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Report rule to use

Rule governing the statistics you want to calculate.

Specify the performance model

Performance model for the returns data.

Select the date ranges

Selects the date range columns. For more information, see Defining the Time Period in a Composite Analysis Report. If you do not see all of the date ranges that you want to report on, you can add more. For details, refer to the GIPS Composite Management Configuration Guide section on creating custom date rules. You must select one date rule at the report profile level in most cases. However, if you select a field rule that includes one or more Composite Performance Analysis fields with date ranges defined at the field level, the system does not require that you specify a date rule. For details, see Delivering Composite Analysis Report Results to Data Mart.

Calculate Missing Data

For information, see Calculating Results if Data is Missing.

Enumerate Composites

For information, see Enumeration of Composites.

Options

The Options button allows you to define currency conversion options in the Select the Currency tab of the Advanced Options dialog box. For more information, see Converting Currency Data in the Composite Analysis Report.

Asset Weighted Return*

This field gathers the returns and weights of the constituents in the composite for each time period and calculates, on the fly, linked constituents' returns and then uses them in calculating an asset weighted composite return.

Performance Field Attributes where the return and weight data of the constituents' is stored

Asset Weighted Standard Deviation*

This field gathers the returns and weights of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns, an asset weighted composite return and then uses them in calculating the Asset Weighted Standard Deviation.

Performance Field Attributes where the return and weight data of the constituents' is stored

Begin Benchmark Value

This field fetches non-return Benchmark data from PERF_SEC_RETURNS, such as Market Value, as of the Beginning of each time period in the report for the Composite's assigned benchmarks.

Performance Field Attribute where the Benchmark data is stored and the Benchmark entity info (primary, secondary, and so on)

Begin Composite Data

This field fetches non-return Composite data from PERF_SEC_RETURNS, such as Market Value, as of the Beginning of each time period in the report.

Performance Field Attribute where the Composite data is stored

Begin Value*

This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the beginning of the time period and calculates, on the fly, the Composite value by summing the constituent's values.

Performance Field Attribute where the constituent data is stored

Benchmark Name

This field fetches the benchmark name from the ENTITY table for the Composite's assigned benchmarks.

Entity field attribute where the benchmark name is stored and the Benchmark Entity info (primary, secondary, and so on)

Benchmark Return

This field fetches the benchmark's return data and links it for each time period in the report for the Composite's assigned benchmarks.
For a sample field and setup options for linking benchmark assignments, see the GIPS Composite Management Configuration Guide.

Performance Field Attribute where the Benchmark return is stored and the Benchmark entity info (primary, secondary, and so on)

Benchmark Value

This field fetches non-return Benchmark data from PERF_SEC_RETURNS, such as Market Value, as of the End of each time period in the report for the Composite's assigned benchmarks.

Performance Field Attribute where the Benchmark data is stored and the Benchmark entity info (primary, secondary, and so on)

Best Quartile/Decile/ Percentile

This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns and then uses them in calculating the Best Quartile/Decile/Percentile for each time period.

Performance Field Attributes where the return data of the constituents' is stored.

Composite Data

This field fetches non-return Composite data from PERF_SEC_RETURNS, such as Market Value, as of the End of each time period in the report.

Performance Field Attribute where the Composite data is stored

Composite Return

This field fetches the Composite's return data from PERF_SEC_RETURNS and links it for each time period in the report.

Performance Field Attribute where the Composite return data is stored

End Value

This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the end of the time period and calculates, on the fly, the Composite value by summing the constituent's values.

Performance Field Attribute where the Constituent data is stored

Equal Weighted Return

This field gathers the returns of the constituents in the composite for each time period and calculates, on the fly, linked constituents' returns that are then used to derive an equal weighted (mean) composite return.

Performance Field Attributes where the return data of the constituents' is stored.

Equal Weighted Standard Deviation

This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns, an equal weighted composite return and then uses them in calculating the Equal Weighted Standard Deviation for each time period.

