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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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 Manage Benchmarks.
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.
When you set up benchmarks, consider that the 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 five year period. For more information about benchmark setup, see the Benchmark Management User Guidesee Manage Benchmarks.
Benchmark Assignments
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 five year period.
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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 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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