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- Upper Limit – 1,000,000,000 percent
- Lower Limit – -100 percent
- Precision – Minimum = 0.000001 (6 digits), Maximum = 0.00000000001 (11 digits)
- Iterations – 500
- Guess – 0
Generate Synthetic Cash Flow Option
When ENABLED, the Synthetic Cash Flow option results in IRR calculations that include synthetic cash flows under the following conditions:
- Composites that have an underlying portfolio(s) that enters or exits the composite within the analysis period.
- Securities that have a grouping change, for example a sector Change, within the analysis period.
The above IRR calculations include both the regular IRR and the Public Market Equivalent IRR.
The IRR is calculated as a single return for the entire period, after adjusting for cash flows for portfolio changes. In the conditions above, these changes would result in a change in market values, but as these events are not directly caused by the underlying asset appreciation (or depreciation), the synthetic flow is added to offset those changes so that the market values are not included in the IRR and PME IRR calculations.
When you run the report profile with a LOG level of 10, you can see a detailed view of the logic and values used with the option enabled.