This section provides details on Field Attributes and OLAP Reports.
Field Attributes: Daily Return Calculation
Gross Return
The Toolkit’s Performance Portfolio Daily Calculation Field Rule includes the daily Gross Return field.
Net Return
The Toolkit’s Portfolio Daily Calculation Field Rule includes the daily Net Return field.
The Net Return first checks the entity for a model fee. If the entity has model fee then the net return is equal to the gross return minus that model fee. If no model fee is on the entity then the net return is a return calculation which uses a separate set of cash adjustments fields which net of fee transaction cash flows (these are cash flows where the GL_ACCOUNT is equal to “Advisory/Management Fee”.
The Net of Fee Return should always be less than the Gross Return.
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:
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:
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.
OLAP Reports: Daily Calculation
Daily Return Performance Calculation Report
There is one daily return calculation report for each performance model in the Performance Toolkit. The daily return calculation report commits the daily returns and performance data to the PERFORM database. The daily return calculation reports also pass the return through to the Commit Journal and in the event of failed checks, pass through the check message. The report contains checks for bad returns or bad data.
Daily Return Performance Calculation Audit Report
The daily return calculation audit report is helpful in troubleshooting issues with your daily calculation process. It contains all the checks from the Calculation Checks for Daily Performance Calculation report section above. There is one audit report for each performance model. The audit report does not commit to the database.
OLAP Reports: Monthly Calculation
Monthly from Daily Performance Calculation Report
Monthly from Daily reports are built on committed daily frequency performance data and are configured to use only performance data. They do not query the holdings or cash activity tables. This is configured by using a different source rule on the monthly report profiles than on the daily report profiles.
This source rule is set by using a Source Rule Override on each Monthly Calculation Report profile. This source rule defines a source only for Performance. The Performance Calculation report sees this source rule and then uses a Performance Only mode to query only performance data. This avoids complications that may arise from irrelevant position and cash data. The following figure provides an example of the source rule.
For more information on the Performance Only mode, see the “Calculating Monthly Returns from Daily Returns” section of the Performance Calculation User Guide.
These Monthly frequency reports use the Field Rule Override for a Monthly from Daily field rule in order to apply the necessary Month to Date fields rather than the Daily Calculation Report’s fields.
These reports link daily committed returns to create monthly frequency returns. Like the daily return report the returns are committed and passed on to the Commit Journal with any messages from failed return checks.
The Monthly from Daily Performance Calculation Report uses the same report rules as the Daily Return Calculation Report and commits monthly frequency performance. There is one Daily to Monthly Calculation report for each performance model in the Performance Toolkit.
SCF Performance Calculation Report
The Toolkit provides an SCF monthly frequency report for each performance model using the same report rules as the Daily and Daily to Monthly Performance Calculation reports. As with the Daily to Monthly reports, a field rule override is used for the SCF Modified Dietz return calculation and other monthly fields. The Toolkit SCF cash flow threshold is set to 10% of the beginning market value.
OLAP Reports: Verification
Performance Analysis Reports for Daily Commit Verification
The Toolkit comes with Performance Analysis reports to verify the data committed by each daily performance return calculation for each performance model. The daily frequency verification reports display all the data committed to the PERFORM database for the selected entity and effective date.
Performance Analysis Reports for Monthly Commit Verification
The Toolkit comes with a Performance Analysis report to verify the data committed by each monthly performance return calculation report for each performance model. The daily frequency verification reports display all the data committed to the PERFORM database for the selected entity and effective date.
Query Tool: Verification
Performance Query Tool Views for Daily Frequency Performance
The Performance Toolkit provides daily frequency Query Tool views for each performance model. Using view type 4, the views allow a time-series review of daily returns and performance data for the current month to date for the entity selected.
Performance Query Tool Views for Monthly Frequency Performance
The Performance Toolkit provides monthly frequency Query Tool views for each performance model. Using view type 4, the views allow a time-series review of monthly returns and performance data for the current year to date for the entity selected.
MPC Rules
There are Multiperiod Performance Calculator (MPC) rules built for calculating unit values for both daily frequency returns and monthly frequency returns for the total level model.
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