Report 8037: Time Weighted Return

PURPOSE

To provide the details used by CS Lucas to show the Time Weighted Return.

WHY IS THIS IMPORTANT?

Allow users to verify the details of Time Weighted Return.

QUERY
1. Navigate to Reporting > Standard > Report 8037: Time Weighted Return.

2. Fill in mandatory parameters – Acct Cntr, Portfolio, From Date and To Date.

3. Click on the required format.

4. The report shows From Date, To Date, Cash Activity, Opening NAV, Closing NAV, NAV
Change, Return (%).

For explanation of   button, please see link.
For explanation of  buttons, please see link.

Report Computation Details

To view the following transaction,

Cash Activity

Cash Activities are retrieved from the Fees and Cash Transactions Module based on Value Date. Where there are more than 1 cash activity on that value date, the Cash Activity will show the total. Each cash movement before the To Date will create a row in the report.

For example, the Cash Activity as at 1 Jan 2016 is 6,500,000.00. This is a sum of the following from Fees and Cash Transactions.

Cash Activity as at 2 Feb 2016 is (1,000,000.00). After 1 Jan 2016 and up to 2 Feb 2016, this is the only trade in Fees and Cash Transactions that gives rise to this cash activity.

Opening NAV

Opening NAV shows the total NAV as at the From Date.

For example, the NAV as at 1 Jan 2016 is 103,410,251.61.

Follow the steps below to print the Asset Class Breakdown (8006) report to see the total NAV and the breakdown.

1. Navigate to Reporting > Standard > Report 8006: Asset Class Breakdown.

2. Key in the fields as shown below:

3. Click on the required format. The results are as follows:

Closing NAV

Closing NAV is the NAV as at To Date less Cash Activity on the To Date.

Example 1: The NAV as at 1 Jan 2016 is 103,410,251.61 and the Cash Activity is 6,500,000.00.

Therefore, the Closing NAV as at 1 Jan 2016 is:

Opening NAV

Opening NAV shows the total NAV as at the From Date.

For example, the NAV as at 2 Feb 2016 is 102,595,517.43.

Closing NAV

Example 2: The NAV as at 2 Feb 2016 is 102,595,517.43 and the Cash Activity is (1,000,000.00).

Therefore, the Closing NAV as at 1 Jan 2016 is:

Opening NAV

Opening NAV shows the total NAV as at the From Date.

For example, the NAV as at 1 Mar 2016 is 102,595,517.43.

Closing NAV

Example 3: The NAV as at 1 Mar 2016 is 102,595,517.43 and the Cash Activity is (1,000,000.00).

Therefore, the Closing NAV as at 2 Feb 2016 is:

Calculations for NAV Change

From Date    1 Jan 2016 This is the NAV as at 1 Jan 2016

Example 1: The NAV Change as at 1 Jan 2016 is:

From Date    2 Feb 2016 This is the NAV as at 2 Feb 2016

Example 2: The NAV Change as at 2 Feb 2016 is:

From Date   1 Mar 2016 This is the NAV as at 1 Mar 2016

Example 3: The NAV Change as at 1 Mar 2016 is:

From Date   1 Mar 2016 This is the NAV as at 1 Mar 2016

Example 4: The NAV Change as at 30 Jun 2016 is:

Calculations for Return%

Example 1: Return as at 1 Jan 2016 is:

Example 2: Return as at 2 Feb 2016 is:

Example 3: Return as at 1 Mar 2016 is:

Example 4: Return as at 30 Jun 2016 is:

Calculations for Number of Days

Calculations for Annualised

(Where 181 is the number of days between from and to date.)

FREQUENTLY ASKED QUESTIONS

 

RELATED INFORMATION

General Formatting For All Reports

CHANGE HISTORY