The portfolio risk report displays yield to maturity (YTM), modified duration (MD), convexity, Z-spread and leverage for the entire portfolio at each date for which data is provided. These measures are often referred to as the portfolio's risk numbers. This is particularly useful when comparing FIA's attribution reports to a portfolio's overall risk exposures.
For instance, if a portfolio has a longer modified duration than its benchmark, it is more exposed to interest rate risk. If interest rates then fall, we would expect the portfolio's value to rise more than that of the benchmark, and so to outperform. FIA's attribution capabilities can verify that this actually happened, and what the causes were if this outperformance is not seen.
To generate a portfolio level risk report, set
PortfolioRiskNumberReport=1in the configuration settings. For a single portfolio, FIA will then generate a report that looks like the following:
If a portfolio and benchmark are provided, the risk report looks as follows:
Here, risk numbers for portfolio and benchmark are shown side by side.