A summary attribution report shows the overall contribution and returns for the current portfolio and benchmark over all selected dates.

To generate a summary report, set

SummaryAttributionReport=1

Summary report name

For XLS and CSV reports, the name of this report is of the form’

where

portfolio name is the value in column 2 of the portfolio weights and returns file

benchmark name is the value in column 2 of the benchmark weights and returns file (only shwon if file is supplied)

interval is specified in the configuration file (can be left unset)

batch_id is specified in the configuration file (can be left unset)

Sample reports

For an equity report, the summary report looks as follows:

The report shows the active performance contribution from each source of risk, and the total active return on the bottom row.

A fixed income report on a single portfolio looks as follows:

Here there is a single column of results, with the contribution from each source of risk displayed in sequence, and their sum, which measures the total return of the portfolio over the interval, at the bottom.

A fixed income report on a portfolio and benchmark looks as follows:

Here there are three columns: one for the portfolio, one for the benchmark, and one for the active return, which measures the portfolio's outperformance against the benchmark.

Performance contributions always aggregate to the total return. However, the exact way that contributions are combined will depend on the smoothing algorithm used. For instance, using Carino (arithmetic) smoothing, the contributions will add up to the total return, while geometric smoothing uses geometric compounding. For more information on smoothing and linking of contributions, click here.