Calculation Toolkit: Preconfigured Components

Principal Return

The Toolkit’s Performance Portfolio Daily Calculation Field Rule also includes a Daily Principal Return field. The Principal Return field takes the change in the market value (principal market value only) minus any principal cash flows and divides it by the investment base.

The formula used in calculating Principal Return is:

Open

Income Return

The Toolkit’s Performance Portfolio Daily Calculation Field Rule also includes a Daily Income Return field. The Income Return is the calculated by dividing the change in accrued income plus the total income flows by the investment base.

The formula used in calculating the Income Return is:

Open

Local Return

The Local Return is first calculated at the security level using local market values and local cash flows. This return is then multiplied by the security’s gross investment base for the security level local contribution. This local contribution is rolled up to a total level sum and divided by the total gross investment base to achieve the total level Local Return.

Long Return

This is the daily return calculation for long positions. The Toolkit has both base currency and local currency versions.

Short Return

This is the daily return calculation for short positions. The Toolkit has both base currency and local currency versions.

Field Attributes: Standard Daily Return Checks

Check Message Field

This field checks the Daily Return Check fields for any audit failures in the performance calculation results and returns a message referencing the first failure found. The Check Message field is part of the Toolkit’s Performance Portfolio Daily Calculation Field Rule. The order of the check fields prioritizes these checks so if there are multiple failures, then the top priority check’s error message is displayed.

This field is set up as the Performance Portfolio Daily Calculation Field Rule Alphanumeric Reference field. This means any message returned is written to the Commit Journal table and displayed in any views built for that Entity, Performance Model, Frequency, and Effective Date. You can see more on the Commit Journal in the Setup and Operation section of this guide.

As part of your configuration, the check fields you include in the Performance Portfolio Daily Calculation Field Rule can be altered. Likewise the Check Message field can also easily be altered for the checks it references and the priority of the messaging.

Missing Data Check

This Return check field is part of the Toolkit’s Performance Portfolio Daily Calculation Field Rule This is a security level check that checks for any securities in the portfolio which have no cash flows and either no ending market value or no beginning market value. If this check fails, it returns a “NO”; if it passes, it returns a null. If this check is the first fail in the Check Message field, that field returns a yellow color coded error of “Missing Data”.

Extreme Return Check

The Return Check field is part of the Toolkit’s Performance Portfolio Daily Calculation Field Rule. The Extreme Return Check checks the daily gross return for a null return, a return greater than 50%, or a return less than -50%. If this check fails, it returns a “NO”; if it passes, it returns a null. If this check is the first fail in the Check Message field, that field returns an orange color coded error of “Extreme Return”. The 50% tolerance band can easily be altered during configuration.

Contribution Check

This Return check field is part of the Toolkit’s Performance Portfolio Daily Calculation Field Rule. This total level check compares the rolled up Weighted Average Gross Return of a portfolio to the portfolio’s calculated Gross Return for any difference greater than 50bps. If this check fails, it returns a “NO”; if it passes, it returns a null. If this check is the first fail in the Check Message field, that field returns a grey color coded error of “Contributions Do Not Sum”. The tolerance of 50bps can easily be altered in configuration.

Portfolio vs. Benchmark Return Check

This Return check field is part of the Toolkit’s Performance Portfolio Daily Calculation Field Rule. This is a total level check which compares the portfolio’s gross return versus its primary benchmark’s return to determine if the % difference is greater than 3%. If this check fails, it returns a “NO”; if it passes, it returns a null. If this check is the first fail in the Check Message field, that field returns a blue color coded error of “Vs. BM1 Return Failed”. The 3% tolerance band can easily be altered during configuration.

Field Attributes: Optional Daily Return Checks

Cash Return Check

This check field is part of the Toolkit’s Audit Portfolio Daily Calculation Field Rule. This security level check ensures that all cash securities in a portfolio have a 0% return by checking that the beginning market value plus total flows minus the ending market value is equal to 0. If the sum is not 0, then a “NO” is returned; if it is 0, then the field returns a null.

