Define a Dynamic Mutual Fund Returns Field to Calculate Volatility

You can define a Dynamic Mutual Fund Returns field to calculate the volatility of a fund for use in SRRI reporting. You can use the options in the SRRI tab to support backfilling data.

To define a volatility calculation for use in SRRI reporting:

In the Dynamic Mutual Fund Returns field, under Effect, set Category to SRRI and Effect to 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 Defining 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. You do not need to define any options in the Benchmark tab if you are setting up the field to calculate volatility. Specify the Benchmark Definition to use for backfilling returns history in the SRRI tab.
Click OK.
Note: You can perform FX conversion in Performance Analysis reports using the SRRI – Volatility Effect configuration in Dynamic Mutual Fund Returns fields. This optional FX conversion is performed when you check the Convert benchmark to portfolio base currency check box on the SRRI tab.

Select Options in SRRI Tab

The following table describes each option for the SRRI tab in the Dynamic Mutual Fund Returns field when calculating volatility.

Option	Description
I would like to use Entity	Options include: Profile Portfolio. This default value represents the entity for which the report is running. Benchmark backfill processing does not occur. The system retrieves the daily NAVs stored in the NAV table in the HOLDING database to complete the 5 year return history for the fund entity and calculate weekly returns. It retrieves the NAVs, along with the appropriate distributions, reinvestments, conversion, expenses, and/or waivers specified in the Dynamic Mutual Fund Returns field. Benchmark Definitions. Uses the entity assigned to the fund for a specified benchmark definition for backfill processing. This ensures backfill processing occurs if NAV data is not available for profile fund. When backfilling data, the system uses the benchmark assignment's effective date as an End Date for the assignment to reflect historic changes in the fund's benchmark assignments during the report period. If you specify a Benchmark Definition and a complete 5 year daily NAV history is not available for the profile entity, the system uses the representative fund's (that is, benchmark's) history of NAVs and/or returns to complete, or backfill, the 5 year history. Backfill processing does not complete if return data is required and you do not select the corresponding field in the PERF_SEC_RETURNS table in the PERFORM database. Other Entities. (Not used)
Use this Performance Field Used for Returns	Specifies the PERFORM database field used for backfilling returns, if necessary. You do not need to specify a value if you are reporting only on NAV data stored in the HOLDING database. If you are reporting on any returns, identify the column where you store the returns.
Number of Weekly Observations	Specifies the number of weeks to include in the volatility calculation. By default, the value is 260. You can enter a value or 52 weeks or more. The system bases the volatility calculation on this number of weeks of returns history, 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 Defining a Date Rule for SRRI Reporting.
Convert benchmark to fund base currency	Converts the weekly returns for the representative fund benchmarks of profile funds to the base currency of the profile fund for the volatility calculation.

Define a Dynamic Mutual Fund Returns Field to Calculate Volatility

Select Options in SRRI Tab

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