Define Statistical Operations

Rolling Operations

Geometric Compound

(1 + C) = (1+ A) * (1 + B)… (1 + N)

For example, rolling 3-month return.

The Geometric Compound Operation is the only operation where the percentage values retrieved from the database are first converted into growth rates, then this formula is applied and the result is converted back to percentage.

For annualizing, the query uses a day count of 365 for daily frequency or if business calendar is not used, and 366 if the actual number of intervening days between begin and end date contain 29th of February.

Annualized Return = ( ( (linked growth rates) raised to (exponent) ) - 1 ) * 100

Daily frequency or non-business calendar exponent = 365 or 366 / actual number of days)

Weekly frequency exponent = ( 52 / actual number of weeks)

Monthly frequency exponent = ( 12 / actual number of months)

Quarterly frequency exponent = ( 4 / actual number of quarters)

Subperiod frequency = 365 or 366 / actual number of days)

This is consistent with the way annualization is performed in the Performance Analysis reports.

Lag Percent Change

C =((A – AN Periods Ago)/ AN Periods Ago)*100

For example, percent change in market value vs. market value one quarter before

Maximum

Max(A)

For example, largest return over the period.

Minimum

Min(A)

For example, smallest return observed over the period.

Average

Mean(A, B, C)

For example, arithmetic average return, or average daily net assets.

Standard Deviation

Stdevp(A, B, C)

For example, standard deviation of 3-years of monthly returns.

Sum

Sum (A, B, C)

For example, sum of the monthly income distributions.

Growth of Dollar

The Growth of a Dollar Operation has a Configurable Base Value.

Series Derivation Operations

Addition

C = A + B

For example, market value + accrued income.

Difference

C = A – B

For example, Fund Return – Index Return

Geometric Compound

(1 + C) = (1+ A) * (1 + B)

For example, fund return – benchmark return

Geometric Difference

Calculates a single period return that reconciles the difference between the compound to date returns. It is the ratio of growth rates converted back to percentage rates.

Natural Log

C = LN(A)

For example, continuously compounded return. For adding returns over time.

The percentage value stored in the database is first converted to growth rate. If this growth rate is positive, only then natural log operation is performed.

Ratio

C = A/B