Manage Portfolio Turnover Exclude Rules
- Nancy Cohn (Deactivated)
You can define a group of portfolio turnover exclude rules to filter the information used by the Portfolio Turnover reports and market value calculations. You can create portfolio turnover exclude rules based on criteria such as processing security type/security type, security type, transaction message type/subtype, broker, primary asset ID, and long/short positions.
After you create the rules, you can link the group to specific portfolio and master fund entities. You can also specify use of a group of portfolio turnover exclusion rules when you run a portfolio turnover report or market value calculations.
You can define a portfolio turnover group name at the entity level only if you need a single rule profile to calculate and run the entity's portfolio turnover calculation and report details. If you need multiple portfolio turnover calculations based on different rule setups, do not define a Group Name at the entity level. Instead, you can define a Group Name for the Portfolio Turnover report profile.
Create Portfolio Turnover Exclude Rules
Portfolio Turnover exclude rules allow you to filter the Eagle data warehouse holdings and transactions used for Portfolio Turnover reporting, including the calculation of monthly market value averages. You can set up a group of exclude rules in Eagle Accounting and then set the portfolio entity or the master fund entity to reference this group.
To set up a group of Portfolio Turnover exclude rules:
In Accounting Center, in the left navigation pane, click Reports > Compliance Reports > Portfolio Turnover > Create Portfolio Turnover Exclude Rules.
You see the Create Portfolio Turnover Exclude Rules panel.Click the Group Name box and select the name of the group.
You must use a value already stored on the Code Values table under code category, PTGROUP.Complete the options on the Create Portfolio Turnover Exclude Rules panel.
Click Submit.
Repeat this procedure for each exclude rule you want to add to the group.
Create Portfolio Turnover Exclude Rules Panel Options
A definition of the options on the Create Portfolio Turnover Exclude Rules panel follows.
Option | Tag | Description |
|---|---|---|
Add Portfolio Turnover Exclude Rules |
|
|
Group Name | 5336 | Specifies the group for this exclude rule. You must use a value listed in the Code Values table under code category PTGROUP. You can add additional values for code category PTGROUP and source Eagle PACE using the Codes workspace. |
Turnover Exclude Type | 10487 | Specifies the filter type to use for excluding records. You see additional fields depending on your selection. Options include:
|
Turnover Exclude Type Value | 10489 | Specifies the value for the filter exclude type. To use this option, you must select Process Security Type or Primary Asset ID as your turnover exclusion type. For example, EQCSCS if you exclude by processing security type, or 1234567V1 if you exclude by primary asset ID. |
Turnover Exclude Subtype | 10488 | Specifies the value for the filter subtype. To use this option, you must select Process Security Type as your turnover exclusion type. For example, if you exclude a EQCSCS processing security type and security type combination, you can specify the security type, COMMON. |
Turnover Exclude Subtype | 7000 | Specifies the filter subtype to use for excluding message type records. To use this option, you must select Security Type or Message Type as your turnover exclusion type. For example, you can filter by the security type, COMMON. Or you can filter messages by several subtypes, including MTOPEN, MTACTION, MTCLOSE, MTADJUST, and MTCASH. |
Turnover Exclude Subtype Value | 10490 | Specifies the value for the filter type and subtype combination. To use this option, you must select Security Type or Message Type as your turnover exclusion type. For example, you can exclude the security type, COMMON. Or you can exclude the BUY sub message type for MTOPEN message type records. |
Broker Name | 1235 | Specifies the broker name to use for excluding records. To use this option, you must select Broker as your turnover exclusion type. |
Broker Code | 88 | Specifies the broker code to use for excluding records. To use this option, you must select Broker as your turnover exclusion type. |
Exclude from Market Value | 7006 | Indicates whether to filter report results for the Portfolio Turnover Summary, Monthly Market Value, and Market Value Detail reports. Options include Yes (Default) and No. |
Exclude from Trade | 7007 | Indicates whether to filter report results for the Portfolio Turnover Trade Detail report. Options include Yes (Default) and No. |
Exclude Long/Short Position | 7008 | Indicates whether to filter report results for long positions or short positions. Options include:
|
Report End Date | 221 | Specifies the ending date for your report results. |
Assign Portfolio Turnover Exclude Rules to an Entity
You can assign the group of portfolio turnover exclude rules to your portfolio entity and master fund entity for Portfolio Turnover reporting. You can assign rules at the entity level or at the report profile level.
The following defines the option on the Create/Edit Entity panel and the Create Master Fund panel that assigns a group of exclude rules to an entity.
Group Name (tag 5336). Specifies the group name of the Portfolio Turnover reporting rules used to exclude transactions from the Portfolio Turnover reports for the entity. You can add additional code values using the Codes workspace for the PTGROUP code category under the source Eagle PACE, and then use the Portfolio Turnover Exclude Rules panels to manage the transactions to exclude for this group. If you do not specify a group name, the system uses portfolio turnover exclude rules that are not assigned to a group. Define a portfolio turnover group name at the entity level only if you need a single rule profile to calculate and run the entity's portfolio turnover calculation and report details. If you need multiple portfolio turnover calculations based on different rule setups, you can define a Group Name for the Portfolio Turnover report profile.