Choose an Approach for Calculate Monthly Returns
- Tom Fahey (Unlicensed)
- Jacob Mathews (Deactivated)
Several approaches are available for calculating monthly returns and related performance data. The following table compares these approaches, so you can choose the one that best fits your organization's needs.
Column A represents the Daily from Monthly method described in Calculate Monthly Returns from Daily Returns. Columns B and C use the Modified Dietz calculation described in Calculate Monthly Returns with Modified Dietz fields. Column D represents the Multiperiod Performance Calculator method described in Use the MPC to Calculate Monthly Returns.
Performance Returns Report (PerfCalc) | Monthly Using Multiperiod Performance Calculator (not recommended) | |||||
|---|---|---|---|---|---|---|
A. Monthly from Daily with Field Rule Override and Source Rule Override | D. Monthly from Daily | C. Monthly using Modified Dietz and Significant Cash Flow Processing | D. Monthly from Daily | |||
I want to calculate | ||||||
Daily and monthly returns | Recommended | N/A | N/A | Not Recommended | ||
Monthly returns only and do not have daily valuations | N/A | Recommended | N/A | N/A | ||
Monthly returns only and have valuations on large cash flow dates | N/A | N/A | Recommended | N/A | ||
Down to the | ||||||
Rollup levels only | Recommended | Recommended | Recommended | Not recommended | ||
Security level | Recommended | Recommended | Recommended | N/A | ||
With As Of Processing | ||||||
Monthly record automatically updated when holdings change | N/A | Recommended with Process Manager | Recommended with Process Manager | N/A | ||
Monthly record automatically updated when performance changes | Recommended with Process Manager | N/A | N/A | Not recommended | ||
Using the field | ||||||
Monthly calculation field type | Month-to-Date Performance Link Analysis | Modified Dietz | Modified Dietz | Derived Frequency Multiperiod Performance Calculation (MPC) field |