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Portfolio

turnover measures how frequently assets are bought and sold by a fund manager. The portfolio turnover ratio calculates the percentage of the portfolio that the mutual fund replaces on an annual basis. A high turnover ratio indicates that the fund manager is actively trading securities on a regular basis. In general, the greater the volume of buying and selling by the fund, the greater the impact that brokerage commissions and other transaction costs will have on the fund’s return.

Portfolio turnover reports display the activity level for the fund, by comparing the average long term security purchases or sales for the month to the average monthly market values of all long term securities. The turnover rate of a fund typically indicates the transaction costs of the fund and the effect on future returns. You can calculate and view the turnover rate for an entity and the security trade details that contributed to the calculations. You can submit the report for master funds or entity composites with sectors to calculate Portfolio Turnover at the master fund or composite level.

About Portfolio Turnover Exclude Rules

In Eagle Accounting, portfolio turnover reporting is a rules-based process. You can set up exclusion rules by the processing security type, security type, message type, broker, or primary asset ID. These rules can determine what transactions and security market values are included and excluded from the portfolio turnover reporting and ratio calculation. The portfolio turnover reports include trade and market value details for both the securities included and excluded from the reporting. You can associate a group of portfolio turnover exclude rules with an entity. You can also associate a group of portfolio turnover exclude rules with a report profile. Setting up a portfolio turnover report profile with a group of portfolio turnover exclude rules to use when running the portfolio turnover report for an entity enables you to perform multiple portfolio turnover calculations for an entity. The report excludes only lots that meet the exclusion requirements from the calculations and reporting. The Portfolio Turnover report breaks up the sell transactions that close multiple positions and displays the share of each open position that is closed, along with the actual original acquisition date of the open lot. 

You must set up the Portfolio Turnover rules and establish the Eagle data warehouse information before you can submit the monthly Portfolio Turnover reports. As part of your monthly cycle, you must transfer the Eagle Accounting holdings and transactions to the Eagle data warehouse and then calculate monthly market value averages for accounting date, month end date, or both.

About Reporting on Funds that Hold Blocker Funds

The portfolio turnover calculations and reporting can include the transactions and market values of both a mutual fund's portfolio and also of specified underlying securities held under a separate mutual fund, thus creating a portfolio turnover for a consolidated portfolio. This allows you to run the report for an entity that owns a blocker mutual fund, also called a Cayman fund. In that scenario, the system can pull the underlying security transactions and market values with that blocker fund into the ownership entity's portfolio turnover calculation and the Portfolio Turnover report results. 

The portfolio turnover calculation and report completes as if the fund that holds the blocker fund actually owned and traded the underlying securities within the blocker fund. The fund that holds the blocker fund can own other securities in addition to the blocker fund and can also own more than one blocker fund. The calculated portfolio turnover includes all transactions and securities held by the fund along with all the underlying transactions and securities that make up the blocker fund or funds held. In the event that more than one fund owns a blocker fund, the system cannot split the transaction from the blocker fund amongst the funds, based on their ownership percentages, at this time. 

You can create portfolio turnover entity links to establish the relationship between an owner fund and one or more blocker funds. During portfolio turnover calculations and reporting, the system applies the portfolio turnover exclude rules defined for the report profile. Otherwise, if you apply portfolio turnover excludes rules at the entity level, the system applies the group of rules defined for the owner entity. 

Getting Started

To use portfolio turnover reporting, you perform the following tasks. Some tasks are optional. 

• Create the portfolio turnover exclude rules to filter the information used by the reports and market value calculations. 

• if you always use the same set of exclude rules for each entity, assign portfolio turnover exclude rule groups to entities.

• If you report on one entity that holds another entity such as a blocker fund, create portfolio turnover entity links between owner entities and linked entities. 

• Ensure you classify securities as government and non government.

• Use STAR to PACE Direct to establish the month end position and transaction information in the Eagle data warehouse.

• Calculate the average monthly market values to store in the Eagle data warehouse.

• Use the portfolio turnover reports. If you do not always use the same set of exclude rules for each entity, set up report profiles that identify the group of portfolio turnover exclude rules for use with the report.