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.
Entity Data
Before you report on SRRI, ensure you have set up the appropriate entity data.
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Create the entities associated with the funds for which you are reporting SRRI.
Benchmark Definitions
Select a Benchmark Definition you plan to use for identifying representative funds for backfilling returns history purposes, or create a new Benchmark Definition for this purpose.
For example, you can use the Primary Comparison Index, Secondary Comparison Index, or Comparison Index 3 to identify the representative fund during processing. For more information about Benchmark Definitions, see the Benchmark Management User Guide.
Benchmarks
Create the entities for the benchmarks used as representative funds. The system can use these benchmarks to backfill the fund's return history if returns for that fund are not available during all or some of the 5 year reporting period. The entity assigned as a benchmark can be the parent fund, share class, benchmark, or another fund.
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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 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 year period.
NAV and Returns Data
Ensure that you have the appropriate historical NAV and returns data loaded for the funds and representative funds used in SRRI reporting.
The system uses the daily NAVs stored in the NAV table in the HOLDING database to complete the 5 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
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Convert
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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 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 Convert benchmark to portfolio base currency ' logic hardcoded in the field, 3 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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