Look through analysis computes the value of every indirect and direct holding of a portfolio that contains securitized funds. This requires the calculation shown in the following table. The table shows that Portfolio XYZ holds two regular securities, A and B, and a securitized fund ETF.
Portfolio XYZ | Direct Holding Market Value |
|---|---|
Security A | 1000 |
Security B | 500 |
ETF | 800 |
The following table shows holdings of the exchange-traded fund, which also holds Security A, as well as C and D that are not in the original portfolio.
ETF | Market Value | Weights |
|---|---|---|
Security A | 100000 | 0.40 |
Security C | 30000 | 0.12 |
Security D | 120000 | 0.48 |
Look through holdings are calculated in the following table. Each indirect holding is computed as the weight of the holding in the securitized fund, times the value of the original portfolio's holding of the securitized fund.
Portfolio XYZ | Direct Holdings Market Value | Indirect Holdings Calculation | Indirect Holdings Market Value | Direct plus Indirect (Look Through) Holdings |
|---|---|---|---|---|
Security A | 1000 | – | – | 1000 |
Security B | 500 | – | – | 500 |
Security A via ETF | – | 0.40 x 800 | 320 | 320 |
Security C via ETF | – | 0.12 x 800 | 96 | 96 |
Security D via ETF | – | 0.48 x 800 | 384 | 384 |
Look Through Processing Notes
The following list contains some notes about look through processing.
- Look through processing can deal with cases where a securitized fund owns one or more other securitized funds, for any number of levels of nesting.
- It is expected that particular securities, like Security A in the example, are held both directly and indirectly, so that a complete enumeration of holdings can be made.
- Look through processing is primarily used to find indirect holdings in terms of market values, but the same principle applies to other value fields like book value. A look through perspective of holdings may also need to include non-value fields such as dates or text-based descriptors. In some cases, those non-value fields should be inherited by indirect holdings from the direct holding, for example: portfolio strategy. In other cases they should repeat the value of the indirect holding itself, for example, manager, in a pooled funds scenario.
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