Before you report on SRRI, you may need to backfill performance history based on a fund's historical performance and/or combination of fund performance linked to a combination of fund share classes and benchmark history.
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When you set up benchmarks, consider that the 5 five year period can begin prior to the fund's Inception Date. In this case, you must have the representative fund or funds' entity Id(s) defined historically back to the beginning of the 5 five year period. For more information about benchmark setup, see the Benchmark Management User Guide.
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Assign benchmarks to the funds using the appropriate Benchmark Definition. You must create a benchmark assignment with an effective date that represents the transitions from a representative fund to another representative fund. The effective date of the most recent representative fund indicates the transition to the fund specified in the report profile. Ensure you have the representative fund(s) assigned as benchmarks historically back to at least the beginning of the 5 five year period.
You can make representative fund assignments on any day of the week. However, if an assignment occurs in the middle of a week, the entity assigned as of the begin date of a given week is used for that weekly return calculation. If the 5 five year history begins prior to the fund's inception date, the system can use the representative fund to backfill the period back to the beginning of the 5 five year period.
NAV and Returns Data
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The system uses the daily NAVs stored in the NAV table in the HOLDING database to complete the 5 five year return history for the funds and/or representative funds on which you are reporting. If daily NAVs are not available and you specify a field in PERF_SEC_RETURNS table in the PERFORM database in the calculation field, it can use returns for representative funds.
Using the Convert Benchmark to Portfolio Base Currency' Option for SRRI
In the Dynamic Mutual Fund Returns field, the Category (SRRI) and Effect (Volatility) field configuration supports the FX conversion logic supported with the 'Convert benchmark to portfolio base currency' option. This hardcoded hard-coded logic in the Dynamic Mutual Fund Returns field automatically converts the weekly returns for representative fund benchmarks of the profile funds to the base currency of the profile fund for the volatility calculation. It ignores the option located in the Advanced Options in the Performance Analysis report profile.
Performance Analysis leverages the Advanced Options in the profile to automatically go back 'X' number of days from the given Begin or End date to fetch a given FX rate if it is missing. Additionally, it automatically performs the conversion in the Dynamic NAV Returns report type. This facilitates automatically converting the weekly returns for representative fund benchmarks of the profile funds to the base currency of the profile fund for the volatility calculation, and the option to commit it to the database.
With the Convert benchmark to portfolio base currency logic hardcoded in the field, three additional steps will be invoked during the data fetch process if the fund requires representative funds to backfill the history:
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