You can define a Dynamic Mutual Fund Returns field to calculate the Value at Risk (VaR) based volatility of a fund for use in SRRI reporting. You can use the options in the SRRI tab to support backfilling of data.
To define a Value at Risk based Volatility calculation for use in SRRI reporting:
- In the Dynamic Mutual Fund Returns field, under Effect, set Category to SRRI and Effect to VaR Volatility.
- Select the appropriate parameters in the Return Type and Processing Options areas.
- Under Period Options, click the link, select the I would like to link returns using the Date Rule option, click Select the Date Rule, and then choose a Date Rule to determine the end date of the calculation, based on the effective date in the report profile.
For more information, see Define a Date Rule for SRRI Reporting. - Click the Advanced button, and then click the SRRI tab.
You see the SRRI tab. - Specify the SRRI options for the field.
For more information, see Select Options in SRRI Tab. - Continue setting up the field using the tabs you can access after you click the Advanced button.
Based on the options you selected in the Return Type and Processing Options areas, specify the appropriate information about distributions, reinvestments, conversion, expenses, and/or waivers. Specify the Benchmark Definition to use for backfilling returns history in the SRRI tab. - Click OK.
Select Options in SRRI Tab
The following table describes each option for the SRRI tab in the Dynamic Mutual Fund Returns field when calculating VaR Volatility. You must populate all options in this field with a value before you can save it.
Option | Description |
|---|---|
I would like to use Risk Free Entity | Specifies the benchmark column where the risk free rates are stored. To use this option, you are required to allocate a benchmark that is used for the representative risk free rate entity. The entity assignment in the ENTITY_DETAIL_ID column in the RULESDBO.ENTITY_DETAILS_HIST table determines the entity for which it needs to fetch the daily risk free rates. |
Use this Performance field for risk free rates | Specifies the PERFORM database field used for the 12 month risk free rate. The annualization and calculation is based on a 12 month risk free rate input. The 12 month risk free rates must be loaded on the effective dates needed to calculate the VaR based Volatility. The daily risk free rates are based on the Default Dictionary for the benchmark entity and the Source selected in the Source Rule. |
Number of Risk Free Rate Observations | Specifies the number of trading days to include in the VaR Volatility calculation. The value must be greater than 0. The system bases the VaR Volatility calculation on this number of trading days in conjunction with the risk free rate, after determining the period end date based on the report effective date and the Date Rule associated with this field. For more information about the Date Rule, see Define a Date Rule for SRRI Reporting. |
0 Comments