Portfolio and benchmark data
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Portfolio and benchmark data

Overview

The portfolio file contains quantities that vary between dates for each security in your portfolio. It holds quantities such as market weights or asset allocations, base and local currency returns, and risk numbers (if used).

If benchmark data is supplied, it must follow the same format as the portfolio file.

Portfolio files must be supplied in comma or tab-delimited ASCII format, without leading or trailing rows. Therefore, no data field (such as a security name) can include a comma or a tab.

Portfolio file structure

Each row in a portfolio must have at least six entries: date, portfolio, security ID, exposure, base return, local return. Other data can be supplied according to your requirements.

Click on the link in the ‘Name’ field to see specific information about each field.

Col
Name
Required
Type
Description
1
🔬Date
Yes
Date
End date for interval
2
🔬Portfolio
Yes
String
Portfolio to which current holding belongs
3
🔬Security
Yes
String
Security for which data is provided
4
🔬Exposure
Yes
Real
Exposure of security in portfolio
5
🔬Base currency return
Yes
Real
Base currency return for security
6
🔬Local currency return
Yes
Real
Local currency return for security
7
🔬Yield to maturity
No
Real
YTM of security, if applicable
8
🔬Modified duration
No
Real
MD of security, if applicable
9
🔬Convexity
No
Real
C of security, if applicable
10
🔬Option-adjusted spread
No
Real
OAS of security, if applicable
11
🔬Spread duration
No
Real
Spread duration of security, if applicable
12
🔬Z-spread
No
Real
Z-spread of security, if applicable
13
🔬Price
No
Real
Price of security, if applicable
14
🔬Volatility
No
Real
Volatility of security, if applicable
15
🔬Delta
No
Real
16
🔬Gamma
No
Real
17
🔬Theta
No
Real
18
🔬Rho
No
Real
19
🔬Vega
No
Real
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Aggregated values

On any given date, the sum-product of the portfolio exposure and its base currency returns, divided by the sum of the exposure, will equal the overall return of the portfolio at that date.

Nested portfolios and carve-outs

Portfolio nesting is an extremely versatile feature that is central to FIA’s capabilities. Nesting allows carve-outs, easily customized benchmarks, separation of strategic groupings of bonds, and synthetic securities. The topic is described in this white paper.