Page Comparison

Precision

PACE uses all the decimal places in the database to calculate the statistic. This setting only impacts the display of the result.

Frequency

You can calculate risk statistics using monthly, daily and quarterly return frequency.

Use

Options include:

• Preliminary Returns. All the returns, both Final and Preliminary, are retrieved when calculating the statistic.
• Final Returns. Only the returns that have been marked as Final in the PERFORM database are retrieved when calculating the statistic.

No. of Days in a Year for Annualization

When Daily Data Frequency is chosen you must specify the number of Days in a year to be used to annualize. The default is 252.

Type

For a description of types and corresponding sub types, refer to "Performance Risk Analysis Field Statistics."

Sub Type

For a description of types and corresponding sub types, refer to "Performance Risk Analysis Field Statistics."

Standard Deviation Method

This choice is active for statistics that can be calculated assuming the data represents the full population or is calculated with appropriate degree of freedom reduction, assuming the data represents a sample of the full population.

Target Return

Active for Target Risk statistics, with the exception of Downside Beta, and for Shortfall Risk. Options for these measures include:

• Average Target Benchmark. Defines the target return as the average return of a specified entity or type of benchmark over the specified analysis period. The target return value can vary based on the fund being analyzed. If you select this option, you must select Target Benchmark values in the Entities and Fields section of this dialog box to specify a target benchmark portfolio or relationship. For more information, see "Using Benchmark Returns as Target Returns in Target Downside Measures."
• Constant. (Default) Allows you to specify a static value for the target return. Calculations use this target return value for all funds and time periods. If you select this option, you must specify a corresponding numeric value in the adjacent field. The default numeric value is 0.
• Active for CAPM risk statistics. Options for CAPM measures include:
• Average Risk Free. The mean of the risk free observations is calculated internally and is used for the risk free rate.
• Risk Free. The legacy value for CAPM Measures.
• Constant. Provides a constant value risk free rate. Allows you to specify a fixed rate of return for the Risk Free Return Rate (for example, a constant 5%) rather than having to provide a full time series of risk free returns specified for an entity.

Method of Averaging

Method to derive the average returns. The next section has more on this.

Period Options

Similar to those used for Performance Link Analysis fields, for example 1year, inception-to-date.
For more information, refer to "Performance Link Analysis Field Options."       

Analyze up to termination date

You can select this check box and a corresponding entity termination date field to prevent the analysis period from extending beyond the termination date for the entity. If the entity has a termination date that falls within the requested period, the analysis period ends at the termination date. For risk fields that require data for more than one entity, the system uses the termination date for the fund entity (primary portfolio).

If you plan to select the Use Business Calendar option, selecting this option allows you to use the business calendar for entities that terminate within the reporting period. Otherwise, the number of observations for the terminated entity does not match the business days in the period, and the business calendar check fails for those entities.

Entities and Fields

This section allows you to select the entities and return fields necessary for the calculation. Depending on the risk calculation, you may indicate from one to three entities in the Portfolio/Selection column. For example, you may need to specify a Primary Portfolio, a Market Portfolio, and/or a Target Benchmark.

The Underlying field is the return field upon which you are calculating the risk. The Underlying fields are fields from the PERF_SEC_RETURNS table in the PERFORM database.