Vision Upload Format: AccountAttrubution

Vision Portfolio Management Application Layer: Application

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Application: AccountAttribution

 

Summary:

    The AccountAttribution application is used to compare the performance of an account to a target account using monthly returns over a user-specified holding period. The equity portion of the source and target accounts are grouped based on a user-specified critria. Returns are computed for each group. The relative return that can be attributed to overall group allocation and stock selection within the group is computed and displayed.

Inputs:

Position Form Id Description 
1  id1  Id of the source account 
2  id2  Id of the target account 
3  startDate  Starting date of holding period 
4  endDate  Ending date of holding period 
5  group  Grouping criteria (from menu) 
-  groupEntry  Specific group to display 
6  -  Specific group to display 
-  details  Indicates if all details should be displayed 

Analysis:

  • The source and target account ids must reference existing Account instances. They should refer to different accounts.
  • If the end date is not supplied, the most recent month end date is used. If the start date is not supplied, the month-end prior to the end date is used. Account holdings are accessed as of the start date.
  • If parameter 5 or the group field is supplied, it specifies the grouping criteria. If the groupEntry field is also supplied, it will be used as the criteria. The default grouping criteria is security company sector.
  • If parameter 6 is supplied, it indicates that details should be displayed for this group. If the details field contains the string Detail, details will be displayed for all groups.
  • Only equity holdings are included in the analysis. The compounded monthly return is computed for each equity. The weighted return is then computed for the source and target accounts for each group. Contribution based on allocation is computed by group as the difference in source and target weight times the difference in target return and total target return. Contribution based on stock selection is computed by group as the difference in source and target return weighted by the source account's weight. Total contribution is the sum of the allocation and selection components.
  • The basic report displays groups as rows and the following columns:
    • Group Id
    Group Name
    Source Account weight in group
    Source Account return in group
    Target Account weight in group
    Target Account return in group
    Return attributed to group allocation
    Return attributed to stock selection
    Total attribution
    If a specific group or "all" details is requested, the actual securities held in the group and their weights will also be displayed.

Key Data Feeds:

Related Reports:

Sample Usage:

     Interface ApplicationWS runWith: "AccountAttribution",
  "102", "003", "9701", "9709", "security company sector" ;

Sample Input:

    Change Account Attribution
    Source Acct  Target Acct  From  To  Group  Level 

    		Summary: Detail: 

Sample Output:

--- Account Attribution ---

Insyte Test 102 vs Insyte Test 003

Holdings As Of 31-Jan-1997

Monthly Compounded Returns through 30-Sep-1997

Summary by [security company industry sector]

  Source: 102 Target: 003 Attribution
Id Name % Contrib % Contrib Allocation Selection Total
1300 Commercial/industrial services      0.00      0.00      1.72      7.86      0.31     -0.00      0.31
200 Consumer durables      3.64      5.55      3.37      5.55     -0.05      0.00     -0.05
100 Consumer non-durables     11.65      6.16     11.13      4.22     -0.11      0.23      0.11
300 Consumer services      8.87     12.82      6.33     13.57     -0.31     -0.07     -0.38
1200 Energy      3.57     17.00      5.40     25.80      0.00     -0.31     -0.31
800 Financial services      6.17     32.28      6.55     35.11     -0.03     -0.17     -0.21
600 Health technology/services     20.67     37.75     20.16     38.43      0.06     -0.14     -0.08
900 Insurance services      6.69     32.35      8.42     37.91     -0.21     -0.37     -0.58
1000 Producers/manufacturing      7.44      2.44      4.72    -13.37     -1.07      1.18      0.11
400 Retail trade      4.37     65.33      5.31     62.91     -0.35      0.11     -0.24
500 Technology     26.93     28.73     26.91     25.72     -0.00      0.81      0.81
                 
  Total Equities    100.00     25.39    100.00     25.91     -1.76      1.25     -0.52