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Reporting

What reporting options does FIA support?

FIA generates reports in CSV and, in most cases, Excel formats. Reports generated include

  • Summary report, showing both absolute and relative returns by source of risk for both portfolio and benchmark (if provided)
  • Exposures by maturity bucket
  • Exposures and risk numbers of individual issues
  • Attribution returns on a day-by-day basis
  • Cumulative attribution returns on a day-by-day basis
  • Interactive reports allowing attribution reports to be decomposed by one or more partition variables, including pricing type, yield curve, credit rating, duration bucket, maturity bucket, security name, any user-defined sector variable.

This list is not final, and other reports may be added according to user demand.

Individual reports can be turned on or off via the configuration file.

How much detail should I show in attribution reports?

As much as your user requires.

It is very easy to show too much information in an attribution report, as well as too little. FIA has such a wide range of options that it can be tempting to turn on every attribution effect available. However, you should only do this if the resulting report reflects your customer’s actual needs and investment process. Showing too much information makes the results harder to interpret and can be misleading.

What are some good ways to display attribution returns?

  • Tabular reports
  • Graphs
  • Interactive spreadsheets
  • Interactive graphics, such as treemaps
  • ’Slice-and-dice’ and drill-down tools, using OLAP reporting

How can I make an attribution report shorter?

Especially where benchmarks are large, an attribution report that goes down to the security level can include a large amount of unnecessary data.

One way to reduce this unnecessary data is to roll up all data for stocks that are in the benchmark but not in the portfolio into a single ’Benchmark Holding’ line. This does not lose any essential attribution information but will result in much more compact reports.