These settings are used when applying a top-down Brinson allocation model
Description | Link |
Sectors to use for Brinson attribution | BrinsonAllocationSectors |
Which variant of the Brinson model to use | BrinsonModel |
Whether to calculate interaction | InteractionAttribution |
Sectors to use when calculating Brinson attribution on carry returns | CarryAllocationSectors |
Sectors to use when calculating Brinson attribution on sovereign curve returns | CurveAllocationSectors |
Sectors to use when calculating Brinson attribution on spread returns | SpreadAllocationSectors |
Sectors to use when calculating Brinson attribution on residual returns | ResidualAllocationSectors |
Whether to use normlised stock selection calculation | NormalisedStockSelection |
Where to allocate off-benchmark holdings | OffBenchmark |
Where to allocate off-benchmark holdings where an entire sector has zero holdings | OffBenchmarkSector |
Whether to calculate price return between portfolio and benchmark | PriceReturn |
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