.This section provides detail on the setup of OLAP and Presentation reports.
OLAP Reports
Index Daily Return Calculation Report
The index daily return calculation reports calculate and commit daily performance data to the PERFORM database. The reports contain validation checks for complete and accurate results. The reports also pass the return and error messages to the Commit Journal in the event of a failed validation check.
The reports use the same report rules as the Portfolio Daily Return Calculation Reports. This is done with an index daily calculation field rule override and a source rule override; both are defined in the report profile. The index daily calculation differs from the portfolio calculation because it expects constituent weights and returns to be present in the holdings tables. The weighted average return is rolled-up for each level in the performance model.
There are six daily return calculation reports, one for each performance model in the Performance Toolkit, except for the Long/Short model. The six models supported for indexes are Total, Region/Country, GICS, Currency, Asset Class, and Aggregate Bond.
Index Daily Return Calculation Audit Report
The Index Daily Return Calculation Audit reports are helpful for troubleshooting issues with the daily calculation process. They contain all the calculations and checks from the Index Daily Performance Calculation reports along with additional checks for day-to-day changes.
The audit reports use the same report rules as the Portfolio Daily Return Calculation reports. This is done with an index daily audit field rule override and a source rule override; both are defined in the report profile. There is one audit report for each of the six supported performance models. The audit reports do not commit to the PERFORM database or pass results to the Commit Journal.
Index Daily to Monthly Performance Calculation Report
The Index Daily to Monthly Performance Calculation reports process the committed daily performance data, calculate monthly values, and commit monthly results back to the PERFORM tables. Like the daily return report, the returns are passed on to the Commit Journal along with any messages from failed checks.
The monthly reports use the same report rules as the Portfolio Daily Return Calculation reports. This is done with an index daily to monthly field rule override and a source rule override; both are defined in the report profile. There is one Index Daily to Monthly Calculation report for each of the six supported performance models.
Entity Description Report
The Toolkit includes an entity description report that displays the entity description fields mentioned in the Field Attributes section. This entity range report displays descriptive names for any type of entity. This capability is especially useful for custom benchmark entities for which the description is automatically built based upon the custom benchmark definition as of the report’s effective date. This report can be used to audit definitions and disclose construction of custom benchmarks.
Entity Report
The Toolkit includes an entity range audit report that can be used to verify index entity definitions that were entered by hand or through the standard Entity interface. The report displays the standard entity fields mentioned in the Field Attributes section, such as Name, Base Currency, and Inception Date.
Security Report
The Toolkit includes a securities audit report. This security single period report can be used to verify the name, identifiers (including cross reference identifiers), and standard classifications of index constituents as mentioned in the SMF field section under Field Attributes. The security report can be used to audit security data that was entered by hand or through the standard SMF interface.
Index Position Report
The Toolkit includes an index positions audit report that displays the standard index positions field attributes mentioned in the Field Attributes section. These include market value, weights, and returns. The audit report is a positions single period report that displays the fields that were loaded by the standard positions interface or calculated by an entity build for an Aggregate or Sub-portfolio entity.
The report can be used to report historical index constituents. The report can also be used to audit index holdings data, that is, rolled-up by performance calculation reports to calculate market values, weights, ABALS, and returns for performance models.
Performance Verification Reports
The Toolkit includes standard daily and monthly frequency verification reports used to verify performance data for each of the toolkit models supported for indexes. The performance data could have been calculated by an index performance calculation report or loaded directly by the standard performance interface. Additional information about these fields and verification reports is available within the Performance Calculation section of this guide.
The performance verification report also includes four sector analytics fields for Fixed Income Attribution. These are the Yield Curve ID, Effective Yield, Effective Duration, and Effective Convexity that can be loaded by the standard performance interface. These fields are described within the Performance Attribution section of this guide.
Performance Query Tool Views
The Toolkit provides daily and monthly frequency Query Tool views for each performance model. The views allow a time-series review of returns and performance data for the current month-to-date. The same views are used for both Index and Portfolios; these views are described within the Performance Calculation section of this guide.
Index Toolkit: Presentation Reports
The Performance Toolkit includes a range of presentation reports that read data stored in Data Mart, can be branded with your company’s logo and color scheme, and can be combined together to create report packages.
There are no presentation reports specific to Indexes; however, many of the reports summarized in the Reporting and Attribution Toolkit sections may be run for indexes. The most relevant reports are typically those for Allocation, Performance, and Contribution to Return that do not require a benchmark.
Report examples include: Biggest Bets, Allocation Change, and Performance Summary reports.
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