DST International (DSTi) says it is developing a fixed income attribution product. The new module will be made available both on a ‘best of breed’ basis and integrated with HiPerformance (DSTi’s performance measurement solution) and HiRisk (DSTi’s risk management solution).
DSTi says the fixed income attribution tool will be built using HiInvest technology so that it fully integrates into the HiInvest suite of products. It will support duration and revaluation based approaches, supporting calculations both at portfolio and sector levels as well as in depth analysis down to security level. The models are factor based nd will attribute returns to yield curve management, holding period returns, currency and quality effects. Yield curve management can be further broken down to parallel, twist and butterfly effects.
A prototype is already complete and the full module will be released in February 2004.
“Fixed income attribution will be built under DSTi’s strategy of creating both leading ‘best of breed’ solutions and will benefit from tight integration with our other systems,” explains Mike Winn, DSTi’s group managing director. “The addition of fixed income attribution to HiRisk and HiPerformance creates a unique solution with in depth analytics across all major asset classes.”