Retail Fund Toolkit Ad Hoc Analysis
- Pamela Totas (Deactivated)
The Toolkit includes a variety of other reports that are not necessarily tied to a specific frequency. The reports can be run at any time for any fund(s) for any date. These reports calculate returns dynamically “on the fly” using the “latest greatest” fund accounting data stored in the system. By default, these reports do not commit results to the PERFORM database. Therefore they are not able to be shown in Query Tool “trend” reports. If necessary, any report below (listed as a Dynamic NAV Returns report) can be copied and modified by the client so that it commits results to the database.
A complete inventory of reports is included at the end of this document. Noteworthy solutions include:
Performance Audit
This is an advanced report (eglAdvMFP-PerfAudit) that shows exactly how Eagle calculated a return. It shows the initial “buy in,” all reinvestment activity, and the final valuation. The report can be run either on a load or no load basis and can be based on NAV or Market Price. There are three versions of this report: a semi-annual (rolling 6 months) audit, an annual (rolling 12 months) audit, or an ad hoc period. The report is net of fee and pre tax only.
Price Analysis
This is an advanced report (eglAdvMFP-PrAn) that provides a month by month analysis of a fund’s price movement. Unlike the NAV Query report which lists every NAV record for a given date range, this report summarizes each month on a line by line basis. For example, a 1 year NAV Query would show you 365 lines (useful for certain analysis). The price analysis report, by contrast, would have 12 lines, one for each month, showing the price as of the start and end date of each month as well as the high and low price and its observation date for that month. The report can be run at NAV or at market price, it can optionally display distributions and/or a return for each month, it can show either raw or split adjusted values and can optionally overlay scrubbed fund accounting data. There are 11 variations based on period (Rolling 3, 6, 12 months and ITD) and information displayed (price only, price and distribution only and prices distributions and monthly returns*).
Monthly returns view is not available for ITD report
Performance for an Ad Hoc User Defined Period
The Toolkit includes a performance analysis report (eglMFP AdHocPerf) that allows a user to input any custom performance period (user sets the start and end date of the required period directly in the profile). The dates are used to calculate various returns (load, no load, gross of expense, and so on) as well as referential statistics such as; start and end date of the period, starting and ending NAV, and cumulative distributions for the period.
Closed End Fund Performance
The Toolkit includes a Dynamic NAV Returns report (eglDNR-ClosedEndPerf) that calculates several variations of returns for closed end funds. The report includes several standard periods. Then, for each period, there are 3 distinct “flavors” of performance shown side by side:
The At NAV version uses the NAV for a) the initial purchase, b) all reinvestment activity as well as c) the final valuation.
The At Market Actual version uses the market price for all three activities.
The At Market Estimate version uses the market price for the initial purchase and final valuation. However, the reinvestment activity is pegged to the NAV.
Note that if these assumptions do not meet your exact requirements for closed end performance, it is very easy to customize Eagle to use any stored price for each of the three performance activities (buy, reinvest, sell). For example, you can use the “lower of NAV or Market Price” for reinvest activity (value is derived and stored by the NAV interface for closed end funds). Similarly, if you need to use the actual reinvest price that was recognized in the market during the reinvestment process, you can customize the return calculation by using the price override feature.
Load Versus No Load
The Toolkit includes Dynamic NAV Returns reports for a) no load performance for standard periods (eglDNR-NoLoadPerf), b) load adjusted for standard periods (eglDNR-LoadAdjustedPerf), as well as c) a report that shows the no load and load adjusted returns side by side (eglDNR-LoadImpact) for standard periods. It even shows the calculated difference between the two.
Pre Tax, Post Tax and Post Liquidation
The Toolkit includes a Dynamic NAV Returns report (eglDNR-AnnRptPrePostTaxPerf) that shows the pre tax, post tax, and post liquidation returns for the 1, 5, 10 year, and ITD periods. The returns mimic annual report requirements and are load adjusted, taxed by the maximum applicable tax rate and annualized where applicable.
