Eagle Performance allows you to commit, or save, single-period returns and to assign those returns a Preliminary status or Final status based on the results of a tolerance check, or limit. You can also use tolerance limits when you commit returns for retail funds and GIPS composites.
You can use numeric and alphanumeric reference fields with tolerance checks to provide additional information about the results of the tolerance check when you use the Commit Journal.
When you set up tolerance checks and reference fields, you typically:
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A commit tolerance check allows you to commit calculated returns that pass a test as Final and commit returns that fail a test as Preliminary, permitting you to review failed returns.
For example, a common commit tolerance check is to compare the fund's calculated return with that of a stored benchmark. Assume you decide that calculated returns for a fund that are up to 3% less than or 3% greater than the fund's corresponding benchmark should fall within the tolerance limit, and Eagle Performance should assign those returns a status of Final. You also decide that calculated returns that are more than 3% greater than or more than 3% less than the fund's corresponding benchmark require review, and Eagle Performance should assign those returns a status of Preliminary.
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You can optionally build numeric and/or alphanumeric reference fields related to tolerance checks for use in the Commit Journal as report columns or filters.
Numeric references can store returns or market values. For example, you can create a numeric reference field that shows you the fund return, and use the Commit Journal to review the fund return for performance records that failed the tolerance check. Or you can create a numeric reference field that shows you the difference between the fund return and the benchmark return if you prefer to review that information using the Commit Journal.
Alphanumeric references can display text that identifies the tolerance check that failed; you build them using a Rollup Inference field. Alphanumeric fields allow you to pass messages to the Commit Journal such as "Missing Beginning Market Value" or "Portfolio Return >1000%."
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After you create the fields to use as the commit tolerance check and reference fields, you assign them to the Field Rule and/or Report Rule used by the Report Profile, and identify them as tolerance and reference fields available for use in the Commit Journal.
To apply tolerance checks and reference fields to a Performance Calculation report:
- Do the following:
- In the Performance Calculation Report Rule or Field Rule used by the report, include the commit tolerance check field, the numeric reference field, and the alphanumeric reference field, if used, as a report column.
- In the Report Rule workspace, select the Specify the Commit Tolerance and Reference Fields link.
The Specify Commit Tolerance and Reference Fields dialog box appears. See the following figure. Otherwise, if you are building a Field Rule, these fields appear at the bottom of the Field Rule dialog box.
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- In the Specify the Commit Tolerance Field list, identify the field to use as the commit tolerance limit.
- In the Specify the Numeric Reference Field list, identify the field to use as the numeric reference.
- In the Specify the Alphanumeric Reference Field list, identify the Rollup Inference field to use as the alphanumeric reference.
- In the Performance Calculation report profile you are using, under Commit Returns as Final, select the Only if within Tolerance (Commit Tolerance Field) option.
When the Performance Calculation report runs, it identifies the field you selected for use as the commit tolerance limit. It assigns each performance record that passes tolerance, that is, falls within your commit tolerance limit, a status of Final. It assigns each performance record that fails tolerance, that is, exceeds your commit tolerance limit, a status of Preliminary.
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When you create a field to use as the material change tolerance check, you can define a total level, or entity level, check. A total level check includes a Rollup calculation field that compares the entity's newly calculated return to the previously committed return. A Rollup Inference field is then used to compare that difference to a threshold. If the threshold set is exceeded, a 1 or Yes results, indicating that there is a material difference. If the threshold is not exceeded, a 0 (No) results, indicating there is no material difference.
You can define the threshold as a hardcoded number in the Rollup Calculation field. Or, you can define the threshold with an entity specific number in a user defined field in the ENTITY_DETAILS table, and then use that entity field in the Rollup Calculation field.
A sample Rollup Calculation field is shown in the following figure. This calculation, used in a Monthly from Daily report, compares today's calculated return to that for the prior committed return. The term, I report level number = 1, refers to the total level.
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A sample Rollup Inference field is shown in the following figure. This calculation determines whether the results of the previous Rollup Calculation field show a material difference of more than 5% above or below the prior committed return. If the difference if greater, the result for a material difference is Yes (a result of 1 will also work in this scenario.) Otherwise, the result for a non-material difference is Null.
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After you create the fields to use as the Material Change Tolerance Check and reference fields, you assign them to the Field Rule and/or Report Rule used by the Report Profile, and identify them as Materiality Check fields and reference fields available for use in the Commit Journal.
To apply material change tolerance checks and reference fields to a Performance Calculation report:
- In the Performance Calculation Report Rule or Field Rule used by the report, select fields from your field rule for the Material Change Tolerance Check field, the numeric reference field, and the alphanumeric reference field (if used), as a report column.
- In the Report Rule workspace, select the Specify the Commit Tolerance and Reference Fields link.
The Specify Commit Tolerance and Reference Fields dialog box appears. See the following figure. Otherwise, if you are building a Field Rule, these fields appear at the bottom of the Field Rule dialog box.
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- Do the following:
- In the Specify Material Change Tolerance Field list, identify the field to use as the material change tolerance limit.
- In the Specify the Numeric Reference Field list, identify the field to use as the numeric reference.
- In the Specify the Alphanumeric Reference Field list, identify the Rollup Inference field to use as the alphanumeric reference.
- In the Performance Calculation report profile you are using, under Commit Returns as Preliminary, select the Only when materially different (Materiality Check Field) option.
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