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)

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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

• 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

• 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

• 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

• 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