You set up Performance IRR Analysis fields in the same way that you set up Performance Link Analysis or Performance Risk Analysis fields. After specifying the name and precision, you select the Frequency of the underlying data that you want to use and a status of preliminary or final. See the following figure.
Next, select the Performance database fields that you want to use for the beginning market value, ending market value, and total flows. Each of these Performance database fields should point at the column to which you loaded or committed these values. See the following figure.
If you plan to perform foreign exchange conversion for the Performance IRR Analysis field when you run the Performance Analysis report, refer to "Converting Returns From One Base Currency to Another" for more information about setup required for these underlying fields and general information about currency conversion.
It is also important to note that all the values are retrieved from the same record, so you must have all three committed. See the following figure.
Next, select the weighting method to use. Flows are available for investment for the day they happen — select Begin of Day. However, if flows are not available until the next day, select End of Day. See the following figure.
Next, select the period option. Like Performance Link Analysis and Performance Risk Analysis, you can specify various to-date and rolling time periods. See the following figure.
In addition to specifying the period in the same way, the same records are for linking a return. This is because the beginning market value from the first day of performance in the period is used.
For example, if the period is 31-May-2006 to 31-May-2007, the beginning market value and first flow is from 01-June-2006. This is because the beginning market value on 01-June-2006 would be the ending market value for 31-May-2006. The ending market value and last flow is from 31-May-2007. All the flows between the two dates are picked up. This ends up being the same record that would be used for linking, 01-June-2007 to 31-May-2007.
Finally, the Use Business Calendar option requires you to commit a zero if there are no flows on a particular day. This check is not applied to the beginning or ending values in the Partial Period mode. See the following figure.
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Some analysts need the ability to easily identify and exclude securities that are not held for the entire reporting period from the report. This option allows you to report IRRs only for securities that are held for the entire reporting period.
For example, if security A is held for the entire 30-day period and has a return of 10 percent, the report IRR report is 10 percent. However, if security B is held for three days and has a 10 percent return, the report IRR is null.
The option Null Partial Periods returns a null whenever the security does not have a BMV or EMV. The basic logic is:
If (BMV = Null) or (EMV = Null), Then NULL, Else IRR
Along with Calculate Partial Periods, this option is in the drop-down list menu labeled Partial Period Option in the IRR field dialog. See the following figure.
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