Cinnamon - Attribution

Aggregation

• The reporting engine should be flexible to aggregate attribution effects to derived segments

SPECIFIED

Scope is Portfolio

• the interface should always deliver data on the scope of a single portfolio

• the interface delivers key figures also on portfolio level (no aggregation needed)

SPECIFIED

Benchmark Data

• benchmark data is inherently delivered as part of the analysis (see figures)

SPECIFIED

Breakdown Segments & Sorting

• should be included in the same manner as with Valuation

SPECIFIED

Models & Figures

• the attribution model can be chosen / setup on Aladdin side while the reporting engine is flexible towards new models as well as the number of figures and their effects

• aggregation of figures as with Valuation

• decomposition of figures with effects → see CSAM Data Hub - Segmentations & Figures

SPECIFIED

IMPLEMENTED

• used to produce attribution tables and charts CA001-CA004 and CA007

• all available attributions for the portfolio calculated

  • over multiple periods

  • by multiple breakdowns / models

  • against multiple benchmarks

• portfolio & segment level key figures (e.g. relative return, selection effect etc.)

/portfolio/attributions

portfolioId

string

The id of the portfolio (or consolidation) in the data source

reportingDate

string (date)

The date, the reporing is produced for.

/portfolio/attributions?portfolioId=E0002&reportingDate=2019-03-31

If the API can fulfill the request (response status code 200 = OK) the response must follow the below json-schema.

https://bitbucket.org/banknotes/ngr/src/df61b39d18a16581cd95aed9694991bbe39c5fb1/ngr-csamsolution/src/Model/schema/PortfolioAttributions.schema.json?at=release%2Fcurrent

If the request can't be fulfilled an appropriate response status code (4xx or 5xx) must be used. Possible errors could be

• bad request structure → expected status = 400

• portfolioId not found or reportingDate in future → expected status = 404

• etc.

The body of the response should contain information about the reason of the error in plain text or as json object.

The following rules should be adhered to by any response and will eventually be checked when consuming a response:

Consistency Rules

* All figures used within an attribution object should be defined in the figures declaration
* A model referenced in an attribution object has to be declared under models
* Every effect used within an attribution object has to be a declared effect of the referenced model
* Every effect declared within a model has to be also declared as figure
* If the attribution has a segmentationId, it also has to deliver the breakdown
* All effects of a model having effectAggregation = sum should sum up to the value of the figure they explain
* All figure having an aggregationMethod = sum has to match the top level figure value when summing up the breakdown figure values 
* All attribution objects have to name a period that ends earlier than or at the reportingDate
* All end dates of attribution periods have to be the same and have to be a month's ultimo date
* All period's start dates have to be earlier than the end date

Later we will check against the segmentations request:

* All segmentations referenced in attribution objects have to be declared within the response
* All segments used within the breakdown of an attribution object have to be declared as segments of the attributions segmentation

• aggregation from segments to derived segments for simple and weighted figures

• aggregation of figures / measures

• top n, filtering, sorting

• build hierarchical view from segment data

• translation of segment labels

• Offering should be aligned to not confuse MWR-type contributions with contribution figures as part of attribution