Portfolio analyticsWorkspace
Your analyses
Build, refine and run your attribution analyses.
A clearer view of performance.
Open an analysis to configure your data, attribution model and reports.
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Create an analysis to get started. You can add data and choose a model in setup.
| Name | Type |
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Data sources
Choose the portfolio, benchmark and market data for this analysis.
To update a file name, either enter it manually or click on the box to display a list of files in the filestore.
To record a date format for the selected file, either enter it manually or click on the autodetect icon to the right of the box.
Files present in the filestore are shown in green. Files not present in the filestore are shown in red.
Choose how the selected portfolio's return is decomposed. Each card is a branch of the tree; it grows as you enable effects.
What each preset applies
- Campisi (simplified)
- Single carry, curve and credit effects.
- Tim Lord (simplified)
- Single carry and credit effects; parallel/non-parallel curve effects; residual labelled Security specific.
- Shift/Twist/Curvature
- Single carry; three curve effects; separate credit decomposition off; residual labelled Credit.
- KRD
- Single carry; key rate duration curve effects; separate credit decomposition off; residual labelled Credit.
These are configurable starting points. The simplified named presets do not include every effect or convention in the published models.
Carry
Return from holding the bonds: yield earned and pull to par.
Curve
Return from movements in the sovereign yield curve.
Credit
Return from changes in credit spreads.
Brinson allocation
Top-level asset-allocation effects before the fixed income effects.
Other effects
Each selected effect becomes its own branch.
Use these settings to decompose the returns of the currently selected portfolio and benchmark in terms of their underlying risks.
This tab allows custom sets of maturities, durations, coupons, tenors and key rate durations to be defined for use in asset allocation and reporting calculations.
Use these settings to choose which reports to generate and how they should appear. Interactive reports can be configured from the Interactive tab.
Analysis engine
Running your analysis
Results will open automatically when the analysis is complete.
Activity log
