Monthly GIPS Calculation Setup

Owned by Pamela Totas (Deactivated), created
Last updated: Mar 05, 2024
3 min read

This section describes how to set up monthly GIPS composite calculation reports.

To set up monthly GIPS composite calculation reports:

1.Copy and Configure Monthly GIPS Calculation Reports. Perform the following tasks for your monthly GIPS composite calculation reports:

  • Copy Report Profiles for Monthly Calculations. Make copies and rename the Performance Calculation report profiles used for composites that you plan to use for your performance workflow. You can use the renamed versions of your monthly calculation reports in Process Manager to run your workflow. For example, you can run a Composite Weighted Returns report at month end to calculate asset-weighted returns for GIPS composites or can run a Performance Returns report profile to calculate aggregate-method returns for composites. This is the same report used to calculate single-period returns for portfolios.

You copy reports to avoid issues when new versions of the reports are distributed with the Toolkit in the future. When you rename the reports, it can be helpful to use a consistent naming convention to identify all Process Manager calculation reports, such as a prefix of PM. For a description of available reports, see the Preconfigured Components section of this chapter.

  • Identify Date Rule. In each monthly calculation report profile you plan to use, edit the Monthly Profile Period Option (Between Date Rule).

Your monthly calculation profiles need a specific date rule for the monthly workflow. This date period is a “between” date period using a date rule which sets the start date to -1 month end uses the Business calendar. This returns the previous month end as your profile’s start date. 

  • Maintain Your Results Queue. In the Performance Calculation report profile you are using for your monthly GIPS composite calculations, select the Report Options dialog box, and:

    • Select the Do Not Return the Result when submitted check box from the profile options. This keeps your results queue from filling up during your month end process.

    • Clear the Do Not generate the Result when submitted check box, or confirm that it is not selected. For more information, see  Performance Calculation.

2. Create Monthly GIPS Calculation Workflow. Use Process Manager to create monthly workflows for GIPS composite calculations as follows:

  • Create a workflow for your monthly GIPS composite calculation. For example:

    • Monthly Calculation GIPS Workflow

  • In the Workflow Definition tab, the workflow has a Type of Static.

  • In the Workflow Definition tab, ensure that each date range is set to pass the current day as the effective date to each profile. Eagle recommends that you select a (first) date rule, select the Adjust Effective dates using the Date Rule check box, and assign a (second) adjuster date rule in which you set both the Adjust to start date and end date to a value of Month End.

  • In the Run Groups tab, for each workflow, select the Performance Calculation report profiles you wish to run for the entity LIST selected for that workflow. For example, select a PACE Event of Performance Calculation – CWR-MonthlyCompCalc.

  • In the Entities tab, associate the LIST type entity for GIPS composites for the workflow.

  • In the Schedules tab, do not add a schedule, or if one exists, be sure to clear the Enable this Schedule check box. This allows the Event manager to control when the workflow is kicked off. For more information, see the Process Manager User Guide.

3. Schedule Monthly GIPS Calculation Workflow. If you have not already done so, use Data Steward’s Maintain Events window to create a monthly event package with the monthly GIPS calculation workflows and schedule it as a monthly event to run on every calendar month end.

If you previously set up other toolkits, you created a monthly event package that includes monthly workflows for committing benchmark and constituent level returns, and creating performance data in Data Mart. In that case, edit the monthly event package to add the monthly GIPS calculation workflow to the Event Package Options page. When you add the monthly GIPS calculation workflow, ensure that you define the Group Run Order column to run the GIPS workflow after the benchmark and portfolio calculation workflows and prior to running any Data Mart (DM) workflows.

4. (Optional) Create Commit Journal Views. The Commit Journal helps you to monitor your Performance workflow. You can create Commit Journal views to review composite calculations.