Option | Description |
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I would like to use Entity | Options include: - Profile Portfolio. This default value represents the entity for which the report is running. Benchmark backfill processing does not occur.
The system retrieves the daily NAVs stored in the NAV table in the HOLDING database to complete the 5 year return history for the fund entity and calculate weekly returns. It retrieves the NAVs, along with the appropriate distributions, reinvestments, conversion, expenses, and/or waivers specified in the Dynamic Mutual Fund Returns field. - Benchmark Definitions. Uses the entity assigned to the fund for a specified benchmark definition for backfill processing.
This ensures backfill processing occurs if NAV data is not available for profile fund. When backfilling data, the system uses the benchmark assignment's effective date as an End Date for the assignment to reflect historic changes in the fund's benchmark assignments during the report period. If you specify a Benchmark Definition and a complete 5 year daily NAV history is not available for the profile entity, the system uses the representative fund's (that is, benchmark's) history of NAVs and/or returns to complete, or backfill, the 5 year history. Backfill processing does not complete if return data is required and you do not select the corresponding field in the PERF_SEC_RETURNS table in the PERFORM database. - Other Entities. (Not used)
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Use this Performance Field Used for Returns | Specifies the PERFORM database field used for backfilling returns, if necessary. You do not need to specify a value if you are reporting only on NAV data stored in the HOLDING database. If you are reporting on any returns, identify the column where you store the returns. |
Number of Weekly Observations | Specifies the number of weeks to include in the volatility calculation. By default, the value is 260. You can enter a value or 52 weeks or more. The system bases the volatility calculation on this number of weeks of returns history, after determining the period end date based on the report effective date and the Date Rule associated with this field. For more information about the Date Rule, see Defining a Date Rule for SRRI Reporting. |
Convert benchmark to fund base currency | Converts the weekly returns for the representative fund benchmarks of profile funds to the base currency of the profile fund for the volatility calculation. |