The Flametree Graphical User Interface

Transcription

1 Page 1 of 36 Author: Andrew Colin Date: 29 th May 2015 Status: Final Version: 1.3

2 Page 2 of 36 Contents Contents 2 Introduction 3 Getting started 4 Configuration files 11 The Attribution tab 12 Global allocation effects 13 Predefined sectors 14 User-defined sectors 14 Multiple sectors 14 Equity attribution 15 Carry effects 15 Carry allocation 16 Sovereign curve effects 16 Curve duration allocation 17 Spread effects 18 Spread duration allocation return 20 Miscellaneous effects 20 A note on attribution risks 20 The Sector tab 22 Sector buckets 22 Report sectors 23 The Reporting tab 25 The Miscellaneous tab 27 Start and end dates 27 Date formats 27 Futures cash offsets 29 Smoothing algorithm 29 Brinson model 29 Average curve level 29 Curve twist maturities 30 Number of cores 30 Batch ID number 30 The Output tab 31 The Batch tab 33 Attribution templates 35

3 Page 3 of 36 Introduction When installed as a stand-alone program, the FIA engine is called from the command line, using a configuration file. This approach is similar to that used by many Unix tools and carries numerous advantages in terms of portability, deployment and efficiency. However, it does require that the user be familiar with a command-line interface, and in particular with the use of configuration files. To make it easier for users to interact with the system, we have provided a Windows based graphical user interface (or GUI) tool for FIA, described in this document. The GUI tool does three things: - Acts as an editor for the configuration file - Allows the user to run FIA using simple point-and-click commands - Allows the user to run multiple analyses via a batch manager. The GUI has the look and feel of a conventional Window program, and may be installed and run on any PC running Windows versions XP, 7 or 8.

4 Page 4 of 36 Getting started Once you have installed the Flametree system, open the GUI program by double-clicking on the Flametree icon, which you will find on the start menu or the desktop. After displaying a splash screen with version information, the form shown below will appear: The Flametree package comes with a wide range of demonstration data that illustrates virtually any type of attribution analysis. To get started, let s show how to load a simple data set and generate a simple attribution analysis. The Flametree engine requires three data sets to provide attribution analysis: - Portfolio weights and returns

5 Page 5 of 36 - Security definitions - Yield curve data. In addition, you may decide to load benchmark weights and returns, and any other data required to price particular types of security, such as CPI data for inflation-linked bonds and LIBOR histories for FRNs. A wide range of sample data sets is provided with the default Flametree installation to show the extensive capabilities of the system. Let s begin by setting up an analysis on the Gringotts Bank data set. Firstly, go to the Files tab. Click on the files icon at the right hand side of the Portfolio weights and returns box: A standard Windows file selection box will appear. Scroll down until you find the Gringotts_p.csv file and click Open. The file name, together with its full path, will then be displayed in the Portfolio weights and returns box:

6 Page 6 of 36 Note that the path will vary according to the settings on your specific PC. You can also type the name of the file directly, if you prefer. Repeat the process as follows: Gringotts_s.csv in the Security Definitions field Gringotts_y.csv in the Yield curve field Gringotts_b.csv in the Benchmark weights and returns field Gringotts_cpi.csv in the Index file field. When you are finished, the screen should look as follows:

7 Page 7 of 36 Now save the information you have entered. Select the File/Save menu options, or click on the floppy disk icon at the top of the form. You will be prompted for a name under which to save this configuration:

8 Page 8 of 36 Enter Gringotts_Test in the File Name field and press Save. The information you have entered will be saved in a file called Gringotts_Test.cnf. From now on, the name of this file will be displayed at the bottom of the screen. You have just created a configuration file. In general, the configuration file holds everything the system needs to know about the current attribution run. It contains the names of the files to process, the details of the requested attribution analysis, the names and levels of detail of the reports to generate, and much other information. Configuration files may be saved and loaded at a later time. A large number of sample configuration files are provided with the default Flametree installation, together with the data files that they reference. The next step is to configure the program s attribution settings. Click on the Attribution tab and set the following parameters: - Carry decomposition to Aggregated carry - Curve decomposition to Parallel/non-parallel Note that the attribution tree at the right side of the screen will update itself automatically as you enter this information. All other options should be left blank, and the form should look as follows:

