Calculate Monthly Returns from Daily Returns
- Tom Fahey (Unlicensed)
- Jacob Mathews (Deactivated)
You can use the Performance Calculation report to calculate and commit daily performance data, and use a second Performance Calculation report to calculate and commit monthly performance data by linking together the daily returns. The Performance Calculation report uses the daily data stored in the PERFORM database, just as the Performance Analysis report does.
This approach has several advantages over other monthly approaches, because it allows you to create monthly records down to the security level whether or not positions and cash activity for all entities in the report are available. You can use this approach under the following scenarios:
Benchmarks Below Total Level. Calculations below the Total level for benchmarks (entity type of INDX), even when holdings information for benchmarks is not available. You can load benchmark performance data at the security level, and maintain it to reflect any security/sector changes.
Blended Custom Benchmarks. Security level calculations for blended type custom benchmarks (entity type of CIDX), even when no holdings information for benchmark entities is available. For example, you build a Custom Blended Benchmark down to the security level for every business day during the month. You need to create monthly records to use as the input into a risk statistic that uses monthly observations.
Months that Start and End on Weekends. Assume you create monthly records from daily records down to the security level. One month has both a weekend start date and a weekend stop date. Calculating monthly returns allows you to link daily data successfully.
After you use the Performance Calculation report to calculate and commit daily and monthly returns, an underlying daily return can change. You can set up the Process Manager to automatically update the monthly records to reflect ongoing changes to the underlying daily records.