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APL Performance Measurement (Contents, Download) |
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APL Performance Measurement (Contents, Download)
Performance evaluation is the assessment of a manager’s results which involves:
- Determining whether the money manager added value by outperforming the established benchmark
- Determining how the money manager achieved the calculated return (performance distribution analysis)
Tip: An Adobe AcrobatTM formatted version of the complete User Guide (PDF) materials are available for sharing with your customer.
Factors involved in performance calculations include market value, market size, timing of cash flows, and the skill of the investment manager.
Table of Contents
- Chapter 1: About This Manual
- 1.1 What is APL?
- 1.2 What is covered in the APL Guide to Performance Measurement and Benchmarks?
- Chapter 2: Overview
- 2.1 What is performance?
- 2.2 Who governs performance reporting?
- 2.3 Monthly performance returns
- 2.4 Daily performance returns
- 2.5 Performance data sources
- General Ledger
- Portfolio data
- Account Master data
- Security Master data
- Chapter 3: Performance Calculations
- 3.1 Understanding the Modified Dietz performance formula
- Performance Formula
- Factors affecting performance calculations
- 3.2 Linked Returns
- Understanding the formula for linking returns
- 3.3 Locked Values
- Running Reports with Locked Values (SETLOCKSON)
- Checking to see which values are locked with AUDITLOCKED
- 3.4 Daily Performance
- 3.5 Stored Performance Data
- 3.6 Performance Reports
- 3.7 Additional calculations
- Annualized rates of return
- Dollar weighted vs. equal weighted rates of return
- Dollar weighted
- Equal Weighted
- 3.1 Understanding the Modified Dietz performance formula
- Chapter 4: Performance Data
- 4.1 General ledger
- Fees
- Dividends
- 4.2 Portfolio data
- Purchases and sales
- Receives and delivers
- Unsupervised assets
- 4.3 Security Master data
- Pricing
- Accruals
- 4.4 Accrued income in performance files
- Fixed income accruals
- Equity accruals
- 4.5 Issue types
- Equities sector
- Fixed Income sector
- Cash Equivalents sector
- 4.1 General ledger
- Chapter 5: Posting Performance Returns
- 5.1 Posting performance using Modified Deitz
- The function PMSECTAI
- Other performance posting functions using Modified Deitz
- Errors that occur when posting performance
- 5.2 Posting daily performance returns
- The function POSTDAILYPERF
- Other Daily performance posting functions
- Errors that occur when posting Daily performance
- 5.3 Performance files
- Understanding the core sectors
- Understanding contributions and withdrawals in core sectors
- 5.4 Editing and viewing performance data
- Editing performance data
- Viewing performance data
- 5.5 Auditing performance data
- The PERFSCREEN function
- Performance Auditing reports
- 5.1 Posting performance using Modified Deitz
- Chapter 6: Performance Reporting
- 6.1 Reporting Daily Performance vs Monthly Modified Dietz
- 6.2 Insuring that correct market values are used
- 6.3 Running reports with and without management fees or taxes
- Gross vs. Net of fees
- Effects of SETNETFEE and SETALTFEE Usage
- Running performance net of management fees with SETNETFEE
- Running performance net of special fees with SETALTFEE
- Reporting net of taxes using the SETNETTAXES function
- Reporting net of fees and taxes using the SETNETFLEX function
- 6.4 Reporting performance based on a maximum fee
- Posting a new entry to the Total (01) performance sector using POSTHIGHFEE
- Choosing fee types using SETNETMAXFEE
- 6.5 Combining performance
- Permanently combining accounts using EDITAC, EDDESPCT, and COMBONYC
- Temporarily combining accounts using the COMBINE and COMBOPMSECT functions
- 6.6 Auditing performance data using PERFSCREEN
- Using the PERFSCREEN function
- 6.7 GIPS-compliant reporting
- Proper EDMEMO coding of accounts to be included in composites
- Obtaining a list of accounts included in a composite
- Generating the AIMRMEMO report
- Generating the AIMRFLEX report
- Standard deviation and the AIMRFLEX report
- Notes on using AIMRMEMO and AIMRFLEX
- Running the AIMRCOMP report
- Running the AUDITAIMRCOMPS report
- Running the PMSTDEV report
- 6.8 After-tax reporting
- Calculating capital gain taxes using POSTTAX
- Running the PMAFTAX capital gains tax report on equities
- 6.9 Standard performance reports
- Single Account Reporting
- Multiple Account Reporting
- Comparative Reporting
- Audit reporting
- GIPS-compliant reporting
- Other performance reports
- 6.10 Using performance-specific account selection variables to aid account selection
- Modifying the alternate start date
- Establishing segments using the EDPERFSEGLIST function
- Defining and editing segment periods on a per account basis using EDITPERFSEG
- Defining and editing segment periods for multiple accounts using ADDPERFSEG
- Including segment performance returns In the PMHISTPI, PMHISTSECT, and PMFIRMFLEX Reports
- Removing performance segments across accounts
- 6.11 Closing accounts with regards to performance files
- Chapter 7: Troubleshooting Performance Issues
- 7.1 Methodology
- 7.2 Reports frequently used in troubleshooting performance issues
- 7.3 Researching performance problems
- 7.4 Correcting Performance Posting Errors
- 7.5 Using the TBGREVIEW report to troubleshoot performance issues
- 7.6 Reconciling sector returns with the total return
- 7.7 Protecting data with test accounts
- 7.8 Deleting test accounts by using PURACCT
- Chapter 8: FTID Benchmarks
- 8.1 Setting up an account with FTID benchmarks with EDFEND
- 8.2 Setting up a FTID benchmark account with NEWACCT
- 8.3 Refreshing the data for a FTID benchmark with POSTPMSECT
- 8.4 List of available FT Interactive Data benchmarks
- Chapter 9: Russell Benchmarks
- 9.1 Setting up a Russell benchmark
- 9.2 Using NEWACCT to set up a Russell benchmark account
- Mapping Russell benchmarks to accounts using EDINDEX
- 9.3 Updating a Russell benchmark using UPDATEINDEX
- 9.4 List of available Russell benchmarks
- Chapter 10: Blended Benchmarks
- 10.1 Setting up a blended benchmark
- 10.2 Using NEWACCT to set up a blended benchmark account
- 10.3 Identifying the account as a blended benchmark using EDDESPCT
- 10.4 Updating a blended benchmark with REFBLNDBNCH
- 10.5 Calculating blended benchmarks
- 10.6 Understanding the PMCOMP blended benchmark
- Chapter 11: Utility Functions and Reports
- 11.1 Utility functions
- Calculate mid-month performance using ADDFNDVAL
- Post other returns and indices using POSTBENCH
- Verify that indices are updated, using VERIFYIND
- 11.2 Benchmark reports
- Listing available benchmarks with BENCHLIST
- Compare performance to benchmarks using PMFIRMFLEX
- View selected performance data, with PMHISTSECT
- 11.1 Utility functions
- Chapter 12: Troubleshooting Benchmarks
- 12.1 Correcting M sectors with billing and 0 values
- 12.2 Using PMFIRMFLEX for troubleshooting problematic blended benchmarks
- 12.3 Using PMCHECKBENCH to identify values that result in erroneous returns
- 12.4 Correcting blended benchmarks showing -100% return
- 12.5 Finding date discrepancies
- Appendix A: Issue Types
- A.1 Equities sector issue types
- A.2 Fixed Income sector issue types
- A.3 Cash Equivalents sector issue types
- Appendix B: Flows to and from core sectors