To calculate returns on mutual funds using the SEC algorithm, use the General Reporting window Performance Analysis report option as shown in the following figure.
The previous example shows a report calculating load-adjusted returns for several funds, where the returns decline from right to left because the gross return was adjusted step-by-step for the data listed in the following table.
Load-Adjusted Return Calculations |
|
|---|---|
Return | Adjusted For |
[1Y] [Pre-Tax] Return | Total Return |
[1Y] Pre-Tax LA Gross of Fee | Sales Charges |
[1Y] Pre-Tax LA Return | Sales Charges + Management Fees |
[1Y] [PT-Pre-liq] LA Return | Sales Charges + Management Fees + Taxes on Distributions |
[1Y] [PT-Post-liq] LA Return | Sales Charges + Management Fees + Taxes on Distributions + Taxes assuming Redemption at Report Effective Date |
To calculate the returns you use the field type, Dynamic Mutual Fund Returns. This field has the parameters for calculating the type of return, as shown in the following figure.
The source rule used for the report should include both the actual source of the NAV Data (in this case Mutual Fund Pricing Sys) and the Eagle PACE source. This is so that the calculator uses any NAV data that was overridden by the NAV Maintenance function. An example of this is shown in the following figure.
Dynamic mutual fund returns fields have several parameters, as shown in the following figure.
This field is set to calculate a 1-year return, which is not adjusted by sales charges, expenses, or taxes. The advanced button shows you the distribution fields and the reinvestment date fields that are used to calculate the return (the default is to use all).
To adjust for loads, expenses, and taxes select the appropriate box. See the following figure.
If you select the gross of expense option, the Expenses tab shows you the expense fields available for grossing up the return. In a similar way, you can calculate a return net of any expense subsidies over the period.
There is an alternate method that uses annual ratios. For detailed information, see Gross of Expense and Net of Expense Waiver Returns.
If you select one of the post-tax returns, under the Return Type section, you can set the appropriate tax rate field to apply to each distribution type. See the following figure.
There can be thousands of data inputs to a mutual fund return calculation. To research how a particular return was calculated, there is a log available in the Diagnostics tab that records all of the input NAV data, tax rates, and intermediate results of the return calculation algorithm. For more information, see Use Performance Analysis Engine Logs.
The PACE Server must be set to log level 10 to report the most detailed results.
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