSectors
  • CurveAllocationSectors
  • SpreadAllocationSectors
  • ResidualAllocationSectors

Smoothing

Reports that display performance contributions usually have some form of smoothing applied.

Whether they arise from individual securities, sectors, or portfolio risks, a fundamental property of return contributions is that they compound additively over markets, but geometrically over time. One outcome of this is that, for a portfolio where return is calculated over more than one time period, cross terms or compounding will distort the results and potentially obscure the true sources of return in a portfolio. For a detailed account of this subject, refer to Chapter 5 of Mastering Attribution in Finance, Colin, 2015 (FT Press/Pearsons).

FIA offers two of the most popular smoothing algorithms to smooth performance contributions and ensure that aggregate returns are always path-independent. These are Carino smoothing and geometric smoothing.

General reporting options

FIA's reporting options are controlled from the configuration file. In this section, we described the options available.

Field Type Description Required? Possible values Example Default
BasisPoints Boolean If active, shows all returns in terms of basis points. If false, or not set, all returns are shown as percentages. No Yes, no, true, false, 1, 0 True False
ndp Integer Integer-valued switch, sets how many decimal places are used for reporting. No Any integer between 0 and 12 2 4
TotalsAtTop Boolean Controls whether totals on interactive reports should appear above or below the raw data. No Yes, no, true, false, 1, 0 True False
Smoothing String Name of smoothing algorithm to use when reporting

If set, the given logo file is inserted into every Excel worksheet

No Carino, Geometric Geometric Carino
SortDescending Boolean In interactive reports, controls whether results are shown in ascending or descending order No
BatchID Integer Assigns a number to each report's name. If not set, a random number is assigned.
LookThrough Boolean If true, all holdings in sub-portfolios are displayed as if they are holdings in the top level portfolio.

If false, holdings in sub-portfolios are displayed in aggregate

RootLevelOnly Boolean If true, no reports are generated for sub-portfolios
ReportSectors String Configures the hierarchy and data shown in a drill-down report.

See here for more information.

Individual reports

FIA's reporting options are controlled from the configuration file. In this section, we described the options available.

All report names are of type boolean.

Field Description
SummaryAttributionReport Generate summary report
InteractiveAttributionReport Generate hierarchical report
PortfolioRiskNumberReport Generates history of portfolio and benchmark risk numbers (YTM, MD, C, Z-spread, leverage) at each date over calculation interval
SecurityRiskNumberReport Generates report showing risk numbers for all securities in portfolio and benchamrk at last date in calculation interval
SecurityAttributionReport Shows attribution returns for all securities in portfolio and benchamrk over calculation interval
MaturityExposureReport Shows allocation to maturity buckets at last date in calculation interval. Maturity buckets are defined here
DurationExposureReport Shows allocation to duration buckets at last date in calculation interval. Duration buckets are defined here
DateRiskReport Shows aggregated attribution returns at portfolio level over calculation interval. Both daily and cumulative reports are generated.
SQLDataReport Generates file of normalised returns, ready for import into an SQL data table
ExPostRiskReport Generates ex-post risk statistics
CurveReport Generates report on yield curve movements. If more than one yield curve is supplied, Excel reports are written to separate worksheets in the same workbook.
StressReport Generates stress report
TreeMapReport Generate data for use in heat map

File reporting options

The following table describes the various file-based reporting options available within FIA.

Field Type Description Required? Possible values Example Default
ReportDirectory String Name of the directory to which reports are written.

If not set, reports are written to the current active directory.

No Any valid directory string for your operating system, including relative paths c:\mydata

.\

.\mydata

./mydata

None
SingleExcelReportFile String Name of Excel workbook to which all Excel reports are written.

If set, all reports are written into separate worksheeets within workbook If not set, all Excel reports are written to separate workbooks

Note that the Excel suffix should not be provided.

No True False
ZipFile String Name of zip file to which all reports are written

If set, all reports are written into a compressed Zip file with this name, and the originals erased

No True False
LogoFile String Name of logo file in JPG format

If set, the given logo file is inserted into every Excel worksheet

No True False
CSVreport Boolean Generate CSV reports
XLSreport Boolean Generate Excel reports