Calculation Rules for Constituent Member Data

The calculation rules that apply to Stored Composite data are:

• Linking Member Entity Returns. For many of the Composite Dispersion statistics, the program must first calculate a linked return for each member portfolio to use in the calculation of the statistics for each date rule. If any of the sub-period returns are missing for a member entity in a date rule period the following process is performed based on the option set in the profile:

  • Option a. The available member entity's returns found for the date rule period are linked together and used in the statistic calculation.

  • Option b. If at least one return is not available for a member entity for the date rule period, then that entity's linked return result is N/A and the statistics depending on that linked return's result also return's N/A.

• Member Entity Weighting information not available. Many Composite Dispersion statistics requires a weighting factor in the calculation. If at least one member entity does not have a weight value available for the given date rule period, the following process is performed based on the option set in the profile:

  • Option a. The entity is excluded entirely from the statistic calculation and a result based on the other member entities is calculated. This only affects the statistic fields requiring a weighting factor and is mutually exclusive of other statistics that do not require weights in their calculation. Those other fields still include the entities where appropriate (that is, High return still includes the entity if the return data is available).

  • Option b. Return an N/A for the statistic result.

• Single Period Return information not available. If a Composite Dispersion statistic requires a return value for each member entity and it is a single period date rule and at least one member entity is missing a return value for the period, the following process is performed based on the option set in the profile:

  • Option a. The entity is excluded entirely from the statistic calculation and a result based on the other member entities is calculated. This only affects the statistic fields requiring a return value and is mutually exclusive of other statistics that do not require a return value in their calculation. Those other fields still include the entities where appropriate (that is, High Market Value still is presented if available).

  • Option b. Return an N/A for the statistic result.

• Value information not available. If the Composite Dispersion statistic requires a value for the calculation (that is, High Ending Market Value) and at least one member entity is missing that value for the date rule period, the following process is performed based on the option set in the profile:

  • Option a. The entity is excluded entirely from the statistic calculation and a result based on the other member entities is calculated.

  • Option b. Return an N/A for the statistic result.