9 Page 9 of 36 Here, we have set up the program to calculate a bottom-up attribution analysis with all carry return displayed in a single term, return due to risk-free curve movements decomposed into return due to parallel and non-parallel movements, and all other return assigned to residual. Once you have updated the form, click on the floppy disk icon or press Menu/Save. A save dialog will appear and you will be asked if you want to overwrite the current values:

10 Page 10 of 36 Answer Yes as we want to update the current configuration file with the information we have just loaded. You have now supplied all the information required for this introductory analysis. To run the program, click on the File/Run portfolio menu item or click the Run icon at the top of the screen. The program will automatically open the Output tab and you will see various messages from the Flametree engine appear on the top half of the screen. When you see Goodbye from FIA, the program has run to completion. After the program has run, a list of reports generated will appear in the list on the lower half of the form. Double-click on any report s name to open it in Excel. Congratulations! You have run your first attribution report.

11 Page 11 of 36 Configuration files A configuration file is a collection of information that contains all the settings required by FIA to run an attribution analysis. This includes - the names of the files that contain raw weights and returns, security data, and yield curve data - settings that specify the type and level of analysis required; - types of report are to be generated; - other miscellaneous settings, such as date formats The advantage of a configuration file is that its use makes it very straightforward to repeat an analysis when new data becomes available. In many cases, different attribution analyses are required on the same underlying data. For instance, the levels of detail required by the front office and the marketing department may be very different, even though they are looking at the same information. In this case, two configuration files should be set up, specifying the same data files but with different analysis switches. The program can then be run on each configuration file, and appropriate reports will be generated for each audience. A configuration file is a simple text file, and its format is documented in detail on our wiki. While it is possible to edit the file using standard editor such as Notepad or Nano, many users will prefer to use the graphical user interface described in this document to set up and modify configuration files. Here is part of a full configuration file: [FIA] CarryDecomposition=CREDIT_CARRY SovereignCurveDecomposition=CCB AverageCurveLevel=ARITHMETIC PortfolioFile=AUD_corporate_p.csv SecurityFile=AUD_corporate_s.csv YieldCurveFile=AUD_corporate_y.csv BenchmarkFile=AUD_corporate_b.csv CPIFile=AUD_CPI.csv BatchID=1 ReportSectors=INSTRUMENT_TYPE,Security ReportSectors=ISSUER,SUB_ISSUER,SECURITY ReportSectors=PRICING,INSTRUMENT_TYPE,Security

12 Page 12 of 36 The Attribution tab The Attribution tab is the screen in which the user sets up the various sources of risk to be computed and displayed in the attribution report. Attribution decompositions are often represented most succinctly by a tree structure. The attribution tab allows you to select sources of risk in the left-hand panel. The current attribution tree is then displayed in the right panel. As you select or deselect various market risks, the tree updates itself automatically. The next figure shows an example:

13 Page 13 of 36 The GUI allows many sources of return to be set up and configured, so let s go through them one by one. Global allocation effects These represent global tilt bets made by the portfolio manager against the benchmark. For instance, suppose that the manager s strategy was to use active weighting by security type to generate excess return against benchmark. The manager believes mortgage-backed securities will outperform the market as a whole, so he increases the proportion of MBS in his portfolio so that it is greater than the proportion of MBS in the benchmark. If he is correct, this over-weighting of an asset class will generate excess return against the benchmark. Conversely, he believes that corporate bonds will underperform, so he decreases his weighting of this asset class. If corporate bonds do underperform, he has also added value by reducing the losses

