VPD Risk & Performance: Fixed Income Attribution

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12 October 2015

Fixed Income Attribution is complex by nature and can be difficult to communicate effectively. VPD Fixed Income Attribution aligns with any investment process and results can easily be communicated, definition of attribution effects can be customised, at any level of granularity. Additionally, the model allows for factors to be grouped together to present broader effects of interest to the client.

Our clients can import and edit their yield curve data to fully customise the analysis, with yield curve, carry and spread effects across your bonds, including derivatives. The flexible data selections in the VPD Web Portal allows you to slice and dice the results as you wish, with a dynamic chart window so you can see the effects over time. The VPD Web Portal includes standard and customised report templates, with each user having their private view of the results.

As with other VPD solutions, following the initial configuration, the entire maintenance process can be task-driven and scheduled as part of your workflow. Data reconciliation tools ensure any data anomalies are highlighted, with notifications forming part of your daily verification process. The solution is scalable in data volume to support any size of business; instrument coverage can easily be extended, and models are fully customisable.

A recently implemented client has gone into production with VPD Fixed Income Attribution, with the following key attributes:

  • VPD Fixed Income Attribution will be used for weekly and monthly reporting for all their 18 fixed income portfolios, and different aggregations of their portfolios will also be reported on.
  • ​The VPD solution calculates the daily performance, risk and attribution based on holding and constituent data.
  • ​The client Front office will use the solution for ad-hoc analysis of both the attribution and performance data.
  • ​The Fixed Income attribution model is a yield curve based model where the active return is decomposed into 10 different factors.
  • ​The VPD solution supports 20 different instrument types, and includes a custom- made currency hedging model.
  • ​The VPD solution also supports complex benchmark customisation, where constituent weights are market value adjusted, fixed or specified via a target duration.
  • ​Portfolios with 200-300 holdings and the benchmarks comprising of 300-400 constituents.

For more information, please contact us: info@vpd.se 

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