Chicago-based Northern Trust has added daily security-level data for fixed income to its performance attribution tools within its Investment Risk and Analytical Services (IRAS) product suite.
The "Successive Pricing" model, which analyzes the securities within a portfolio and benchmark to determine the pricing impact resulting from changes in underlying markets, leverages Northern Trust's performance data and it's fully integrated with IRAS' Fundamentals analysis application.
This allows users to analyze the relationship of a security to market factors such as interest rate and foreign exchange changes, the model precisely accounts for performance on a variety of fixed income instruments including bank loans, swaps, options, ETDs/OTCs, repos, and futures, according to the fund administrator.
"Our new daily security-level attribution model allows Northern Trust to deliver a more granular breakdown of returns generated within fixed income portfolios," says James Haran, senior product manager for IRAS at Northern Trust. "While we have been able to provide fixed income attribution for many years, this model enhances our ability to highlight individual market factors such as curve, carry, yield, duration, and maturity and the resulting impact on client portfolios."
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