14 Page 14 of 36 that would otherwise have been generated on these instruments. In either case, he will have outperformed the return generated by each asset class in the benchmark. To measure the effect of an active weighting strategy, simply enter the name of the sector on which the strategy is based into the Global allocation effects box. All attribution reports will then show the return generated by this weighting decision, in addition to any other risks active in the portfolio. Predefined sectors FIA has a number of predefined sectors available: PRICING CURRENCY CREDIT CURVE SUPPLEMENTARY_CURVE MATURITY DURATION COUPON The pricing type of the security (BOND, BILL, FRN, etc) The currency of the security The credit rating of the security, when provided by the user The risk-free yield curve assigned to the security The supplementary yield curve assigned to the security, when provided The maturity bucket of the security The modified duration bucket of the security The coupon bucket of the security These are always available for use within FIA, whether or not user-defined sectors have been set up. User-defined sectors In addition to the above internally defined categories, FIA can use user-defined sector schemes for attribution. The custom sector field in the security master file allows any number of custom sectors to be defined and allocated on a security-by-security basis. When set up, the names of these custom sectors may be used for asset allocation in exactly the same way as the predefined sectors shown here. For instance, a value of COUNTRY may be recorded with each security to provide its country of issue. In this case, enter the value COUNTRY into Global allocation effects and FIA will calculate asset allocation returns based on this variable. Multiple sectors In many cases, an asset allocation strategy requires multiple levels of decision. This is handled by allowing multiple sector names to be entered into the Global allocation effects field. For instance, the manager may believe that overweighting USD investments is a good decision, but that USD inflation-linked bonds are a poor investment. He sets up his portfolio accordingly by firstly making a series of allocation bets on currencies, and secondly making allocation bets on security types. To measure the returns made by these two decisions, enter CURRENCY, PRICING into Global allocation effects. FIA s attribution reports will then show the returns generated by both weighting decisions, in addition to any other risks active in the portfolio.

15 Page 15 of 36 As you enter the sector names, the tree in the right-hand panel will update accordingly. The sector list must be separated by commas, and the tree will then show the hierarchy of allocation decisions in the same order that they appear in this field. There is no limit to the number of sectors that can be entered, but note that the GUI does not run any checks on the validity of the sector names. If you enter a sector name that has not been set up, or misspell the sector name, the error will not be flagged until you run FIA. Equity attribution If you are using FIA to run Brinson equity attribution, the sector decomposition should be entered in the Global Allocation Effects field. Carry effects The Carry effects field allows the return made by the passage of time to be calculated and displayed. Four options are available to the user: - None: No carry effects are calculated or displayed. If any returns are due to this source of risk, they will be assigned to the residual category. - Aggregated carry: All return from carry is displayed in a single term. - Running yield/pull-to-par and Risk-free carry/credit carry: Carry return is decomposed into the return from these two sources and displayed as two terms. FIA also allows asset allocation return to be calculated on carry returns exclusively. This may be appropriate when, for instance, a high-yield portfolio has over-weighted some bond types that are expected to show higher carry return than their counterparts in the benchmark. By entering the names of the sectors in which this strategy has been expressed, FIA will calculate the outcome of this decision as an asset allocation return, in addition to the adjusted return from the other active sources of risk. These carry allocation sectors will not be used for any other source of risk.

16 Page 16 of 36 Carry allocation Carry allocation sectors are added in exactly the same way as global allocation sectors, and the allocation tree will update automatically to reflect the choices made. Figure 2: Running yield/pull-to-par carry decomposition, currency allocation Sovereign curve effects The Sovereign curve effects field allows the user to specify how returns due to movements in the risk-free (or sovereign, or AAA) curve should be decomposed. There are seven options available to the user: - None: No returns due to movements in the risk-free curve are calculated or displayed. This is suitable for securities that have no interest-rate pricing dependence, such as equities. If any returns are due to this source of risk, they will be assigned to an appropriate residual category. - Aggregated: All returns due to movements in the risk-free curve are displayed as a single term. - Parallel/non-parallel: Returns due to movements in the risk-free curve are decomposed into movements from parallel shifts in the curve, and movements due to all other (non-parallel) shifts. The definition of how a parallel shift is calculated may be set using the Average curve level field in the Miscellaneous tab. - Shift, twist, curvature: Returns due to movement in the risk-free curve are decomposed into movements from parallel shifts, movements from curve twists (steepening or flattening), and all other movement types, which are typically manifest as increasing or decreasing curvature. The parallel shift calculation is defined using the Average curve level field, and the tenor points used to calculate the slope of the curve and hence the twist motion may be set using the Curve twist maturities fields on the Miscellaneous tab.

