The following example illustrates the use of date rules in Mutual Fund Performance calculations. This example illustrates how to calculate a quarterly return as of last quarter end.
The calculation is as follows:
On 12/15/2018, the prior quarter end is 9/30/2018.
The dynamic quarterly return as of 9/30/2018 needs a starting period NAV from 6/30/2018 (the end of day NAV).
The dynamic mutual fund field internally looks back an extra day when deriving begin date so when the date is 12/15/2018 the date rule needs to return the following values:
Begin Date = 7/1/2018 (dynamic process converts it to 6/30/14)
End Date = 9/30/2018 (end date of the prior quarters return)
This is shown in the following figure.
The Start Date is set to calculate the end date by going back two quarters.
The End Date is set to calculate the end date by going back one quarter with an additional offset by one day.
Note that the date rule test correctly returns 7/1 as the start date and 9/30 as the end date.
Shown below are brief excerpts from PACE log messages for a report run as of 12/15 for a dynamic field using the above date rule.
Date Rule Dates for Field-TL DR prior qtr[4879], Entity - TLMF1A is 06/30/2018 to 09/30/2018
Field [TL DR prior qtr], Entity Name [TLMF1A], Field Begin Date [06/30/2018], Field End Date [09/30/2018]
Although the date rule derives a start date of 7/1, the dynamic mutual fund process correctly goes back to 6/30 to retrieve the initial NAV for the performance calculation.
Add Comment