Configuring interactive reports
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 | Modified duration contribution, normalised so that overall contribution adds up to 100% |
DV01 | DV01 | Measures change in the value of an asset for every 100 basis point change in interest rates |