Reports

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This section describes FIA's built-in reporting capabilities.

Once FIA has run on your portfolio, there are numerous ways to export the resulting information. FIA can generate reports in native Excel format, CSV format, and normalised data ready for import into an SQL table. Results can also be accessed via FIA's API.

Contents

Report types

Excel reports

CSV reports

Database import files

Reporting directory

To assign the directory to which reports are written, assign a value to ReportDirectory in the configuration file. For instance,

ReportDirectory=.\Gringotts

tells FIA to write all reports to a directory named 'Gringotts', which is a subdirectory of the directory in which FIA is running.

ReportDirectory can use absolute or relative directory names. For instance, if FIA is installed in a directory called C:\Flametree, then either

ReportDirectory=C:\Flametree\Gringotts

or

ReportDirectory=.\Gringotts

will instruct FIA to write reports to subdirectory 'Gringotts'.

If the directory does not exist, FIA will try to create it before running reports. If this is unsuccessful (for instance, if FIA does not have sufficent permissions on your system) the program will abort with an error message.

Directories are not case sensitive on Windows systems, but are case sensitive on Linux and Unix systems.

Smoothing

Reports that display performance conrtibutions usually have some form of smoothing applied.

Whether they arise from individual securities, sectors, or portfolio risks, a fundamental property of return contributions is that they compound additively over markets, but geometrically over time. One outcome of this is that, for a portfolio where return is calculated over more than one time period, cross terms or compounding will distort the results and potentially obscure the true sources of return in a portfolio. For a detailed account of this subject, refer to Chapter 5 of Mastering Attribution in Finance, Colin, 2015 (FT Press/Pearsons).

FIA offers two of the most popular smoothing algorithms to smooth performance contributions and ensure that aggregate returns are always path-independent. These are Carino smoothing and geometric smoothing.

Smoothing setting

To select a particular smoothing model, use the SmoothingModel switch.

To apply additive smoothing using the Carino algorithm, set

SmoothingModel=carino

To apply geometric smoothing, set

SmoothingModel=geometric

Carino (arithmetic) smoothing

Geometric smoothing

Note that geometric smoothing will fail if

which typically only occurs for very highly leveraged portfolios. If this happens, FIA displays a warning message and resets the smoothing algorithm to use additive Carino smoothing, which is then used for all subsequent reporting.

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