Configuring interactive reports

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Configuring interactive reports

If InteractiveAttributionReport is active, one or more interactive reports will be generated. FIA defines several settings around this report category.

ReportSectors sets the hierarchy used in the report (if any). For instance, if you set the value of this variable to Credit,Duration,Security then FIA will generate a drill-down report that is structured in terms of these variables. The names supplied must either be existing partitions, or Security.

It is not necessary to terminate the list with Security. If this is omitted, the report will only show aggregated quantities to the level of the last variable.

Unlike other reports, FIA can calculate multiple interactive reports in the same run. To do this, assign values to ReportSectors multiple times. For instance, if the configuration file contains the assignments

ReportSectors=Credit,Duration,Security
ReportSectors=SecurityType,InstrumentType,Security

then two interactive reports will be generated, using the partition lists supplied.

There is no limit to the number of interactive reports that can be generated in a single run.

Variables in interactive reports

By default, FIA displays asset allocation, unweighted return, attribution contributions and total return contributions in each report.

To change which variables are displayed, append a pipe ('|') symbol to the list of report partitions, and then the labels of the variables required, in order, separated by commas.

For instance, to generate an interactive report that shows modified duration and tracking error, decomposed by credit and security, set

ReportSectors = Credit, Security|MD, TE

in the configuration file.

The user can choose which columns are displayed in each report. Possible column types and their labels are

Label Name Description
MV Market value Market value in local currency terms
EE Effective exposure Effective exposure in local currency terms
AA Asset allocation Asset allocation as a fraction of the overall portfolio. Portfolio-level asset allocation is always 1.
MD MD Modified duration
MD_C MD contribution Modified duration contribution. The sum of all modified duration contributions is the portfolio's modified duration.
R_U Unweighted return Return
R Total return Contribution to overall return from all sources of risk. The sum of all return contributions is the portfolio's return
R_A Attribution return Contribution to overall return by source of risk.
TE Tracking error Contribution to tracking error from all sources of risk. The sum of all tracking error contributions is the portfolio's overall tracking error.
TE_A Attribution TE Contribution to tracking error from individual sources of risk
MV_W MV weight Market value weight
EE_W EE weight Effective exposure weight
MD_W MD weight
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