Portfolio attribution report by date
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Portfolio attribution report by date

These reports show the overall returns of the portfolio, decomposed by source of risk, at each date in the calculation interval.

To generate a portfolio level risk report, set

DateRiskReport=1

in the configuration settings. FIA will then generate two reports: one showing overall portfolio attribution at each date, and another showing cumulative portfolio attribution at each date. The cumulative attribution report may be graphed to provide a convenient summary attribution.

For a single portfolio, FIA will generate a report that looks like the following:

Return history report for single portfolio
Return history report for single portfolio

Here, the last row (labelled 'TOTAL') is the aggregated return over each column.

FIA will also generate a cumulative return report that looks like the following:

Cumulative return history report for single portfolio
Cumulative return history report for single portfolio

Note that the final row is the same as the TOTAL row in the Return history.

If a benchmark is available, the report includes extra columns for benchmark and active return:

Cumulative return history report for portfolio and benchmark (some data omitted)
Cumulative return history report for portfolio and benchmark (some data omitted)