Non Standard Performance
The Toolkit includes Dynamic NAV Returns reports that calculate synthetic returns for standard periods (eglDNR-NonStd (Synthetic) Perf). It also has a report for convertible class returns (eglDNR-ConvertiblePerf). Note that these return types may require that you reset the default system settings to meet your particular requirements. For more information on the system settings as they relate to synthetic and convertible processing, refer to the Retail Fund Performance Configuration Guide.
Price Only Performance
The Toolkit includes a Dynamic NAV Returns report (eglDNR-PriceOnlyPerf) that calculates a price only return for several standard periods. Price only returns refers to returns that ignore all distribution types and only measures the impact of changes in the price over time. Clients should confirm that this methodology is in line with your definition for “price only performance”.
Annual Return Decomposition
The Toolkit includes a Dynamic NAV Returns report that decomposes a fund for a rolling 1 year period (eglDNR-Rolling1YearDecompositionPerf). This is different from the performance audit report noted above. While the advanced report above shows the activity steps of a return calculation, this report shows:
14 different 1 year returns including: load/no load, gross, gross of expense and net of waiver, convertible, 5 variations of a synthetic returns, at market price (actual and estimate), and post tax and post liquidation.
The current NAV and NAV and offer price as of 1 year ago.
The highest and lowest NAV for the entire 1 year period including the observation dates.
The dollar amount of the calculated CDSC load and redemption fee associated with the 1 year load adjusted return (when applicable).
The sum of all income type distributions for the 1 year period.
The sum of all capital gain type distribution distributions for the 1 year period.
The initial starting value as well as the calculated end value at the end of the 1 year period (for both a no load and load adjusted basis).
The summed value over the one year period for:
The dollar amount of all subscriptions
The number of shares subscribed
The dollar value of all redemptions
The number of shared redeemed
Note that the Toolkit includes this analysis for a 1 year period. You can easily replicate this type of analysis for any given period using the copy/edit/rename process.
Fund Versus Benchmark
The Toolkit includes a Dynamic NAV Returns report (eglDNR-RetailFundVsBenchmarkPerf) that calculates and displays performance for standard periods for both a fund and its primary benchmark. The benchmark returns in this report are based on the NAV method and require that the benchmark have its daily unit price loaded to the NAV table. An alternative approach would include constructing a performance analysis report where the funds use the NAV method and the benchmarks used linked sub period returns. Requirements and source data vary greatly from client to client, so there is no recommended best practice. Eagle clients need to decide which approach fits their needs. If the NAV approach for benchmarks prevails, this report can be used as is.
Review Entity Characteristics
The Toolkit includes an Entity Range report (eglMFP – Entity) that displays a variety of fund characteristics for a list of funds. This report can be used when you want to review the characteristics of several funds at the same time. If you need to do detailed historical analysis or data maintenance on a fund (one fund at a time), you should use Entity Maintenance.
Periodic Maintenance
Note the following tasks that may need planned periodic maintenance.
Business Calendar
The NAV interface creates non business day records and (optionally) spreads multi day income factors across weekends and holidays. This requires that any calendar associated to a fund (meaning the calendar instance is set as a fund’s MFP Spread Calendar) must be pre-populated with respect to business versus non business days.
A hint follows. On occasion, unforeseen circumstances can lead to unexpected market closings. Recent examples of this include the 9/11 tragedy and the death of former President Ford. In each case, the market was shut down for a day or days that were previously expected to be normal business days. Since you are pre-populating the calendars in advance, you may need to proactively manage your calendars in the event of an unplanned market closing.
Tax Rates
Tax rates only need to be maintained if there is a rate change or a material alteration to what constitutes short versus long term. The Eagle system has a tax rate maintenance facility for creating and modifying tax rate data. This allows you to continue to use the system after a rate change without having to wait for a new release of software.
Entity Maintenance
Over the course of time, characteristics related to a fund can change over time. It is important to maintain the historical progress of a fund’s characteristics. One of the key components as it related to retail performance is a fund’s annual expense ratio. While a fund’s load structure or taxability status may never change, the annual expense ratio changes frequently (approximately once a year). Gross performance and expense adjusted synthetic returns rely on this value, so care must be taken to maintain it on a timely basis.