APL |
APL Performance Measurement Reference |
APL Performance Measurement Reference
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Performance Data
| Account Master Data |
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| Make sure the OPEDT and / or CLODT fields are populated correctly. |
| Make sure the primary fields used to identify accounts for performance posting and reporting are coded correctly. |
| General Ledger Data |
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| Make sure the OPE entry in the general ledger has been posted correctly. |
| Code advisory fees with a transaction type of FEEADV. |
| Code custodial and all other non-management fees with a ticker of ALTFEE. |
| Dividends must be posted with a DIV transaction type and the SACUS of the security. |
| Interest must be posted with an INT transaction type and the SACUS of the security. |
| Portfolio Data (EDPORT) |
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| Make sure purchases and sales have the correct dates and prices coded in the PDATE, COST, SDATE and PROC fields. (Level 1). |
| Make sure receives and delivers have the correct dates and prices coded in the RDATE, RCOST, DDATE and DPROC fields. (Level 2). |
| Assets that should not be included in performance should be coded in the EXCLD field with NOPERF or UNSUPR. |
| Security Master Data |
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| Securities should be checked for missing prices. This can be done by running ZEROPRICELIST or STKRECORD. |
| Securities truly valued / priced at 0 should be coded with Z in the second character of the PFLAGS field. |
| MATDT, CPRNRT, SPPDT, DTD, and DTDFL should be coded correctly to accurately calculate accruals for fixed income assets. |
| DIV, REC and PAY fields should be coded correctly to accurately calculate accruals for equity assets. |
| Security Issue Types based on Sector |
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Total Sector (PM01)
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Equity Sector (PM02)
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Fixed Income Sector (PM03)
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Cash and Cash Equivalents (PM04)
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Manual (PM)
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* Must be set up for after-tax performance
Performance Functions
| COMBOPMSECT | Combine performance data from one or more accounts into the COMBO account. |
| EDPMSECT | Edit performance data for a specific sector. |
| FASTPMSECT | View performance sector data for a specified time frame. |
| PERFSCREEN | View and calculate performance returns. |
| PMSECTAI | Post performance for all sectors. |
| PMSECTAI01 | Post performance for the total sector only. |
| PMSECTAICORE | Post performance for the core sectors: total, equity, fixed income, cash and manual. |
| POSTPMSECT | Post performance values to a particular sector. |
| POSTTAX | Calculates short and long term gains and losses for all equity trades during a specific period of time. |
| PMSECTOPEDT | Delete performance entries posted prior to the OPEDT. |
| SETALTFEE | Set flag to display non-management fees on performance reports. |
| SETLOCKSON | Set flag to display locked values on performance reports. |
| SETNETFEE | Set flag to display management fees on performance reports. |
| SETNETTAXES | Set flag to display taxes on performance reports. |
| SETPMLOCK | Set percentage for locking performance values. |
Performance Formulas
Fiserv uses the Modified Dietz method to calculate a return between two consecutively dated market values. These two values will usually be month-end dates, but may be closer together when locked values are involved.
Calculating a Return with a Contribution
EMV - (BMV+NC)
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BMV + NCTW
| R | Total return of the account for the period. |
| EMV | Market value at the end of the period. |
| BMV | Market value at the beginning of the period. |
| NC | Net amount of Cash Flows during the period. |
| NCTW | Net amount of Cash Flows, Time Weighted (NC x days held / days in the period). |
Calculating a Return without a Contribution
EMV – BMV
------------------------------
BM
Linking Returns
After calculating the return for each separate month, returns for longer periods of time are generated by linking each return.
[(1+R1) x (1+R2) x (1+R3) ..] -1 = RCUM
| R1 | Rate of return for the first period. |
| R2 | Rate of return for the second period. |
| R3 | Rate of return for the third period. |
| RCUM | Cumulative Rate of Return. |
Calculating Returns with Locked Values
Returns including locked values are calculated by calculating the return for the period prior to the locked value, calculating the return for the period after the locked value, and linking the two returns together.
All returns should be expressed as decimals.
Example: 5% = 0.05
Most Commonly Used Performance Reports
| AIMRMEMO | Composite performance. |
| COVERPM | Summary of asset mix, performance and capital change. |
| FLAGPCT | Contributions and withdrawals greater than a chosen percent of market value and includes locked values. |
| PMAFTAX | Before and after tax performance for a specified time frame. |
| PMCAP | Summary of capital changes and percent of performance. |
| PMCOVER | Summary, including realized gain and loss. |
| PMDIAG | Compares internal rate of return to time-weighted return. |
| PMDIFF | Compares time weighted return against two sectors for one account. |
| PMFIRMFLEX | Flexible report built to client specifications using pre-determined information. |
| PMFIRMMLC | Weighted beginning performance values for selected sectors displayed in dollars. |
| PMFIRMPCT | Weighted beginning performance values for selected sectors displayed in percentages. |
| PMFIRMSECT | Summary of three selected sectors over a one, three, and twelve month period. |
| PMFIRMVAL | Same as PMFIRMSECT but allows for sorting by performance, market value, etc. |
| PMHAL | Net additions and adjustments to market value during a specific time frame. |
| PMHISTPI | Estimated principal and income against Total, Equity, Fixed Income and Cash sectors. |
| PMHISTSECT | Selected sector compared to 2 benchmarks. |
| PMHISTYTD | Total, Equity, Fixed Income, Cash and 3 benchmarks. |
| PMISSUE | Security issue types categorized by the performance sector in which they are included. |
| PMITD | Inception to date performance. |
| PMRR | Market risk analysis for one or more accounts. |
| PMRRADV | Performance risk / return analysis. |
| PMSUM | Fund Type performance summary. |
| PMSECTCHECK | Check to make sure all security issue types for assets held are mapped to a performance sector. |