17 Page 17 of 36 - Principal component analysis: Returns in the risk-free curve are decomposed into shift, twist and curvature movements, using a principal component analysis over the entire supplied history of each curve. - Key-rate durations: Returns generated by movements in the risk-free curve are decomposed into movements generated by curve movements at a number of key rate tenor points. These points may be specified in the Key rate duration sectors field on the Sectors tab. - Colin-Cubilie-Bardoux: This analysis is similar to the shift. twist, curvature analysis, save that the twist movement in the curve is measured by fitting a first-order polynomial to the yield curve rather than by fitting the curve at two predetermined points. Curve duration allocation In some cases an investor may follow a duration allocation strategy. This is similar to a Brinson allocation strategy over a selected sector, but with allocation decisions made in terms of duration contribution rather than market weight. A Brinson analysis decomposes return into two sources of return: - asset allocation returns - stock selection returns By contrast, a duration allocation analysis generates three sources of return: - a market direction return - a duration allocation return - a duration stock selection return For more detail, see Andrew Colin s book Attribution in Finance, chapter 16. For a simple curve duration allocation analysis, enter the name(s) of the sectors to use in the Allocation sectors field, and set the value of Curve decomposition to Aggregated. The three sources of return will then appear under Risk-free curve return. As before, more than one sector can be assigned to the Allocation sectors field:

18 Page 18 of 36 If more detailed information about bottom-up returns are required, one of the standard curve models may be used: Here we are running duration allocation attribution over two sectors (Duration buckets, Maturity buckets), with the duration stock selection term decomposed into returns from curve shift, twist and curvature. There are now six sources of return generated by movements in the risk-free curve: - Market direction return - Duration bucket allocation return - Maturity bucket allocation return - Shift return - Twist return - Curvature return Spread effects The Spread effects fields specify how returns made by credit spreads are to be measured. The dropdown box Spread decomposition has three values: None: No returns due to spread movements are calculated. If any returns are due to this source of risk, they will be assigned to the residual category.

19 Page 19 of 36 Sector spreads: This setting requires a sector curve to have been assigned to one or more securities in the portfolio. Returns due to movements between the risk-free curve and the supplied sector curve are calculated, and any remaining return generated by movements between the sector curve and the security s yield is assigned to sector-specific return. This option is particularly useful for measuring the effects of movements in sector or country curves. The two sources of sector return are calculated and displayed in FIA s reports, and shown on the attribution tree: Credit spreads: This setting decomposes spread returns in movements between various credit curves. Use of this option requires that (i) (ii) Suitable credit curve data has been provided in the yield curve file A set of credit ratings, corresponding to the required curves, is selected in the Credit decomposition drop-down box On selecting this option, the attribution tree will update itself to show the returns that will be calculated due to changes in the spread between the selected credit curves. Any spread return that is not due to movements between these curves will be assigned to residual.

