Set Up Data for SRRI Reporting

Benchmark Definitions

Select a Benchmark Definition you plan to use for identifying representative funds for backfilling returns history purposes, or create a new Benchmark Definition for this purpose.
For example, you can use the Primary Comparison Index, Secondary Comparison Index, or Comparison Index 3 to identify the representative fund during processing. For more information about Benchmark Definitions, see Manage Benchmarks.

Benchmarks

Create the entities for the benchmarks used as representative funds. The system can use these benchmarks to backfill the fund's return history if returns for that fund are not available during all or some of the 5 year reporting period. The entity assigned as a benchmark can be the parent fund, share class, benchmark, or another fund.

When you set up benchmarks, consider that the five year period can begin prior to the fund's Inception Date. In this case, you must have the representative fund or funds' entity Id(s) defined historically back to the beginning of the five year period. For more information about benchmark setup, see Manage Benchmarks.

Benchmark Assignments

Assign benchmarks to the funds using the appropriate Benchmark Definition. You must create a benchmark assignment with an effective date that represents the transitions from a representative fund to another representative fund. The effective date of the most recent representative fund indicates the transition to the fund specified in the report profile. Ensure you have the representative fund(s) assigned as benchmarks historically back to at least the beginning of the five year period.

You can make representative fund assignments on any day of the week. However, if an assignment occurs in the middle of a week, the entity assigned as of the begin date of a given week is used for that weekly return calculation. If the five year history begins prior to the fund's inception date, the system can use the representative fund to backfill the period back to the beginning of the five year period.

NAV and Returns Data

Ensure that you have the appropriate historical NAV and returns data loaded for the funds and representative funds used in SRRI reporting.

The system uses the daily NAVs stored in the NAV table in the HOLDING database to complete the five year return history for the funds and/or representative funds on which you are reporting. If daily NAVs are not available and you specify a field in PERF_SEC_RETURNS table in the PERFORM database in the calculation field, it can use returns for representative funds.

Using the Convert Benchmark to Portfolio Base Currency' Option for SRRI

In the Dynamic Mutual Fund Returns field, the Category (SRRI) and Effect (Volatility) field configuration supports the FX conversion logic supported with the 'Convert benchmark to portfolio base currency' option. This hard-coded logic in the Dynamic Mutual Fund Returns field automatically converts the weekly returns for representative fund benchmarks of the profile funds to the base currency of the profile fund for the volatility calculation. It ignores the option located in the Advanced Options in the Performance Analysis report profile.

Performance Analysis leverages the Advanced Options in the profile to automatically go back 'X' number of days from the given Begin or End date to fetch a given FX rate if it is missing. Additionally, it automatically performs the conversion in the Dynamic NAV Returns report type. This facilitates automatically converting the weekly returns for representative fund benchmarks of the profile funds to the base currency of the profile fund for the volatility calculation, and the option to commit it to the database.

With the Convert benchmark to portfolio base currency logic hardcoded in the field, three additional steps will be invoked during the data fetch process if the fund requires representative funds to backfill the history:

1. Fetch the base currency for each representative fund used in the date range, as well as the base currency of the profile fund from the ENTITY table in the same manner currently done in Performance Analysis code.

2. Determine if the base currency of a representative fund is a different currency than the profile fund.

3. Fetch the appropriate exchange rates in the same manner as is currently done in Performance Analysis code.

4. Calculate the weekly returns in the local currency for the representative funds as is done in the current process.

5. Determine the Begin and End dates for each week for the FX returns.
   Apply the dates that were determined during the current calculation process.

6. Determine the FX rate source.
   The query uses the Foreign Exchange source selected in in the Source Rule in the Performance Analysis Report Rule.

7. Query for FX rates.
   The appropriate FX rates must correspond to the representative fund currency used for each week. The process should also leverage the Advanced Options in the profile to automatically go back 'x' number of days from the given Begin or End date to fetch a given FX rate if it is missing.

8. Calculate the appropriate weekly FX returns.

9. Geometrically link the weekly return of the representative fund with the corresponding weekly FX return to calculate the currency converted weekly return.

10. Calculate the volatility based on the currency converted weekly returns.