Fixed Income Attribution

Info-sheet

In today’s performance driven environment, it is vital for a portfolio manager, as well as the investor, to be able to understand the source of portfolio returns, determine how well the portfolio performs and also quantify the impact of active management decisions on the total portfolio performance.
Whilst the Brinson-Fachler model has been proved to be adequate for equity portfolios, it cannot appropriately describe the performance of Fixed Income portfolios.
Based on extensive research, we have implemented a robust methodology which incorporates a granular set of effects that drive the performance of a fixed income portfolio fully integrated with APX and Geneva solutions.
Our Fixed Income Attribution solution enables APX, but also Geneva, users to identify the sources of the portfolio’s return based on its fundamental sensitivities to systematic factors, assess the effect of the fund manager’s strategic decisions, as well as to spot out any rising risks.

Key Features include:

  • Advanced Fixed Income – Specific Attribution Modelling
  • Fixed Income Return Decomposition into its Fundamental Sources (Carry, Yield Curve, Credit Spread)
  • Wide Range of Fixed Income – Specific Metrics
  • Fixed Income Attribution by all available Classifications (issuers, sectors, risk countries, etc.)
  • Positions, Security Master, Terms Structure and Static/Market Data used are those of APX or Geneva
  • Fully integrated APX-FI Attribution dashboards and report generation
  • Scheduler for automated processes and reports generation

If you are SS&C Advent client you can see additional benefits you can gain here.

For more detailed information, contact us at sales@klarityrisk.com.