20 Page 20 of 36 Spread duration allocation return Just as for sovereign curve risks, FIA also allows returns generated by spread duration allocation decisions to be measured. To use this option, simply enter the names of the required spread duration sectors in the corresponding Allocation sectors box. Miscellaneous effects FIA also calculates returns due to other, usually minor effects: - Inflation return: Return generated due to inflation for inflation-linked securities - Cash return: Return generated by cash deposits - Convexity return: Return generated by convexity. If this option is selected, any returns generated by movements in the risk-free curve are split into duration returns (assuming there is a linear dependence between curve movements and pricing change) and convexity returns (that portion of return due to any non-linear dependence between curve movements and pricing change). The sum of returns from risk-free curve movements and convexity will remain unchanged. - Rolldown return: Return generated by the slope of the yield curve. The more steeply sloped the yield curve, the greater the return generated by this source of return - Price return: The difference in measured return between the same security in the portfolio and the benchmark. This return is usually due to pricing differences. The benchmark return is taken as definitive. - Paydown return: Return generated by early paydown of amortizing securities. All these sources of return may be enabled using the Miscellaneous effects section on the Attribution tab. As with the other sources of return, the attribution tree will display any selected miscellaneous sources of return. A note on attribution risks The risks selected in this tab should always match the investment process for the current portfolio. For instance, displaying top-down allocation returns for a fixed income portfolio that is managed using a bottom-up strategy is at best misleading, and may completely distort the attribution report.

21 Page 21 of 36 FIA has been designed to match virtually any investment process, but it is up to the user to confer with users and managers, and to ensure that the analyses generate match the manager s investment process.

22 Page 22 of 36 The Sector tab The purpose of the Sector tab is to define the various ways in which output from FIA can be allocated to various buckets, whether these be maturity or coupon buckets, key rate duration buckets, security-specific data, or user-defined data. Sector buckets The five sector buckets all work in very similar ways. Maturity sectors allow the user to set up a categorisation of results in terms of the maturity of the underlying instruments.

23 Page 23 of 36 There is always one more bucket that there are maturities chosen. For instance, if the selected values are 5 and 10 years, results will be displayed in terms of allocation to the 0-5 year bucket, the 5-10 year bucket, and the >10 year bucket. Key rate durations allow the maturities used in a key rate duration attribution analysis to be set. This setting is only used when the sovereign curve decomposition is set to KRD, in which case the control will be enabled. For other values, it will be greyed out and its values cannot be changed. Tenor sectors allows the tenors (maturity points) at which changes in the yield curve are reported to be set. Coupon sectors behaves identically to Maturity sectors, but allows the user to categorise output in terms of coupon buckets rather than maturity buckets. Securities that do not pay a coupon such as equities are always assigned to the lowest coupon bucket. Report sectors The Report Sectors list is used to define the form of drill-down reports. At present these are used for attribution and tracking error, but the number may grow in future. Entering one or more sectors into a row tells FIA to generate a drill-down report that summarises returns in this order. For instance, entering CURRENCY, PRICING, SECURITY generates a report that firstly summarises results by currency, then by pricing type, and finally displays results at the security level. The order in which variables are added should correspond to the way that the data is structured. For instance, several countries use the Euro, so displaying by currency first and then by country is the obvious order. You can generate reports using the opposite order, but these will not be as useful. Reports are only generated down to the level of the last variable. If the sectors CURRENCY, COUNTRY are entered, the report will only show results summarised at the COUNTRY level. To enable drill-down to the security level, always enter SECURITY as the last variable. There is no limit on the number of rows that may be entered here. Variables may be already available, or user-defined. System variables include currency, pricing type, duration bucket, maturity bucket, credit rating. User-defined variables are set up in the security master file. For each row entered into this box, a drill-down attribution report and a risk attribution report are generated. There is no restriction on the number of drill-down reports that may be generated for a given configuration file. If no report sectors are supplied, FIA assumes a single default report sector. No checks are performed on the validity of report sector strings at the point of entry, but if a problem is found the FIA program will flag it when run.

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25 Page 25 of 36 The Reporting tab The Reporting tab allows the user to decide which reports to generate, where to send them, and how to customize the names used for risks. By default, FIA generates a large number of reports. The Reports list at the top of the screen allows the use to select which reports are written to disk. Check or uncheck the tick box next to each report type to tell FIA whether this report is required. FIA can generate reports in both Excel (XLS) and comma-delimited text (CSV) formats. The check boxes in the Formats section allow either or both formats to be used. The Settings section allows various miscellaneous reporting options to be set.

