Define a Dynamic Mutual Fund Returns Field to Calculate Value at Risk (VaR) Based Volatility

You can define a Dynamic Mutual Fund Returns field to calculate the Value at Risk (VaR) based volatility of a fund for use in SRRI reporting. You can use the options in the SRRI tab to support backfilling of data.

To define a Value at Risk based Volatility calculation for use in SRRI reporting:

1. In the Dynamic Mutual Fund Returns field, under Effect, set Category to SRRI and Effect to VaR Volatility.

2. Select the appropriate parameters in the Return Type and Processing Options areas.

3. 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 Define a Date Rule for SRRI Reporting.

4. Click the Advanced button, and then click the SRRI tab.
   You see the SRRI tab.

5. Specify the SRRI options for the field.
   For more information, see Select Options in SRRI Tab.

6. 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. Specify the Benchmark Definition to use for backfilling returns history in the SRRI tab.

7. Click OK.

Select Options in SRRI Tab

The following table describes each option for the SRRI tab in the Dynamic Mutual Fund Returns field when calculating VaR Volatility. You must populate all options in this field with a value before you can save it.