Gross Return vs. Net Return Check

This check field is part of the Toolkit’s Audit Portfolio Daily Calculation Field Rule. This total level check verifies that the Net of Fee Return is less than the Gross Return. If it is not, a “NO” is returned; if the check is passed, then the field returns a null.

Security Price Check

This check field is part of the Toolkit’s Audit Portfolio Daily Calculation Field Rule. This is a security level check and divides the security’s begin price by the daily change in price. This field references the security’s local price. If the percentage price change is greater than 20%, then “NO” appears at the total level; if it is not, a null is returned. 

Security Position Check

This check field is part of the Toolkit’s Audit Portfolio Daily Calculation Field Rule. This security level check verifies that all buys and sells are reflected in the ending security positions for an entity. This is done by checking that the beginning position plus buy and sell quantities equals the ending position. If not, “NO” is returned at the total level. If the check passes, a null is returned.

Return Volatility Check

This check field is part of the Toolkit’s Audit Portfolio Daily Calculation Field Rule. This total level check verifies that the difference (absolute value) between the portfolio’s daily return and the benchmark’s daily return is within 2 standard deviations of the portfolio’s mean return using a 20 day standard deviation. If the return difference is outside of that tolerance, then a “NO” is returned; if is within the tolerance, a null is returned.

Field Attributes: Monthly Calculation

Monthly from Daily Return Fields

The monthly frequency return fields are built by linking the returns committed by the Daily Performance Calculation Report for a compounded return. For each daily return field, there is a monthly return field based on it.

Monthly from Daily Cash Flow Fields

Monthly cash flow fields are built using the performance risk SUM function and sum flows for that month for the portfolio.

Monthly from Daily ABAL and Investment Base Fields

The month to date ABAL and Investment Base fields use the performance risk AVERAGE function to determine the month’s average ABAL and Investment base for the portfolio.

Monthly from Daily Beginning and Ending Market Value Fields

Monthly frequency beginning principal market value, beginning market value income, and beginning accrued income fields use a date rule to determine the first business day of the month and then display the value from that day.

Monthly frequency ending principal market value, ending market value income, and ending accrued income fields use a date rule to determine the last business day of the month and then display the value from that day.

Field Attributes: Standard Monthly Return Checks

Check Message

The Check Message field is part of the Toolkit’s Performance Portfolio Monthly from Daily Calculation Field Rule. This field checks the Monthly Return Checks included in the rule for any failures and returns a message for the first failure found. The order of the check fields prioritizes these checks so if there are multiple failures, then the top priority check’s error message is displayed.

This field is set up as the Performance Portfolio Monthly from Daily Calculation Field Rule Alphanumeric Reference field. This means any message returned is written to the Commit Journal table and displayed in any views built for that Entity, Performance Model, Frequency, and Effective Date. You can see more on the Commit Journal in the Setup and Operation section of this guide.

As part of your configuration, the check fields you include in the Performance Portfolio Monthly from Daily Calculation Field Rule can be altered. Likewise, the Check Message field can also easily be altered for the checks it references and the priority of the messaging.

Portfolio vs. Benchmark Return

This return check field is part of the Toolkit’s Performance Portfolio Monthly from Daily Calculation Field Rule. This is a total level check which compares the portfolio’s linked monthly from daily gross return versus its primary benchmark’s linked monthly from daily return to determine if the % difference is greater than 3%. If this check fails, it returns a “NO”; if it passes, the field returns a null. If this check is the first failure for the Check Message field, that field returns a blue color coded error of “Vs. BM1 Return Failed”. The 3% tolerance band can easily be altered during configuration.

Extreme Return Check

This return Check field is part of the Toolkit’s Performance Portfolio Monthly from Daily Calculation Field Rule. The Extreme Return Check checks the linked monthly from daily gross return for a null return, a return greater than 50%, or a return less than -50%. If this check fails, it returns a “NO”. If it passes, it returns a null. If this check is the first failure for the Check Message field, that field returns an orange color coded error of “Extreme Return”. The 50% tolerance band can easily be altered during configuration.