London: 21 February 2005
CMS BondEdge, an Interactive Data division (NYSE: IDC), and a provider of fixed income portfolio analytics with more than 25 years of expertise, today announces the release of an additional fixed income performance attribution capability, introducing a returns-based/sector-based attribution. This new approach is in addition to existing CMS BondEdge proprietary fixed income attribution analytics, which employ a quantitative factor-based/duration-based approach supported in North America for more than 20 years.
The newly released analysis quantifies a relative weighting effect between a portfolio and benchmark within a given market segment, and then calculates a selection effect using the relative performance within that segment. Portfolio managers may define segments as a variety of contributable risk factors, including currency, sector, duration or maturity bucket, and then customise multiple report templates with user-defined hierarchy standards, e.g. by currency, then duration bucket. This ability to measure and view attribution results in a variety of user-selected ways ensures that performance analysis is more closely aligned with a given investment approach, especially where traditional attribution analysis may not apply.
"This new 'top-down' approach offers portfolio managers the flexibility to choose an attribution analysis that mirrors his or her particular investment styleâ, explains CMS BondEdge senior vice president and product manager, Lou Gehring. âWe've seen significant interest in this type of attribution approach from high yield portfolio managers, as well as from the European market, and are excited to be able to offer BondEdgeÂ® clients the option to employ either approach or both, as warranted."
CMS BondEdge will be unveiling this new functionality and conducting live demonstrations on the Interactive Data stand E7 at the 11th Euromoney Bond Investors Congress, London 22-23 February, The Queen Elizabeth II Conference Centre, London.