26 Page 26 of 36 - Root level reports only: This option is applicable when the current portfolio contains other portfolios. If this option is checked, FIA only generates reports for the top-level portfolio. This option is useful when analysing a complex nested portfolio structure, and only the aggregate results are of interest. - Lookthrough: If the portfolio contains one or more sub-portfolios, this option allows the security holdings of the subportfolios to be combined with the holdings of the top-level portfolio (if any). If this option is left unchecked, the holdings and returns of sub-portfolios are displayed as individual lines. - Generate treemap data: If checked, FIA will generate data suitable for import into a tree mapping graphics visualisation package. - Generate SQL import data: If checked, FIA will generate security-level weights and returns data suitable for import into an SQL database. The returns data in this report will not have had smoothing applied. The Labels section allows the names of various sources of risk to be modified. For instance, suppose that you want to replace Residual with Country-specific return in your attribution reports. This result is easily achieved by entering Country-specific return in the Residual row.

27 Page 27 of 36 The Miscellaneous tab This tab is for settings that do not fall conveniently into any of the other categories. Start and end dates Often, the user only wants to run an attribution analysis on a subset of the supplied data. These dialogs allow a subset of the supplied data to be used. For instance, if the portfolio data is available from the start of the year, but a report is only required for the last month, these fields may be used to specify the required start and end dates for reporting. Date formats These fields specify the date format of the dates in the various user-supplied files.

28 Page 28 of 36 Unlike strings, integers and real numbers, the format of a date can vary by data source, locale and user. For instance, in the US the 14 th of January may be written 01/14/15, but in Europe it is customarily written 14/01/15. Date formats are set up using the following patterns: Format Example Sample %d Day of month (1-31) 15 %m Month number (1-12) 2 %b Month in abbreviated or full form February, Feb %y The year without century data (0-99). When a century is not otherwise specified, values in the range refer to years in the twentieth century ( ); values in the range refer to years in the twenty-first century ( ) 45 %Y The year, including century 2015 Date format strings are constructed by aggregating the above format strings with the date delimiter. For instance, if your dates are in the dd-mm-yy format, set the format string to %d-%m-%y, using a hyphen as the delimiter. The following table lists some example date format strings. Date Format 15/05/2013 %d/%m/%y 15/05/13 %d/%m/%y 05/15/2013 %m/%d/%y %m-%d-%y %m%d%y %Y%m%d 15-May-13 %d-%b-%y 15-May-2013 %d-%b-%y Although various international date formats exist such as ISO8601, in practice the format of dates in data available to users can vary widely. The Flametree program therefore allows acceptable date formats to be specified on a file-by-file basis. Different file formats can be specified for portfolio, benchmark, security master, yield curve, CPI index, and FX data files. - If no formats are supplied, the program assumes that all dates are in the format %Y-%m-%d. - If General date format is set, the program will apply this format to all dates. - If a file-specific format is set, the program will use this format for that particular file. File formats are entered via the appropriate format box. If the drop-down arrow at the left of the box is clicked, a list of pre-defined date formats is shown, and the user can select one of these.

29 Page 29 of 36 If the required format is not show, a custom format can be entered in the format box. For instance, a format of the form %d:%m:%y requires the user to type this string into the date format box: Futures cash offsets This switch is turned on if the user requires cash offsets for futures to be calculated automatically. Smoothing algorithm This setting allows the user to select which smoothing technique is to be applied to the attribution results. Brinson model This setting allows the user to select between the Brinson-Fachler and the Brinson-Hood-Beebower models when running equity attribution. Average curve level This setting allows the user to select how parallel shift in the sovereign yield curve should be measured. There is no standard measure of the average level of the yield curve, so FIA has implemented the most commonly used approaches: Arithmetic: The average level of the curve is measured by forming an arithmetic average of the levels of the curve at all supplied maturities. This is a widely used technique but may overweight shorter-maturity yields against longer-maturity yields. Trapezoidal: To remove the bias effect of varied sampling rates, this technique calculates the average level of the curve by integrating the area under the curve and dividing by the difference between the longest and shortest maturities. Fixed maturity: The average level of the curve is measured by its level at the given maturity, for instance five years. The specific maturity may be set using the fixed shift maturity box on the same

