Use Tolerance Checks and Reference Fields

You can use numeric and alphanumeric reference fields with tolerance checks to provide additional information about the results of the tolerance check when you use the Commit Journal.

When you set up tolerance checks and reference fields, you typically:

Create fields to use as the tolerance check and reference fields.
In the Performance Calculation report or Field Rule used by the report, identify the fields to use as the tolerance check and reference fields and include them as report columns.
In the commit options used for the report, choose an option associated with use of tolerance checks when committing returns.
In the Commit Journal, set up views to display and/or filter results based on criteria such as commit status and reference field data.

The following sections describe the first two steps of this process. For more information about the Commit Journal, see the Commit Journal Reference Guide.

Eagle Performance allows you to commit, or save, single-period returns and to assign those returns a Preliminary status or Final status based on the results of a tolerance check, or limit. You can also use tolerance limits when you commit returns for retail funds and GIPS composites.

Use Commit Tolerance Checks

A commit tolerance check allows you to commit calculated returns that pass a test as Final and commit returns that fail a test as Preliminary, permitting you to review failed returns.

For example, a common commit tolerance check is to compare the fund's calculated return with that of a stored benchmark. Assume you decide that calculated returns for a fund that are up to 3% less than or 3% greater than the fund's corresponding benchmark should fall within the tolerance limit, and Eagle Performance should assign those returns a status of Final. You also decide that calculated returns that are more than 3% greater than or more than 3% less than the fund's corresponding benchmark require review, and Eagle Performance should assign those returns a status of Preliminary.

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Define Fields for Commit Tolerance Checks

When you create a field to use as the commit tolerance check, you typically use:

Rollup Calculation fields for numerical comparisons, such as comparing a fund return to a benchmark return. The field must return a value of 1 (pass) or 0 (fail). For example, if the fund return minus the benchmark return is >= .3% or <= (.3%) then 0.
Rollup Inference fields when you require a text type reference as part of the verification, such as a comparison that first looks at a fund's base currency. The field must return a value of Yes (pass) or No (fail).

You can optionally build numeric and/or alphanumeric reference fields related to tolerance checks for use in the Commit Journal as report columns or filters.

Numeric references can store returns or market values. For example, you can create a numeric reference field that shows you the fund return, and use the Commit Journal to review the fund return for performance records that failed the tolerance check. Or you can create a numeric reference field that shows you the difference between the fund return and the benchmark return if you prefer to review that information using the Commit Journal.

Alphanumeric references can display text that identifies the tolerance check that failed; you build them using a Rollup Inference field. Alphanumeric fields allow you to pass messages to the Commit Journal such as "Missing Beginning Market Value" or "Portfolio Return >1000%."

Set Up Reports to Use Commit Tolerance Checks

After you create the fields to use as the commit tolerance check and reference fields, you assign them to the Field Rule and/or Report Rule used by the Report Profile, and identify them as tolerance and reference fields available for use in the Commit Journal.

To apply tolerance checks and reference fields to a Performance Calculation report:

In the Performance Calculation Report Rule or Field Rule used by the report, include the commit tolerance check field, the numeric reference field, and the alphanumeric reference field, if used, as a report column.
In the Report Rule workspace, select the Specify the Commit Tolerance and Reference Fields link.
The Specify Commit Tolerance and Reference Fields dialog box appears. See the following figure. Otherwise, if you are building a Field Rule, these fields appear at the bottom of the Field Rule dialog box.
In the Specify the Commit Tolerance Field list, identify the field to use as the commit tolerance limit.
In the Specify the Numeric Reference Field list, identify the field to use as the numeric reference.
In the Specify the Alphanumeric Reference Field list, identify the Rollup Inference field to use as the alphanumeric reference.
In the Performance Calculation report profile you are using, under Commit Returns as Final, select the Only if within Tolerance (Commit Tolerance Field) option.

When the Performance Calculation report runs, it identifies the field you selected for use as the commit tolerance limit. It assigns each performance record that passes tolerance, that is, falls within your commit tolerance limit, a status of Final. It assigns each performance record that fails tolerance, that is, exceeds your commit tolerance limit, a status of Preliminary.

Use Material Change Tolerance Checks

A material change tolerance check can prevent Eagle Performance from re-committing all previously committed returns when you rerun performance. The material change tolerance check allows you to re-commit only calculated returns that are materially different from prior returns and to bypass the normal commit process for calculated returns that are not materially different from prior returns. If an entity has new positions, prices, or cash entered as of a particular date, you can rerun a Performance Calculation report and have only returns that are significantly different from prior returns overwrite the existing returns.
You must define a Rollup Inference field to use as the Materiality Change Tolerance Check Field. You can set up the check to apply the threshold for a material difference at the security level or at the entity level. And you can optionally build numeric and/or alphanumeric reference fields related to materiality tolerance checks for use in the Commit Journal as report columns or filters.

