Calculations are available for seven performance models, including Total level only, Currency, Asset class, Region/Country, GICS, Aggregate Bond, Long Short, and Security level. Daily return calculation and monthly from daily return calculations based on the seven performance models are available out of the box. A monthly calculation report using significant cash flow processing and preconfigured MPC rules is also available to support specific workflows. Types of returns supported include Gross, Net of Fee, principal only, and income only. You can use the combination of toolkit calculations and performance models to provide the data requirements for performance analysis and performance attribution.
The Calculation Toolkit’s central workflow is built on daily return calculations which require daily valuations of holdings. The daily return calculation used in the Toolkit assumes positive cash flows are available for investment at the beginning of the day (BOD), while negative cash flows are not available for investment until the beginning of the next day (EOD).
To create the monthly frequency returns for the Toolkit Performance Models, these daily returns are linked. This methodology is known as “Monthly from Daily” or “Daily to Monthly” and is notated in the Performance Toolkit metadata as “D2M”. The Toolkit also contains a Monthly Frequency Performance Calculations using Modified Dietz with Significant Cash Flows. The reporting and analysis contained in the Performance Toolkit for this methodology is limited.
Audit checks can identify potential data issues. Examples of Audit checks include null or extreme values, relative performance check to benchmark, No Cash Flow and No Beginning Market Value or No Ending Market Value Check price volatility check, price change check, cash return equal to zero check, and a position reconciliation check. Each performance model-based return calculation in the Calculation Toolkit includes audit checks. The Toolkit also includes an audit performance calculation report that includes several additional audit checks.
The Toolkit also includes Query Tool views for all seven Toolkit performance models in both daily and monthly frequencies. Using Query Tool view type 4, these audit queries provide account comparisons to benchmarks and can help identify return outliers and potential issues. Daily and monthly Query Tool views are also available for each performance model provided with the Toolkit.