Total Return Attribution

The Custom Index Manager contains history for all the Standard & Poor’s / Investortools Municipal Bond Indices, allowing you to compare performance of your portfolios historically. The Portfolio Attribution feature compares portfolio total return performance versus a benchmark index and will attribute return differences to the following four factors: Sector, Duration, Futures and Security Selection. This is done using a multi-level report that will allow you to drill down to minute details of portfolio and index performance differences.

A variety of scatter graphs are available showing a comparison of individual bond returns for both the index and portfolio. These graphs allow drill-down by drawing a box around the bonds you wish to identify to see the specific CUSIPs and their returns. Further drill-down will reveal the full security description.

There is also a configurable report which allows the user to group the return analysis into customized categories such as Coupon, Maturity, OA and Modified Duration, Priced-to Date, Rating, Sector, State and more. Additionally, these reports, as most others in the Custom Index Manager, can be exported to Excel for further manipulation or use.