Define a Security Level Materiality Check

When you create a field to use as the material change tolerance check, you can define a security level check. A security level check includes a:

Detail Calculation field for the return comparison. If the difference exceeds the tolerance threshold, then a 1 results. You can define the threshold as a hardcoded number in the detail calculation.
Rollup calculation field sums all results of the Detail Calculation field at the total level.
Rollup Inference field. This field checks the Rollup Calculation field sum for any amount greater than 0. This indicates a tolerance breach, where the new return is committed. That is, if the sum is greater than 0, infer from the Yes (1) that there is a material difference and commit the return.

Define a Total Level Materiality Check

When you create a field to use as the material change tolerance check, you can define a total level, or entity level, check. A total level check includes a Rollup calculation field that compares the entity's newly calculated return to the previously committed return. A Rollup Inference field is then used to compare that difference to a threshold. If the threshold set is exceeded, a 1 or Yes results, indicating that there is a material difference. If the threshold is not exceeded, a 0 (No) results, indicating there is no material difference.

You can define the threshold as a hardcoded number in the Rollup Calculation field. Or, you can define the threshold with an entity specific number in a user defined field in the ENTITY_DETAILS table, and then use that entity field in the Rollup Calculation field.

A sample Rollup Calculation field is shown in the following figure. This calculation, used in a Monthly from Daily report, compares today's calculated return to that for the prior committed return. The term, I report level number = 1, refers to the total level.

Rollup Calculation Field for Entity Level Material Change Tolerance Check

A sample Rollup Inference field is shown in the following figure. This calculation determines whether the results of the previous Rollup Calculation field show a material difference of more than 5% above or below the prior committed return. If the difference if greater, the result for a material difference is Yes (a result of 1 will also work in this scenario.) Otherwise, the result for a non-material difference is Null.

Rollup Inference Field for Entity Level Material Change Tolerance Check

Set Up Reports to Use Material Change Tolerance Checks

After you create the fields to use as the Material Change Tolerance Check and reference fields, you assign them to the Field Rule and/or Report Rule used by the Report Profile, and identify them as Materiality Check fields and reference fields available for use in the Commit Journal.

To apply material change tolerance checks and reference fields to a Performance Calculation report:

In the Performance Calculation Report Rule or Field Rule used by the report, select fields from your field rule for the Material Change Tolerance Check field, the numeric reference field, and the alphanumeric reference field (if used), as a report column.
In the Report Rule workspace, select the Specify the Commit Tolerance and Reference Fields link.
The Specify Commit Tolerance and Reference Fields dialog box appears. See the following figure. Otherwise, if you are building a Field Rule, these fields appear at the bottom of the Field Rule dialog box.
In the Specify Material Change Tolerance Field list, identify the field to use as the material change tolerance limit.
In the Specify the Numeric Reference Field list, identify the field to use as the numeric reference.
In the Specify the Alphanumeric Reference Field list, identify the Rollup Inference field to use as the alphanumeric reference.
In the Performance Calculation report profile you are using, under Commit Returns as Preliminary, select the Only when materially different (Materiality Check Field) option.

When you run the Performance Calculation report, Eagle Performance calculates the new return, identifies the field you selected as the material change tolerance field, and determines if there is a material difference between a prior return and the new return. It also checks whether the prior return has a Final or Preliminary status. If Eagle Performance identifies:

No previously committed return, it commits the return with a Preliminary status.
No material difference or no difference between the prior return and the new return, it commits the new Preliminary return to the alternate commit source specified. It does not overwrite the prior return. Eagle creates a system message for the log, diagnostic tab, and the Commit Journal that states, "No Material difference found, Returns Committed to Alternate Commit Source (###) for Entity XXX".
Material difference between a prior Preliminary return and a new return, it commits the new return to the commit source specified. It overwrites the prior return. Eagle creates a system message for the log, diagnostic tab, and the Commit Journal that states, "Material difference found, Commit Processed for Entity XXX".
Material difference between a prior Final return and a new return, it commits the new Final return to the alternate commit source specified. It does not overwrite the prior return. Eagle creates a system message for the log, diagnostic tab, and the Commit Journal that states, "Material difference found, Return Committed to Alternate Commit Source (##), Entity XXX in Final Status".

Use the Commit Journal with Material Change Tolerance Checks

The Commit Journal allows you to set up filters based on system messages associated with material or non-material differences. You can also set up filters based on commit source. You can set up Commit Journal views to identify returns overwritten because they had material differences.

Review Materially Different Returns

The Commit Journal provides audit capabilities that allow you to review the PERF_SEC_RETURNS table total level history for an entity. To access this, right-click a row and select the Re-Commit History option to review prior total level returns for each commit for that entity with that effective date, source, frequency, and performance model. See Commit Journal for information.