Use of Date Rules Example

The following example illustrates the use of date rules in Mutual Fund Performance calculations. This example illustrates how to calculate a quarterly return as of last quarter end.
The calculation is as follows:

1. On 12/15/2018, the prior quarter end is 9/30/2018.
2. The dynamic quarterly return as of 9/30/2018 needs a starting period NAV from 6/30/2018 (the end of day NAV).
3. The dynamic mutual fund field internally looks back an extra day when deriving begin date so when the date is 12/15/2018 the date rule needs to return the following values:

• Begin Date = 7/1/2018 (dynamic process converts it to 6/30/14)

End Date = 9/30/2018 (end date of the prior quarters return)
This is shown in the following figure.

Figure : Prior Quarters Quarterly Return Period Date Rule Example Setup

1. The Start Date is set to calculate the end date by going back 2 quarters.

1. The End Date is set to calculate the end date by going back 1 quarter with an additional offset by 1 day. See the following figure.

Figure : Prior Quarters Quarterly Return Period Date Rule
Note that the date rule test correctly returns 7/1 as the start date and 9/30 as the end date.
Shown below are brief excerpts from PACE log messages for a report run as of 12/15 for a dynamic field using the above date rule.
Date Rule Dates for Field-TL DR prior qtr[4879], Entity - TLMF1A is 06/30/2018 to 09/30/2018
Field [TL DR prior qtr], Entity Name [TLMF1A], Field Begin Date [06/30/2018], Field End Date [09/30/2018]