How to guides

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Data

Overview

This section describes what input data is used by FIA, and how to set it up for use by the program.

FIA is a data-light program by design.

Deciding what data to provide

File formats

Every file should be supplied as a CSV, comma-delimited file.

File headers

For convenience, all data files can be provided with headers. A file header is a first row in the file that labels each column. This can be useful if you need to manually edit the file and want to check which column is which.

If you decide to use file headers, ensure the FileHeader setting in the configuration file is set to True. This tells FIA to ignore the first record in the data file. Otherwise, FIA will try to interpret your columm names as numbers and flag an error.

How to set up security master files

File format

Required fields

Dependencies on other files

How to set up return files

In general, every return file should contain the following six fields:

  • Date
  • Portfolio
  • Security ID
  • Weight/MV
  • Base return
  • Local return

Every entry for Security ID should have a matching entry in the security master file.

How to set up time intervals

How to change security characteristics over time

Configuration

How to set up a configuration file

How to run Brinson attribution

How to parse dates in input data

How to set up buckets

How to customise your sectors

How to set up nested portfolios

Reports

How to choose which reports to run

How to write all Excel reports to a single file

How to compress multiple reports into a single zip file

How to change sort order in reports

How to show report totals at top or bottom

How to configure an interactive report

How to rename effects in reports

How to generate sector-level attribution reports

Attribution

How to measure carry return

How to measure sovereign curve return

How to measure credit return

How to measure convexity return

How to use a sector or credit curve in your analysis

How to use risk numbers in your attribution analysis

How to set up a multi-level Brinson analysis

How to set up a top-down attribution analysis

How to set up a bottom-up attribution analysis

How to set up duration allocation and DTS analysis

How to set up a security’s return as unattributed

How to customize off-benchmark bets

How to ensure residual is always zero for a given asset class

General

How to choose a smoothing model

How to use a custom logo in your reports

How to calculate results between given dates

How to set up a custom pricing function

How to set upa custom risk function

How to calculate local returns from base returns (or vice versa)

How to show absolute return as well as contribution

How to re-use data loads