30 Page 30 of 36 screen. Note that this box is only enabled for input if Curve level is set to Fixed maturity in the Average curve level drop-down box. Curve twist maturities If Curve decomposition is set to Shift, twist, curvature on the Attribution tab, a pair of maturities is used at which a straight line is fitted to the yield curve. The slope, and hence the twist motion, of the curve is measured from this line. These maturities may be set using the two dropdown boxes labelled Upper maturity and Lower maturity. Note that these drop-down boxes are only enabled if the Shift, twist, curvature option is selected. Number of cores Many computers have multiple cores on which different processes can be run at the same time. The Flametree engine has been written to take advantage of this architecture and to allocate the most time-consuming parts of the attribution calculation across multiple processors, if available. This setting allows the user select how many cores should be used for attribution calculations. - The minimum number of cores is 1. - The maximum number of cores that FIA can use is 8. - If the number of cores requested is zero or more than the maximum number of cores available on the current processor, the Flametree engine uses the maximum number available. Batch ID number Every time the Flametree engine generates reports, various files are written in CSV or Excel formats. To ensure that the results of one run do not overwrite the results of a previous run, this field allows the user to append a batch number to the end of each file name, uniquely identifying it. If no number is supplied, a random value between 0 and 1000 is used.

31 Page 31 of 36 The Output tab The Output tab displays the output of the Flametree program and lists the files generated by the currently loaded configuration. When the user runs the Flametree program, the GUI automatically opens this tab to show the program running. The program s output is shown in the console box in the upper half of the tab.

32 Page 32 of 36 The list of files in the lower half of the tab show the files in the directory specified by the Report directory setting on the Reporting tab. This includes all reports generated by the program for the current configuration. Double-click on any file name to open it in Excel.

33 Page 33 of 36 The Batch tab The Batch tab allows the user to set up and run the Flametree program on groups of configuration files. The first purpose of the Batch tab is to set up groups of configuration files. The left-most panel shows part of the directory tree on the machine on which the program is installed, and the middlemost panel shows the configuration files that already exist in the currently selected directory. The right-most tab shows the names of the configuration files in the current batch file. To transfer a file in or out of this collection, simply double-click on the file s name. The chosen file will then appear in the right-most panel.

34 Page 34 of 36 Batch files can be constructed from configuration files in different directories. To choose files from a different directory, find the required directory in the directory tree and theh available configuration files in that directory will be displayed. They may then be added to the list in the right-hand panel. Note that the full path of each selected file is displayed. When you have set up a batch file, it may be saved as a.grp file by either - Clicking on the save icon - Clicking on the Batch/Save Batch menu In either case, the program will prompt for a name for a group file. This allows the chosen batch file to be saved and reused at later times.

35 Page 35 of 36 Attribution templates Many configuration files look very similar. To assist the user in setting up commonly used configurations, the FIA GUI supports the user of template files that make setting up a particular configuration quick and straightforward. A template file is identical to a standard configuration file, save that no file names are recorded. Suppose that you need to set up a Carino analysis on a new portfolio and benchmark. While one can go through the entire attribution tree and set up a Carino analysis, in many cases it is more straightforward to use the predefined Carino template. To do this, click on the Template menu item and then Open Template. You will then be prompted to select a predefined template file: Select the template that you want to use (in this case, Campisi). If you then return to the Attribution tab, a complete Campisi analysis has been set up for you in the Bottom-up effects tab:

36 Page 36 of 36 Return to the Files tab and select the files on which to run a Campisi attribution analysis. The resulting configuration file can then be saved as an ordinary configuration file. To define your own template, set up a configuration file that matches your requirements and save it using the Template/Save template menu items. The new template will now be available for subsequent use.