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The following table is an overview of each field you can configure and include in Composite Analysis reports. Any field that requires constituent data is affected by the Enumerate Composite feature (denoted with an asterisk below). For those fields, if the Enumerate Composite option:

  • Is selected, then process looks through to the lowest level in the composite entity structure and uses the final constituent entity list in doing the calculations.

  • Is not selected, it looks up the composite's direct constituents at the top level as stored on the ENTITY_RANGE_DETAILS table.

    Composite Analysis Report Field

    Description of Field Process

    Data Inputs

    Asset Weighted Return*

    This field gathers the returns and weights of the constituents in the composite for each time period and calculates, on the fly, linked constituents' returns and then uses them in calculating an asset weighted composite return.

    Performance Field Attributes where the return and weight data of the constituents' is stored

    Asset Weighted Standard Deviation*

    This field gathers the returns and weights of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns, an asset weighted composite return and then uses them in calculating the Asset Weighted Standard Deviation.

    Performance Field Attributes where the return and weight data of the constituents' is stored

    Begin Benchmark Value

    This field fetches non-return Benchmark data from PERF_SEC_RETURNS, such as Market Value, as of the Beginning of each time period in the report for the Composite's assigned benchmarks.

    Performance Field Attribute where the Benchmark data is stored and the Benchmark entity info (primary, secondary, and so on)

    Begin Composite Data

    This field fetches non-return Composite data from PERF_SEC_RETURNS, such as Market Value, as of the Beginning of each time period in the report.

    Performance Field Attribute where the Composite data is stored

    Begin Value*

    This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the beginning of the time period and calculates, on the fly, the Composite value by summing the constituent's values.

    Performance Field Attribute where the constituent data is stored

    Benchmark Name

    This field fetches the benchmark name from the ENTITY table for the Composite's assigned benchmarks.

    Entity field attribute where the benchmark name is stored and the Benchmark Entity info (primary, secondary, and so on)

    Benchmark Return

    This field fetches the benchmark's return data and links it for each time period in the report for the Composite's assigned benchmarks. 
    For a sample field and setup options for linking benchmark assignments, see the GIPS Composite Management Configuration Guide.

    Performance Field Attribute where the Benchmark return is stored and the Benchmark entity info (primary, secondary, and so on)

    Benchmark Value

    This field fetches non-return Benchmark data from PERF_SEC_RETURNS, such as Market Value, as of the End of each time period in the report for the Composite's assigned benchmarks.

    Performance Field Attribute where the Benchmark data is stored and the Benchmark entity info (primary, secondary, and so on)

    Best Quartile/Decile/ Percentile

    This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns and then uses them in calculating the Best Quartile/Decile/Percentile for each time period.

    Performance Field Attributes where the return data of the constituents' is stored.

    Composite Data

    This field fetches non-return Composite data from PERF_SEC_RETURNS, such as Market Value, as of the End of each time period in the report.

    Performance Field Attribute where the Composite data is stored

    Composite Return

    This field fetches the Composite's return data from PERF_SEC_RETURNS and links it for each time period in the report.

    Performance Field Attribute where the Composite return data is stored

    End Value

    This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the end of the time period and calculates, on the fly, the Composite value by summing the constituent's values.

    Performance Field Attribute where the Constituent data is stored

    Equal Weighted Return

    This field gathers the returns of the constituents in the composite for each time period and calculates, on the fly, linked constituents' returns that are then used to derive an equal weighted (mean) composite return.

    Performance Field Attributes where the return data of the constituents' is stored.

    Equal Weighted ..Standard Deviation

    This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns, an equal weighted composite return and then uses them in calculating the Equal Weighted Standard Deviation for each time period.

    Performance Field Attributes where the return and weight data of the constituents' is stored

    Firm Assets

    This field retrieves the Firm Assets amount for the Firm associated with the composite. If you report on Firm AUM based on:

  • Performance data, this field identifies the Firm associated with the composite and retrieves the Firm Assets amount stored historically for the related Firm in the Performance tables.
  • Entity data, this field identifies the Firm associated with the composite and retrieves the Firm Assets amount stored historically for the related Firm in the ENTITY or ENTITY_EXTENSION table.

