This section describes the Do you want to calculate missing data? option in the Composite Analysis report profile, as described in "Analyzing Composite Dispersion and Membership.
By default, the report only queries the database for returns and market values for the constituent portfolios defined to be in the composite for the entire calculation period represented by each column of the report. If there is missing data for any one of these underlying portfolios, then the report returns an N/A in the cell for this statistic in the report. Missing data means, for example, that the returns and market values for only 2 of 3 portfolios required for calculating the composite statistics are in the database.
You can override this option by selecting Yes to the Do you want to calculate if data is missing option? question at the bottom of the profile. The purpose of this option is to allow you to begin viewing composite results on a Preliminary basis, even though the returns for all of the constituent entities might not all be calculated. You can create two different reports, one with the option set to Yes and another to No, in order to monitor the status of the constituent portfolio data.
The composite statistics are calculated as shown in the following table for each option.
Statistic | Do Not Calculate if Missing Data | Calculate if Missing Data |
|---|---|---|
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. |
Even if an entity is excluded from a calculation due to missing data, it will still be displayed when you double-click the column to look at the constituent data for the period, and will display N/A where appropriate.