Performance Field Attributes where the return and weight data of the constituents' is stored

Firm Assets

This field retrieves the Firm Assets amount for the Firm associated with the composite. If you report on Firm AUM based on:

Highest Begin Value

This field gathers the non-return values, such as Market Value, of the constituents in the composite for each time period, as of the begin of the time period and reports the Highest value.

Performance Field Attribute where the constituent data is stored

Highest Return

This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns that are then used to derive and report the Highest return value.

Performance Field Attribute where the constituent return data is stored

Highest Value

This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the end of the time period and reports the Highest value.

Performance Field Attribute where the constituent data is stored

Lowest Begin Value

This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the begin of the time period and reports the Lowest value.

Performance Field Attribute where the constituent data is stored

Lowest Return

This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns that are then used to derive and report the Lowest return value.

Performance Field Attribute where the constituent return data is stored

Lowest Value

This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the end of the time period and reports the Lowest value.

Performance Field Attribute where the constituent data is stored

Mean Begin Value

This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the begin of the time period and reports the Mean value.

Performance Field Attribute where the constituent data is stored

Mean Value

This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the end of the time period and reports the Mean value.

Performance Field Attribute where the constituent data is stored

Median Begin Value

This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the begin of the time period and reports the Median value.

Performance Field Attribute where the constituent data is stored

Median Return

This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns that are then used to derive and report the Median return value.

Performance Field Attribute where the constituent return data is stored

Median Value

This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the end of the time period and reports the Median value.

Performance Field Attribute where the constituent detail is stored

Percentage of Firm Assets

This field calculates the Composite % of Firm Assets for the composite. If you report on Firm AUM based on:

Portfolios Added

This field calculates the number of constituents that were added to the composite during each time period.

None

Portfolios at Begin of Period

This field calculates the number of constituents that were in the composite as of the beginning of each time period.

None

Portfolios at End of Period

This field calculates the number of constituents that were in the composite as of the end of each time period.

None

Portfolios in Period

This field calculates the number of constituents that were in the composite for the entire time period.

None

Portfolios Removed

This field calculates the number of constituents that were removed from the composite during each time period.

None

Quartile Dollar Dispersion (Best)

This field gathers the weights and returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns and then uses them in calculating the Best Quartile Dollar Dispersion for each time period.

Performance Field Attributes where the return and weight data of the constituents is stored

Quartile Dollar Dispersion (Worst)

This field gathers the weights and returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns and then uses them in calculating the Worst Quartile Dollar Dispersion for each time period.

Performance Field Attributes where the return and weight data of the constituents is stored

Worst Quartile/Decile/ Percentile

This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns and then uses them in calculating the Worst Quartile/Decile/Percentile for each time period.

Performance Field Attributes where the return data of the constituents is stored

Prior Month

Current Month to Date

Quarter to Date

Current Year to Date

Prior Quarter

2 Quarters Back

3 Quarters Back

4 Quarters Back

Annual–1 yr ago

Annual–2 yrs ago

Annual–3 yrs ago

Annual–4 yrs ago

Annual–5 yrs ago

Since Inception

For many of the Composite Dispersion statistics, the program must first calculate a geometric linked return for each constituent portfolio over the period represented by the column.

If at least one required return is not available for a member entity for the date period, then that entity's linked return result will be N/A and any statistics depending on that linked return result will also return N/A.

If returns are available for any of the portfolios over any of the single-periods, they will be linked and returned.

Many Composite Dispersion statistics require a weighting factor in the calculation.

Return an N/A for the statistic result.

The entity will be excluded entirely from the statistic calculation and a result based on the other member entities will be calculated. This only affects the statistic fields requiring a weighting factor and will be mutually exclusive of other statistics that do not require weights in their calculation. Those other fields will still include the entities where appropriate (that is high return will still include the entity if the return data is available).

If a Composite Dispersion statistic requires a return value for each member entity and it is a single period date rule and at least one member entity is missing a return value for the period

Return an N/A for the statistic result.

The entity will be excluded entirely from the statistic calculation and a result based on the other member entities will be calculated. This only affects the statistic fields requiring a return value and will be mutually exclusive of other statistics that do not require a return value in their calculation. Those other fields will still include the entities where appropriate (that is, High Market Value will still be presented if available).

If the Composite Dispersion statistic requires a value for the calculation (that is High Ending Market Value)

Return an N/A for the statistic result.

The entity will be excluded entirely from the statistic calculation and a result based on the other member entities will be calculated.

Linking of Stored Composite returns

If at least one return is not available for the Composite for a date rule period, then the Composite's linked return result will be N/A for that period.

The available Composite's returns found for the date rule period will be linked together and used in the statistic calculation.

Convert Multi-currency

When you select this check box, the calculator identifies each constituents' base currency, compares it to its composite's base currency, and converts the stored returns and market values to the composite's base currency at report run time to derive the composite statistics. When you submit the report, the system converts multi-period returns to another currency as follows:

1. Retrieves the single-period returns from the database for the composite and constituents.
2. Geometrically links the appropriate single-period returns for each entity for each date range selected in the report profile.
3. Converts the cumulative returns to cumulative growth rates.
4. Determines the currency return for the period.
5. Converts the currency return to a currency growth rate for the period.
6. Multiplies the cumulative growth rates for each entity by the currency growth rate over the period.
7. Converts the resulting converted growth rate to a return.
8. Annualizes the result as specified in the Composite Performance Analysis field.

Convert benchmark to portfolio base currency

Select this option to convert the benchmark returns currency. The system identifies the appropriate currency for the conversion based the way you set other options in this tab. If you select:

• Convert Multi-currency check box, the system converts the benchmark returns to the composite's benchmark.
• Convert each Entity's base currency to option, the system converts the benchmark returns to the specified First Alternate or Second Alternate currency.
• Both the Convert Multi-currency check box and the Convert each Entity's base currency to option, the system converts the benchmark returns to the specified First Alternate or Second Alternate currency.

Convert each Entity's base currency to:
First alternate Currency

Use this option to convert returns and other values from each entity's base currency to this currency. This allows you to convert composite and constituent data from one base currency to another, which can differ from the currency of the composite and the constituents. Select a currency value from the First alternate Currency list, or click the Clear button to delete the selected value.
Note If you select both this option and the Convert Multi-currency option, be aware that this option has precedence over the Convert Multi-currency option.

Second Alternate Currency

If you enter a value in the First alternate Currency box and the specified currency has a start or a stop date, for example, the Euro has a start date of 1/1/99, the system notes the Currency Start Date or Currency Stop Date, and the Second Alternate Currency box becomes available.
For example, you enter a request to convert the report to the EURO (start date of 1/1/99). The report calculates a 3-year return as of 1/31/2000 for a USD-based fund. If you do not define a Second Alternate Currency, the system cannot convert the return. However, if you select the French Franc (FRF) as the Second Alternate Currency, the system converts the return using the USD to FRF return from 1/31/1998 to 1/1/1999 and the USD to EURO return from 1/1/1999 to 1/31/2000.

Fetch foreign exchange rates

Select one of these two options to determine how to handle missing exchange rates:

• Use effective date of the report. The report uses the exchange rate for the effective rate of the report.
• X number of days from the effective date. For example, if you set this option to 3 days, and there is no FX rate for the effective date of the report, the report can use FX rates up to 3 days prior to that effective date. The report tries to use the FX rate for the effective date first, but if a rate does not exist, it uses the exchange rate for the day before the effective date, and so on.

Override Currency Conversion if an Entity Family Member Exists

If you select this check box, the report references an entity with an associated, predefined list of entities with different base currencies, and uses the entity from the list whose base currency matches the target currency of FX-conversion.
For example, you can store the returns for benchmarks in several different currencies and the report retrieves those if you decide to convert returns to another currency. It looks for and uses the data calculated and published by the vendor in the specified base currency instead of converting the returns dynamically.

Cross currency process is <ON/OFF> using currency <CURRENCY>

The system displays the cross currency calculation settings you chose at the PACE system level. It identifies whether you enabled cross currency calculations, and shows the reference currency used for storing FX rates. These settings are needed for triangulation.