  • Client data, this field identifies the Firm associated with the composite and retrieves the Firm Assets amount stored for the related Firm in the CLIENT table.

    For more information, see Reporting on Firm AUM in GIPS Composite Management Configuration, Entity Field Attribute that stores the Firm associated with the constituent composite 
    Performance Field Attribute Entity Field Attribute, or Client Detail Field Attribute where you store the Firm's Firm Assets amount.

    Highest Begin Value

    This field gathers the non-return values, such as Market Value, of the constituents in the composite for each time period, as of the begin of the time period and reports the Highest value.

    Performance Field Attribute where the constituent data is stored

    Highest Return

    This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns that are then used to derive and report the Highest return value.

    Performance Field Attribute where the constituent return data is stored

    Highest Value

    This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the end of the time period and reports the Highest value.

    Performance Field Attribute where the constituent data is stored

    Lowest Begin Value

    This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the begin of the time period and reports the Lowest value.

    Performance Field Attribute where the constituent data is stored

    Lowest Return

    This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns that are then used to derive and report the Lowest return value.

    Performance Field Attribute where the constituent return data is stored

    Lowest Value

    This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the end of the time period and reports the Lowest value.

    Performance Field Attribute where the constituent data is stored

    Mean Begin Value

    This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the begin of the time period and reports the Mean value.

    Performance Field Attribute where the constituent data is stored

    Mean Value

    This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the end of the time period and reports the Mean value.

    Performance Field Attribute where the constituent data is stored

    Median Begin Value

    This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the begin of the time period and reports the Median value.

    Performance Field Attribute where the constituent data is stored

    Median Return

    This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns that are then used to derive and report the Median return value.

    Performance Field Attribute where the constituent return data is stored

    Median Value

    This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the end of the time period and reports the Median value.

    Performance Field Attribute where the constituent detail is stored

    Percentage of Firm Assets

    This field calculates the Composite % of Firm Assets for the composite. If you report on Firm AUM based on:

  • Performance data, this field identifies the Firm associated with the composite, retrieves the Firm Assets amount stored historically for the related Firm in the Performance tables, and retrieves the Composite Market Value stored in the Performance tables.
  • Entity data, this field identifies the Firm associated with the composite, retrieves the Firm Assets amount stored historically for the related Firm in the ENTITY or ENTITY_EXTENSION table, and retrieves the Composite Market Value stored in the Performance tables.

  • Client data, this field identifies the Firm associated with the composite, retrieves the Firm Assets amount stored for the related Firm in the CLIENT table, and retrieves the Composite Market Value stored in the Performance tables.

    For more information, see Reporting on Firm AUM in GIPS Composite Management Configuration, Entity Field Attribute that stores the Firm associated with the composite 
    Performance Field Attribute Entity Field Attribute, or Client Detail Field Attribute where you store the Firm's Firm Assets amount, or Performance Field Attribute where you store the composite data|

    Portfolios Added

    This field calculates the number of constituents that were added to the composite during each time period.

    None

    Portfolios at Begin of Period

    This field calculates the number of constituents that were in the composite as of the beginning of each time period.

    None

    Portfolios at End of Period

    This field calculates the number of constituents that were in the composite as of the end of each time period.

    None

    Portfolios in Period

    This field calculates the number of constituents that were in the composite for the entire time period.

    None

    Portfolios Removed

    This field calculates the number of constituents that were removed from the composite during each time period.

    None

    Quartile Dollar Dispersion (Best)

    This field gathers the weights and returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns and then uses them in calculating the Best Quartile Dollar Dispersion for each time period.

    Performance Field Attributes where the return and weight data of the constituents is stored

    Quartile Dollar Dispersion (Worst)

    This field gathers the weights and returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns and then uses them in calculating the Worst Quartile Dollar Dispersion for each time period.

    Performance Field Attributes where the return and weight data of the constituents is stored

    Worst Quartile/Decile/ Percentile

    This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns and then uses them in calculating the Worst Quartile/Decile/Percentile for each time period.

    Performance Field Attributes where the return data of the constituents is stored

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