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:
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:
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: