Investment Performance Management.book
Contents
1. The two tabs are described as below Monthly Using the performance formula mentioned in the above section the system will compute the monthly performance This tab will display the current month to date MTD performance along with each month s performance for the past six months and the performance since inception For computing the Inception to date ROR using True Time Weighted Rate of Return or XIRR method as configured at bank entity level the cash flows will be considered by the instrument group to which each instrument is linked Based on this the cash flows occurring in each instrument group from inception to date will be considered in the formula This will be done at 2 levels one for the individual members of the household defined for the customer as leader and another for the overall house hold The customer associated currency will be considered for displaying the results at instrument group as well as customer level Beneath the results for each instrument group or the customer level the asso ciated benchmark results are displayed For example while computing the performance for the month of April considering 30th April had been declared a holiday then the perfor mance for April would be computed from April 1st to April 29th Yearly This tab displays the current year to date performance the past five years performance as well as the performance since inception of the instrument group The financial year cons2. exception when the evaluation is being computed for the first time where the beginning period considered will be the first funding date of the portfolio The first funding date of the portfolio is when the security which was first or earliest funded into the portfolio Any positive or negative deviation of the portfolio group of all portfolios of the customer s performance from this benchmark can generally be attributed to the securities in the portfolio s which under or over performed The benchmark returns will be displayed as blank fields if the customer fails to associate a benchmark to a portfolio s or to the customer Screen Navigation 1 After you login select a customer by through the Customer gt Customer List from the top menu 2 Once the customer has been selected the portfolio analysis screen can be accessed through the Portfolio and Performance sub menu I ORACLE Investment Performance Management September 2013 Oracle Financial Services Software Limited Oracle Park Off Western Express Highway Goregaon East Mumbai Maharashtra 400 063 India Worldwide Inquiries Phone 91 22 6718 3000 Fax 91 22 6718 3001 www oracle com financialservices Copyright 2007 2013 Oracle and or its affiliates All rights reserved Oracle and Java are registered trademarks of Oracle and or its affiliates Other names may be trademarks of their respective owners U S GOVERNMENT END USERS Oracle programs including a
3. gain loss of all the securities across all the instrument types in the portfolio denominated in the portfolio currency The impor tant point to note that the realized gain loss figure displayed here is inclusive of all the gain loss fig ures across all the securities accounting from the earliest sale transaction in the portfolio after the first funding date Any gain loss that has already occurred when a security position was closed is a realized gain loss Let s take an example to illustrate capital gain and capital loss Assume the customer has purchased 10 shares of XYZ AT 20 00 share The buy cost 200 There are two possible scenarios He she decides to sell the 10 shares of XYZ at 25 00 per share In this case his realized gain from this transaction 250 sell cost 200 buy cost 50 He she decides to sell the 10 shares of XYZ at 10 00 per share In this case he had a loss from this transaction 100 sell cost 200 buy cost 100 00 When selling securities System uses FIFO First in First out which automatically pairs a sale of security with the first transaction that was bought Here s an example Your customer purchased 100 shares of FZ Steel co at 5 share in January Three months later you purchased another 100 shares of FZ Steel at 7 share Purchase 1 5 x 100 500 Purchase 2 7 x 100 700 If he she decides to sell 150 shares of FZ Steel Co when the price reached 10 s
4. this transalates 4 01 es ORACLE 2 1 Performance by Portfolio Screen von SE FLEXCUBE Private Banking 01 07 2013 2 29 PM 01 07 2013 2 46 PM Home Customer Financial Planning Order Mgmt Txn Mgmt Portfolio Reports Tools My Workspace Customer gt Portfolio gt Performance ROR AMIT_MAT4 a Portfolio Value Since Inception Since Y L000 Portfolio Name MTD May 13 Apr 13 Mar 13 Feb 13 Jan 13 Dec 12 E Inception so RM Managed 1 23 0 00 0 00 0 00 0 00 0 00 0 00 14 83 0 s ees egenama Aggregate Portfolio 1 23 0 00 0 00 0 00 0 00 0 00 0 00 14 83 qur Portfolio Return Since Inception s L8 H 0 5 0 0 3 58 82z2z ize SESRSRERESERERRE Year CF ROR BenchMark Performance Analysis aw Realized Dividend Unrealized Portfolio Name ccv Buy Cost Market Value Gain L Interest Gain Loss ROR Last Txn Dt Heldaway GBP 0 00 0 00 0 00 0 00 0 00 0 00 a RM Managed GBP 5 002 501 63 5 002 495 93 0 00 2 28 5 70 14 83 25 06 2013 Self Mana GBP 0 00 0 00 0 00 0 00 0 00 0 00 H Figure 2 1 Performance By Portfolio Screen 2 2 Performance by Instrument Click on the appropriate hyperlink under the Portfolio Name column to view the Performance by Instrument Screen ORACLE num rcu Dtj07 2013 2 29 PM 01 07 2013 2 46 PM Home Customer Financial Planning Order Mgmt Txn Mgmt Portfolio Reports Tools My Workspace Performance Analysis gt By Instrument Portfolio RMMana
5. 0 to 6 30 SubPeriod1 SubPeriod2 SubPeriod3 Valuation 1000 1100 1200 1200 Cashflow 200 100 J BMV EMV atendofday pre cashflow EMV TTWR ROR Subperiod 1000 1300 1100 0 1 1300 1100 1200 0 076923077 1200 1200 0 090909091 TTWR for June TTWR in Percentage terms Example 2 0 107692308 10 77 BMV EMV Cashflow 30 May 100000 9 Jun 101000 10 Jun 20000 30 Jun 123000 BMV EMV atendofday pre cashflow EMV Subperiodi 30thMay 10thjune 10thJune 30thJune 100000 121000 123000 0 026694215 2 67 Portfolio CCY EUR There are 3 Instruments A B amp C in this Potrfolio in multi currency EUR SGD USD TRAN DATE TRAN DESC instru CCY BIDASK IND QTY PRICE AMOUNT 5 15 2009 BUY instrument A EUR B 1200 1200 672212003 BUY Instrument USD 8 25000 18047 25 672472003 BUY instrument C SGD 8 10000 4900 9 TTWR for May There was 2 instrument A in May having Buy Tan on 15th First ever Buy Date Tan Units Buy Sell Price Amount 15 May Buy d 12 00 31 May TTWR Sub period returns are as follows Pre CashFlow Subperiod BMV EMV at end of da Cashflow EMV 05 15 to 05 31 1200 1630 0 00 1630 00 TTWR ROR Subperiod SubPeriod1 0 358333333 TIWR for May TTWR in Percentage 0 358333333 35 833 TTWR for June There were 2 more Instruments B amp C traded in June both of currencies different from PF CCY We need to find out the EMVs for all 3 instruments on each of the traded dates of any of the instruments plus on End Of Mo
6. 500000 x 44 76 1 10 07 103000 512000 47 23 20000 133840 57 1 22 07 130000 530000 43 78 70000 43 78 140507 08 1 31 07 133000 470000 43 65 Please note the divisors used for the I Flex transactions denote the closing exchange rate for the corresponding business days ORACLE Performance Analysis By Portfolio Field Description Mandatory Portfolio Name The performances for all the portfolios associated to the customer are displayed along with the con solidated customer level performance report While the above tab reported the return measures in investments in a portfolio as a percentage of ini tial investment across various periods this tab intends to report the user with an extensive evalua tion of your portfolio performance and an in depth break down of your portfolio from different perspec tives such as realized Gain Loss interest dividend unrealized Gain Loss analysis Display only Currency All the figures associated to the portfolio are dis played in the portfolio currency To recap the sys tem converts and stores all the transaction amounts from the security currency to the portfolio currency for all the securities in the portfolio Display only Buy Cost This is the sum of the buy costs of all the securities across all the instrument types in the portfolio denominated in the portfolio currenc
7. Display only Interest Divi dend The summation of all the dividend interest received across all the securities categorized in the selected instrument analysis group right from the first fund ing day of the instrument analysis group are repre sented here in the customer currency Display only ROR The performance figures computed as explained in the previous table using the True Time Weighted Rate of Return methodology are displayed here The returns computed from the first funding date of the instrument analysis group since inception are displayed here Display only Portfolio Performance Holding Details Holding details at instrument level is only available when View by Portfolio is selected For view by Asset Class and Instrument Analysis Group there will not be any further decomposition of data at instrument level 2 24 ORACLE Field Description Mandatory Name Displays the names of all the securities across all the instrument types in the portfolio Display only Instrument Displays the instrument type for each of the securi ties in the portfolio The instrument type is displayed as per the data captured in the instrument master table in the database Display only Currency Security currency is displayed Again the currency displayed is as captured in the instrument master table Display only Buy Cost To recap what we comprehended in the ea
8. Note The returns are not annualized The two tabs are described below cds ORACLE 2 4 Monthly Using the performance formula mentioned in the above section the system computes the monthly performance This tab displays the current month to date MTD performance along with each month s performance for the past six months and the perfor mance since inception For computing the Inception to date ROR using True Time Weighted Rate of Return or XIRR method as configured at bank entity level the cash flows will be considered by the asset class to which each instrument is linked Based on this the cash flows occurring in each asset class from inception to date is considered in the formula This is done at 2 levels one for the individual members of the household defined for the customer as leader and another for the overall household The customer associated currency is considered for displaying the results at asset as well as customer level Beneath the results for each asset class or the customer level the associated benchmark results are displayed Yearly This tab displays the current year to date performance the past five years performance as well as the performance since incep tion of the asset class The financial year considered to compute the yearly performance will be as defined in the bank s master table The calculated monthly performances as explained earlier are linked geometrically to compute yearly retu
9. ORACLE Investment Performance Management Oracle FLEXCUBE Private Banking Release 12 0 2 0 0 Part No E49767 01 September 2013 Table of Contents jr M eee eee 1 1 110 eicere c PE 1 1 t2 SCODO iae ee ted ele RR eee I Te ele ke e Te eu e A e T ETT ERR a 1 1 WS Audience oae a aeta bianuiden eet 1 1 1 4 Documentation Accessibility emen 1 1 1 5 Organization of the Document ssssssssssse enne enne 1 1 1 6 Conventions Used te e GEHE UU UE 1 2 Performante qe anceck Piette Rea ec ot a Ne ee tee ata 2 1 2 1 Performance by Portfolio raie ea E E E EE a 2 5 2 2 Performance by Instrument ssssssssssssee E R 2 5 2 3 Performance by Asset Class sssssssssseeee emen enne 2 8 2 4 RISK MGaSUres nee e Pe Ee n ERE ED daa rh Eee ESTER DA FERE ae edd 2 9 2 5 Performance Analytics Graph ssssssssseeeneeeeeneee mener 2 11 2 6 Performance by Instrument Group ssssseeee enne enne 2 12 Performance Benchmark Indices eeeeeeeeeeeee nen 3 1 1 1 1 2 1 3 1 4 1 5 1 Preface Introduction The objective of the current user manual is to clearly describe the functions available for performance of investment products This module includes the following capabilities e Multi level ROR performance across investment products e Benchmark Performance for Regular Composite Benchmarks
10. RACLE Figure 2 2 Performance By Instrument Screen How to Read the Screen Performance by Portfolio The performance screen is split into three sections 1 The first section ROR is designed to contain two tabs namely MTD amp YTD along the lines of which the user can analyze and examine into the performance of the portfolios for the selected customer Note The returns are not annualized The two tabs are described below Monthly Using the performance formula mentioned in the above section the system will compute the monthly performance This tab will display the current month to date MTD performance along with each month s performance for the past six months and the performance since inception As explained earlier the performance reports are displayed for each of the portfolios of the customer in case portfolio is selected as a category along with a consolidated customer level report The corresponding currency for each portfolio will be consid ered for computing the performance at the portfolio level whereas the customer associated currency will be considered for displaying the results at customer level Beneath the results for each portfolio or the customer level the associated benchmark results are dis played The MVB will be as of the first date of the month and the MVE will be as of the last date of the month or the evaluation date in case of MTD For example while computing the performanc
11. analysis group level represent the sum of the market values of all the securities catego rized in the selected instrument analysis group denominated in the customer currency Market value at the security level is computed as a product of quantity and market price Display only Realized Gain Loss This is the sum of the gain loss of all the securities categorized in the selected instrument analysis group denominated in the customer currency The important point to bear in mind is that the realized gain loss figure displayed here is inclusive of all the gain loss figures across all the securities accounting from the earliest sale transaction in the instrument analysis group after the first funding date Any gain loss that has already occurred when a security position was closed is a realized gain loss Display only Unrealized Gain Loss This is the sum of the unrealized gain loss of all the securities categorized in the instrument analysis group denominated in the customer currency Unrealized gain loss is the hypothetical value of the gain or loss that would be realized if the security were sold at the market price A realized loss occurs when a security s market price decreases after an investor buys it but he or she has yet to sell it If the market price of the security rose back above the buy price then the investor would have an unrealized gain for the time he or she still holds on to the security
12. ard deviation of weekly return of benchmark Sharpe Ratio It is calculated as Sharpe Ratio Investment Return Risk free return Standard Deviation of the investment returns Portfolio Displays portfolio Sharpe Ratio details Benchmark Displays benchmark Shape Ratio details YTM Portfolio The system receives the instrument level YTM from the external world which is used by the system to calculate the YTM of the portfolio Duration Portfolio The system receives the instrument level Duration from the external world which is used by the system to calculate the Port folio Duration Note If there is no instrument in the portfolio where the Include in YTM amp Portfolio Duration field is marked as Yes in the Product Master screen the system displays N A against that portfolio under YTM amp Duration column Performance Analytics Graph The system also enables the user to view a graph of instrument performance Vs Standard deviation by clicking on the icon located at the top right hand corner or Performance Analysis tab of Portfolio Performance screen This graph is displayed for all the instruments which are part of a particular customer or household s holdings in any or all of his portfolio types depending on the portfolio type selection Screen ORACLE or ing inandalPlanning Order Mgmt Tan Mgmt Portfolio Reports Tools My Workspace Customer Portfolio Pe
13. business day The computation methodology is identical to the one eluci dated earlier Aggregate Portfolio The objective in calculating the aggregate returns is to pro duce the same returns value as if the holdings of all the indi vidual portfolios in the composite were aggregated and a return is calculated for one master portfolio However it is essential to note that the MVE MVB F and FW will all be denominated in the customer preferred cur rency To recap in case of nonconformity with the above condition the closing exchange rate on the date of transac tion across all those securities will be made use of The customer holds IBM shares in Portfolio 1 currency of portfolio is also Date Market value Cash Flow Market value Post Cash Flow 12 31 06 100000 1 10 07 103000 20000 123000 1 22 07 130000 1 31 07 133000 2 15 ORACLE Field Description Manda tory The customer holds I Flex shares in Portfolio 2 currency of the portfolio is INR Date MarketValue Cash Flow Market value INR INR post Cash Flow INR 12 31 06 500000 1 10 07 512000 1 22 07 530000 70000 1 31 07 470000 The holdings statement in the customer preferred currency for computing aggregate portfolio would be as given below Date Market Value Cash Flow Market value post Cash Flow 12 31 06 100000
14. e Risk adjusted returns Though this manual covers performance for all products available in FCPB only those specific products or modules licensed to the bank would have performance features available to the bank Scope The intention of this User Manual is to provide a comprehensive guide to the RM and Customers of the system It can also be used as a trouble shooting guide Audience The potential readers of this document include but not limited to 1 The Relationship Manager customers and other users of the system 2 Top and middle management executives 3 Developers database designers of the system for their reference 4 Product and Functional teams Documentation Accessibility For information about Oracle s commitment to accessibility visit the Oracle Accessibility Program website at http Awww oracle com pls topic lookup ctx acc amp id docacc Organization of the Document The Manual is organized into the following 2 chapters Chapter 1 Introduction Helps the user to understand the purpose and scope of the document Chapter 2 Performance Helps the user to understand the investment performance P which is primary benefit of FCPB 1 1 ORACLE 1 6 Conventions Used This sub section explains the conventions followed in the preparation of the manual Text Description Example Illustration of the concept Bold Letters Command buttons or impor
15. e for the month of April considering 30th April had been declared a holiday then the performance for April would be computed from April 1st to April 29th Yearly This tab displays the current year to date performance the past five years performance as well as the performance since inception of the portfolio The financial year considered to compute the yearly performance will be as defined in the bank s master table The cal culated monthly performances as explained earlier are linked geo metrically to compute yearly returns As explained earlier the performance reports are displayed for each of the portfolios of the customer along with a consolidated perfor mance customer level report Below the performance result for each portfolio or the customer level the associated benchmark results are displayed Note The system always defaults to the monthly performance tab for all the categories Portfo lio Asset Class and Instrument Group 25 ORACLE To view the transaction details click on the appropriate instrument name hyperlink The transaction pop up appears as shown below Screen 7 7 FLEXCUBE PRIVATE BANKING Transaction Pop up Windows Internet Explorer EE Equity Transaction Details TOYOTA Transaction Transaction Quantity Pri A Settle Currency Exchange FeesinSettle Tax amp Chargesin Settlement Transaction Type Narration Desc Alternate Currency Rate Currency Settle Currency A
16. ed according to the following formula R 1 R1 X 1 R2 1 Rn 1 Where RTR is the total return and R1 R2 Rn are the sub period returns for sub period 1 through n respectively Sub period 1 extends from the first day of the period up to and including the date of the first cash flow Sub period 2 begins the next day and extends to the date of the second cash flow and so forth The final sub period extends from the day after the final cash flow through the last day of the period TTWR method assumes that the cash flow is not available for investment until the beginning of the next day Therefore when the portfolio is revalued on the date of a cash flow the cash flow is not reflected in the Ending Market Value but is added to the Ending Market Value to determine the Beginning Market Value for the next day Note The FCPB displays the TTWR ROR computation for ALL Levels and Periods of ROR ex cept for Since Inception ROR Since inception ROR displays XIRR TTWR depending on the Bank Parameter PERF_IND If XIRR is chosen as the Bank Parameter then Since in ception value is shown annualised as XIRR always is annualised e ORACLE An example of ROR computation using TTWR is given below Example 1 Assume a Market Value of a Fund for the month of June as follows Date 31 May And there were two cash flows during the month Date TTWR Sub period returns are as follows Subperiod 5 31 to 6 10 6 10 to 6 20 6 2
17. enance and Performance screens Display only 2 19 ORACLE Performance Analysis By Asset Class Field Description Mandatory Asset Class Name Performances of all the asset class associated to the customer are displayed along with the consoli dated customer level performance report While the above tab reported the return measures in investments in an asset class as a percentage of initial investment across various periods this tab intends to report an extensive evaluation of asset class performance and an in depth break down of asset class from different perspectives such as realized Gain Loss interest dividend unrealized Gain Loss analysis Display only Currency All the figures associated to the asset class are displayed in the customer currency To recap the system converts and stores all the transaction amounts from the security currency to the cus tomer currency for all the securities categorized in the asset class Display only Buy Cost Is the sum of the buy costs of all the securities cat egorized in the particular asset class denomi nated in the customer currency This buy cost at the security level is arrived at by using the weighted average cost methodology However the important point to be noted is that the weighted average cost methodology is perti nent only for the remaining purchase transactions in the security subsequent to application of the first i
18. for the securities under the instrument type insurance Note In the absence of market price for the secu rities requiring market price to be manually updated the system considers the acquisition price as the market price Display only Realized Gain Loss Is the sum of the gain loss of all the securities cat egorized in the selected asset class denominated in the customer currency The important point to bear in mind is that the realized gain loss figure displayed here is inclusive of all the gain loss fig ures across all the securities accounting from the earliest sale transaction in the asset class after the first funding date Any gain loss that has already occurred when a security position was closed is a realized gain loss Display only Unrealized Gain Loss This is the sum of the unrealized gain loss of all the securities categorized in the asset class denominated in the customer currency Unrealized gain loss is the hypothetical value of the gain or loss that would be realized if the secu rity were sold at the market price A realized loss occurs when a security s market price decreases after an investor buys it but he or she has yet to sell it If the market price of the security rose back above the buy price then the investor would have an unrealized gain for the time he she still holds on to the security Display only Interest Divi dend The summation of all the dividend
19. from the security currency to the customer currency for all the securities categorized in the instrument analysis group Display only Buy Cost This is the sum of the buy costs of all the securities categorized in the particular instrument analysis class denominated in the customer currency This buy cost at the security level is arrived at by using the weighted average cost methodology However the important point to be noted is that the weighted average cost methodology is pertinent only for the remaining purchase transactions in the security subsequent to application of the first in first out FIFO rule for all the sale transactions in the instrument analysis group The average cost requires you to determine the average cost per share total amount invested divided by the total number of shares held A FIFO rule is an accounting methodology wherein if the user holds a security of the same class which has been acquired on different dates the security acquired at the earlier time is deemed to be dis posed off first In other words it is assumed that for the securities of the same class the securities pur chased first are sold first For further details on the computation of buy cost please refer to the section Portfolio Analysis By Portfolio Display only 2 23 ORACLE Field Description Mandatory Market Value Similar to the buy cost the market value at the instrument
20. ged v Type Gain Loss Summary 23 Portfolio Performance Gain Loss Summary Inst Inst Setti Realised Interest Unrealised Name 5 CCY ccv AeountHo BuyCost MktValue ValueDate C rro NU paid ROR Bond 40 1 d Bod mR INR BSD 310 20 500 00 20 000 00 27 06 2013 0 00 100 00 500 00 53 HDEC Top 200 ud 59 ons INR 234545661 50 500 00 50 000 00 27 06 2013 0 00 0 00 500 0 22 8 Fund HDFC Top500 2 m INR MD 5 225 00 5 000 00 27 06 2013 0 00 0 00 2500 33 Fund 123456 KOTAKME idi INR INR 5666235411 6 500 00 5 200 00 27 06 2013 0 00 0 00 1 300 00 0 0 Se001 ui Stuctred ing INR 5656565 27 500 00 30 000 00 27 06 2013 0 00 100 00 2 500 00 1 437 4 Products CURRENT SavingAcct GBP i ee cep GBP 004006005010 5 001 100 00 5 001 100 00 27 06 2013 ACCOUNT Tes wil Equity INR INR ASD 475 7 500 00 6 600 00 01 03 2012 0 00 0 00 900 00 88 TOYOTA Wi Equity INR INR ASD 475 5 225 00 5 000 00 10 04 2013 0 00 0 00 2500 33 7 E Note NA Not available or Applicable PE may not be available for unquoted investments and certain asset dasses Pls contact your RM for more information Since inception RORs indicate annualized ROR computed using the Extended Internal Rate of Return XIRR method while rest of the RORs are for the respective period and computed using True Time Weighted method Current Market value is based on last available valuations zs O
21. h wherein the y axis represents the returns on customer holdings and the x axis represents the years beginning from the year of first funding to the current year The returns considered for the years demarcated in the graph are for the financial year as defined in the bank s master table The area graph displays an evaluation between the customer s returns and the benchmark returns for each year The benchmark considered is the one which has been associated at the customer level anig ORACLE 3 Beneath the first section is a section displaying the performance analysis for each portfolio if portfolio is selected each asset class if asset is selected and instrument analysis group if instrument group is selected as well as the performance analysis at the customer level To recap the corresponding currency of each portfolio will be considered for computing the results at the portfolio level whereas the customer associated currency will be considered for displaying the results at asset class instrument analysis group and customer level The distinguishing factor about this section from the first section is that it displays additional information on the realized unrealized gain loss and the interest or dividend received All the figures displayed in this section are computed from the first funding date 4 For further performance analysis of the holdings in each portfolio the user can click on the hyper link under each portfolio An additional pop
22. hare the 150 shares he she is selling includes the combination of shares from his first purchase and subsequent purchase Let us calculate what the realized gain for the 150 shares is Take 100 shares from the 5 lot and 50 shares from the 7 lot FIFO 150 X 10 100 X 5 50 X 7 1500 850 650 Using the FIFO method a realized gain of 650 00 Note Realized gain loss excludes the dividend interest received Display only ORACLE Field Description Mandatory Unrealized Gain Loss This is the sum of the unrealized gain loss of all the securities across all the instrument types in the portfolio denominated in the portfolio currency Unrealized gain loss is the hypothetical value of the gain or loss that would be realized if the security were sold at the market price A realized loss occurs when a security s market price decreases after an investor buys it but he or she has yet to sell it If the market price of the security rose back above the buy price then the investor would have an unrealized gain for the time he or she still holds on to the security An example the customer buys shares in TSJ Sports at 10 per share and then shortly afterwards the stock price plummets to 3 per share but you do not sell At this point you have an unrealized loss on this stock of 7 per share because the value of your position is 7 dollars less than when you first entered into the p
23. idered to compute the yearly performance will be as defined in the bank s master table The calculated monthly performances as explained earlier are linked geo metrically to compute yearly returns As explained earlier the performance reports are displayed for each of the instrument group along with a consolidated performance cus tomer level report Below the performance result for each instrument group or customer level the associated benchmark results are dis played 2 The second section displays since inception portfolio value and portfolio returns as two separate graphical illustration Both the value and returns displayed are at the customer level and consequently are for the entire holdings of the customer spanning across all the portfolios Portfolio Value since Inception is a bar chart wherein the y axis represents the value of the customer holdings in the customer preferred currency The x axis represents the years beginning from the year of first funding to the current year The values considered for the years demarcated in the graph are as per the financial years defined in the bank s master table This graph also displays the benchmark value for each year This helps the user to compare the value of the customer s holdings in comparison with the value of the benchmark The benchmark associated at the customer level is taken into account for displaying the results Portfolio Returns since Inception is an area grap
24. interest received across all the securities categorized in the selected asset class right from the first funding day of the asset class are represented here in the customer currency Display only 2 21 ORACLE Field Description Mandatory ROR The performance figures computed as explained in the previous table using the True Time Weighted Rate of Return methodology are dis played here The returns computed from the first funding date of the asset class since inception are displayed here Display only 2 22 ORACLE Performance Analysis By Instrument Analysis Group Field Description Mandatory Asset Class Name Performances of all the instrument analysis group associated to the customer are displayed along with the consolidated customer level performance report While the above tab reported the return measures in investments in an instrument analysis group as a percentage of initial investment across various peri ods this tab intends to report an extensive evalua tion of Instrument analysis group performance and an in depth break down of instrument analysis group from different perspectives such as realized Gain Loss interest dividend unrealized Gain Loss analysis Display only Currency All the figures associated to the instrument group are displayed in the customer currency To recap the system converts and stores all the transaction amounts
25. ion at bank parameter level using PERF IND flag as the measure for investment performance The performance returns reported for includes that for security portfolio asset class instrument analysis group and customer by grouping of all the portfolios and their corresponding securities FCPB also supports the computation of performance at Household level Performance ROR computation at Household level will consider holdings and transactionsfrom the date of household creation for all tenor buckets irrespective of the date of creation and transactions of the individual customers forming part of the household in using True Time Weighted Rate of Return for annual and monthly returns inclusive of Year To Date Month to Date and TTWR XIRR only for since inception based on configuration at bank parameter level using PERF IND flag computation method The performance results are customized to include performance figures along with the performance benchmark results True Time Weighted Average Methodology The TTWR performance computation is the most accurate method to calculate the time weighted rates of return as it removes the effects of timing and magnitude of cash flows into or out of the portfolio which are generally client driven and not in control by the portfolio manager By removing the timing effects of cash flows a true time weighted rate of return best reflects the firm s ability to manage the assets according to a specified strategy
26. layed here The returns computed from the first funding date of the security since inception are displayed here Display only At the end of the tab the last row displays the sum of all the above fields in the portfolio preferred currency computed as explained earlier 2 25 ORACLE On clicking on any of the securities in the earlier tab displays the entire transaction details of the security in a pop up screen This table has been explained in the section on Portfolio Valuation ERE ORACLE 3 Performance Benchmark Indices FCPB allows the user to compare performance versus user selectable benchmark indices The indices specified are standard market indices of the type widely reported e g S amp P 500 The composition and values of these indices are regularly reported in the financial media The user may specify a benchmark for each portfolio of the customer for asset class and instrument analysis group as well as a unique benchmark for the customer FCPB provides a consolidated performance report for the customer which is generated by combining the holdings across all the portfolios of the selected customer This consolidated performance report will here after be referred to as the customer level report The Benchmark ROI is computed as the difference between index values at the beginning and end of the measurement period The beginning period considered is generally the beginning of the measurement period with the
27. mount Slip Asset Transfer In C Date INR 15 06 2013 Asset Transfer In 50 0000 104 5000 5 225 00 INR 1 000000 20 00 10 00 5 255 00 Figure 2 3 Equity Transaction Details Pop up Note For CASA and TD Instruments Quantity Price and Fees columns remains blank As CASA does not have any transactions the Transaction Details popup for CASA will show no data Note For TDs with Dual Currency deposit feature the system displays few more fields in the Transaction pop up like Alternate Currency Fixing Date Strike Rate and Amount in Alter nate Currency at ORACLE 2 3 Performance by Asset Class Screen FLEXQUBE User Ed Wallace Current Login 20 05 2008 3 48 18 PM Last Login 20 0 008 3 34 36 PM PRIVATE BARKING Home Customer Txn Mgmt WorkSpace Tools Reports Logout _ Portfolio Performance Change Customer Category Asset Class Go CEEA eton E fPsrtfalio Value Since Inception Yearly El TTE 2 50 000 000 Asset Class MTD Apr 08 Mar 08 Feb 08 Jan 08 Dec 07 Nov 07 Inception g 25 000 000 Cash 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 3 Qo MP P am S amp P ASX 300 6 22 5 68 4 85 5 78 4 33 0 00 0 009 29 19 FEE M M M gC Year Equity 1 23 o 6 3995 6 77 0 00 0 00 42 70 S amp P ASX 300 6 22 5 6895 4 85 5 78 4 33 0 0095 0 00 29 19 W Portfolio Deb
28. n first out FIFO rule for all the sale transac tions in the asset class The average cost requires you to determine the average cost per share total amount invested divided by the total number of shares held A FIFO rule is an accounting methodology wherein if you hold a security of the same class which has been acquired on different dates the security acquired at the earlier time is deemed to be dis posed off first In other words it is assumed that for the securities of the same class the securities purchased first are sold first For further details on the computation of buy cost please refer to the section Portfolio Analysis By Portfolio Display only 2 20 ORACLE Field Description Mandatory Market Value Similar to the buy cost the market value at the asset class level represent the sum of the market values of all the securities categorized in the selected asset class denominated in the customer currency Market value at the security level is com puted as a product of quantity and market price The market price for securities defined under the instrument type equity mutual fund traded bonds PMS CASA TD Specialized Product and struc tured product will come from downloads and or imports For the securities under the instrument type insurance others and non traded bonds the price is as per the last manual update The surrender value would be considered as mar ket price
29. nth dates Date Tan Units Buy Sell Price PFCCY Amount Instrument A 31 May 100 00 Instrument A 22 hun 100 00 instrument amp 22 n Buy 50 00 Instrument A 24 an 100 00 Instrument B 24 on 50 00 Instrument C 24 lon Buy 1000 00 Instrument A 30 Jun 100 00 instrument amp 30 Iun 50 00 Instrument C 30 Jun 1000 00 TTWR Sub period returns are as follows Ali figures are in PF CY Pre CashFlow EMV at end of da Cashflow EMV 19447 2500 18047 25 25288 6675 4900 9 23280 6278 0 TTWR ROR Subperiod 10 141104294 0 048362493 40 075404725 Subperiod BMV 05 31 to 06 22 1630 06 221006 28 19447 2500 06 24 to 06 30 25288 6675 40171064675 1400 0000 20387 7675 23280 6278 TTWR ROR Subperiod 101000 0 01 123000 0 016528926 Portfoho Currency Amt FXRate EMV PF CY 16 30 1630 14 1400 soo 18047 2500 v 1700 sis 18588 6675 10 20220776 5000 1130 498 17975 061 4175 5668 XIRR Computation Methodology An internal rate of return is the effective rate of return on an investment consisting of a series of payments and incomes that occur over the life of the investment The XIRR function in Excel is used to determine the annualized IRR when the payments and income are varying and are made at different periods 1 x P 0 2 2 4 1 1 rate 35 2 3 ORACLE Where di the ith or last payment date d1 the Oth payment date Pi the ith or last payment This implies that the net present value of all cash flows
30. ny operating system integrated software any programs installed on the hardware and or documentation delivered to U S Government end users are commercial computer software pursuant to the applicable Federal Acquisition Regulation and agency specific supplemental regulations As such use duplication disclosure modification and adaptation of the programs including any operating system integrated software any programs installed on the hardware and or documentation shall be subject to license terms and license restrictions applicable to the programs No other rights are granted to the U S Government This software or hardware is developed for general use in a variety of information management applications It is not developed or intended for use in any inherently dangerous applications including applications that may create a risk of personal injury If you use this software or hardware in dangerous applications then you shall be responsible to take all appropriate failsafe backup redundancy and other measures to ensure its safe use Oracle Corporation and its affiliates disclaim any liability for any damages caused by use of this software or hardware in dangerous applications This software and related documentation are provided under a license agreement containing restrictions on use and disclosure and are protected by intellectual property laws Except as expressly permitted in your license agreement or allowed by law you may not use co
31. ome Customer Financial Planning Order Management TXN Management My WorkSpace Reports Tools Logout Risk Metric Portfolio Name Benchmark Name Risk Metrics as on 01 01 2009 David Smith Returns Std Dev Sharpe Ratio VaR 96 Beta YTM Duration Portfolio Benchmark Portfolio Benchmark Portfolio Benchmark Portfolio Benchmark Portfolio Portfolio Portfolio Figure 2 5 Risk Metric Screen Screen Navigation After you login as an RM select Customer gt Portfolio gt Performance from the top menu The user can view the Risk Measures details by clicking on the icon located at top right hand side corner the Portfolio Performance screen The fields which are all Display fields have been briefly described below Field Description Portfolio Name Displays the portfolio name Benchmark Name Displays the benchmark name for the corresponding portfolio Returns Portfolio Displays the portfolio returns for the corresponding portfolio Benchmark Displays the benchmark returns for the corresponding portfolio Std Dev Std Dev represents risk associated with a given security stocks bonds property etc or the risk of a portfolio of securities actively managed mutual funds PMSs etc ay ORACLE 2 5 Field Description Portfolio Displays the standard deviation of weekly return of portfolio Benchmark Displays the stand
32. or objective and is the basis for the comparability of composite returns across different asset managers Using the TTWR as a measure of the manager s performance presumes that the addition or withdrawal of moneys under his her control does not change the manager s stock selection timing and asset allocation strategy Thus it can be said that the TTWR measures the manager s performance and not the performance of the group of assets Formula to calculate true time weighted portfolio return for a sub period between 2 consecutive Cashflow dates whenever cash flows occur is e ORACLE R EMV BMV BMV Where EMV is the market value of the portfolio at the end of the sub period excluding the cash flows on the period end date but including accrued income for the period BMV is the market value at the end of the previous sub period i e the beginning of the current sub period Note The BMV is the EMV as defined above of the previous sub period plus cash flows on the end date of the previous sub period and including accrued income up to the end of the pre vious period Since in FCPB we are storing EMV values as end of day valuation which includes the Cashflows for that date hence for computing the sub period returns we use the formula R EMV C BMV BMV Where BMV is the EMV for the previous cashflow date C is the Net Cashflow on the end date of that sub period The sub period returns are then geometrically link
33. osition Let s say the company s fortunes then shift and the share price soars to 18 Since you have not sold the stock you will now have an unrealized gain of 8 per share Note Important point to be remembered while computing unrealized gain loss is the consideration of accrued interest for the securities under the instrument type bonds Display only Interest Divi dend The summation of all the dividend interest received across all the securities in the portfolio right from the first funding day of the portfolio are represented here in the portfolio currency Display only ROR The performance figures computed as explained in the previous table using the True Time Weighted Rate of Return methodology are displayed here The returns computed from the first funding date of the portfolio since inception are displayed here Display only Last Txn Dt Displays the last transaction date for the corre sponding portfolio If the portfolio has zero value i e if the current market value AND current buy cost is zero then the user can exclude the corre sponding portfolio from the portfolio maintenance and portfolio performance screens This is done by setting the Number Of Days for Last Transaction for zero Holding Portfolio field in Portfolio amp Order Related tab of Bank Parameters and whenever the Portfolio has zero values beyond this period it will stop being shown in the Portfolio Maint
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35. rformance Performance Analytics RM Managed v 0 000000005 000000004 000000003 4 000000002 H 000000000 0 000000002 0 000000003 4 0 000000004 0 000000005 0 0000000050 0 0006000025 0 0000000000 0 0000800025 o o0000 Rolling Returns 2H ORACLE 2 6 Figure 2 6 Performance Analytics Graph The instruments for which the performance graph is to be plotted can be filtered based on 1 Individual Group Household 2 Portfolio Type 3 Instrument analysis Group 4 Time period Values 1 Month 3 Months 6 Months 12 Months Performance by Instrument Group Screen BRUM O o OTEDI eer Portfolio Valve Since Inception Portfolio Return Since Inception Figure 2 7 Performance By Instrument Group Screen Instrument Analysis group is another attribute of each instrument defined in the master table Performance will also be computed based on this group for individual members of household as well as for the overall household The Display would be by Instrument Analysis Group instead of by Portfolio A benchmark would be assigned at instrument group level The performance screen is split into three sections 1 The first section ROR is designed to contain two tabs namely MTD amp YTD along the lines of which the user can analyze and examine into the performance of the instrument group Note The returns are not annualized EE ORACLE
36. rlier table the buy cost at the security level is arrived at by using the weighted average cost methodology for the bal ance transactions in the portfolio subsequent to application of the first in first out FIFO rule for all the sale transactions in the portfolio For further details on the computation of buy cost please refer to the section Portfolio Analysis By Portfolio Display only Market Value The market value at the security level is computed as a product of quantity and market price Display only Value date This is the date on which the market value was either received or manually updated by the user Display only Realized Gain Loss This is the sum of the gain loss of the security from the earliest sale transaction in the portfolio after the first funding date Please refer to the previous table for further details on realized gain loss Note Realized gain loss excludes the dividend inter est received Display only Unrealized Gain Loss Unrealized gain loss is the hypothetical value of the gain or loss that would be realized if the security were sold at the market price Display only Interest Divi dend Is the summation of all the dividend interest received from the first funding day of the security Display only ROR The performance figures computed as explained in the earlier table using the True Time Weighted Rate of Return methodology are disp
37. rns As explained earlier the performance reports are displayed for each of the asset class along with a consolidated performance customer level report Below the performance result for each asset class or customer level the associated benchmark results are displayed Note Holding details for CASA accounts whose status is closed are not displayed in the Portfolio Performance screen Similarly for TD without transactions TD accounts with Closed sta tus are not displayed in Portfolio Performance screen However for TD with transactions even after TD has matured closed it continues to be displayed till zero holding days men tioned in the bank parameters Risk Measures Description The Risk Measures feature of FCPB system enables the user to view the risk measures in terms of computation of weekly ROR Standard Deviation and Sharpe Ratio The system also displays the Portfolio Level YTM and Duration in the Risk Measures screen Note Risk Measures are available for only those portfolios that have completed 52 weeks in ex istence 29 ORACLE Note At any point of time the Risk Measures are computed and available for last 1 year period only User Access Levels RM only the person designated as an Relationship Manager of the system can access this screen Screen ORACLE I FLEXCUBE Private Banking User Madhur Jain Current Login 12 04 2008 10 00AM Last Login 22 H
38. t 0 21 2 45 2459 2 45 2 199 amp 0 00 0 00 9 5495 Fn Since Inception S amp P ASX 300 6 22 5 6895 4 8595 5 7895 4 3395 0 00 0 00 29 1995 30 A 5 7 E 20 75 u Aggregate Asset 8 57 7 33 12 56 5 56 9 66 0 00 0 00 52 2490 F 8 S amp P ASX 300 6 22 o 4 852 4 33 0 00 0 00 29 1995 ED V pie n n n zx M uw M s SE 9 she lc Year ROR O BenchMark Performance Analysis Realized Dividend Unrealized Asset Class Currency Buy Cost Market Value je ise ep ate cuales ROR Cash AUD 10 0 0 Debt AUD 0 Equity AUD 0 Total AUD 57 398 162 66 911 627 17 638 635 0 9 513 465 52 24 Figure 2 4 Performance By Asset Class Screen In case where the functionality for decomposition of Mutual funds and Structured products is turned off using parameterization it would be possible to compute ROR based on Asset class Each instrument will be linked to one Asset class in the system This analysis should be done both at a customer level as well as Household level The Display would be by Asset Class instead of by Portfolio A benchmark would be assigned at Asset class level there will be a Radio button to indicate whether the view should be at Individual or Household level The performance screen is split into three sections 1 The first section ROR is designed to contain two tabs namely MTD amp YTD along the lines of which the user can analyze and examine into the performance of the asset class
39. tant text The command button titles appear as they appear on the screen 1 2 ORACLE 2 Performance Description One of the primary benefits of FLEXCUBE Private Banking is that it enables the user to monitor investment performance This is important because over a long period of time only a small difference in performance can mean a large difference in wealth As an example an investment earning 14 over 25 years will have almost double the ending value then the one earning 11 It is important for the user to understand that FCPBs investors who adequately monitor investment performance will consistently out perform those who do not Monitoring of investment performance is not as simple as watching returns reported to you for your mutual fund company The reason for this is that such period to period returns do not take into account your investment timing decisions Stocks bonds and other investment holdings complicate the issue since dividend often may not be easily reinvested Also once one has multiple holdings the combined performance of all investments is not readily apparent even if you know the performance of the individual holdings FLEXCUBE Private Banking resolves all of these performance monitoring issues by computing and reporting True Time Weighted Rate of Return TTWR for annual and monthly returns inclusive of Year To Date Month to Date returns and TTWR XIRR only for since inception based on configurat
40. up screen will appears imparting further information and performance results on each security held in the selected portfolio In case of asset class and instrument analysis group there will not be any further analysis at instrument level only in case of portfolio that a hyperlink is provided under portfolio name Understanding the Screen The performance results displayed are independent of the type of login customer or RM Blank tabs will be displayed if the customer is yet to make any investments The detailed descriptions of fields are given below ROR Field Description Manda tory Portfolio Portfolio The performances for all the portfolios associated Dis Name to the customer are displayed play Aggregate Portfolio The consolidated customer level perfor only mance report is displayed Benchmark The performances for each benchmark associ ated to each portfolio as well as the one associated for the customer are displayed MTD The methodology used for computing the performance for Dis Monthly each portfolio or for the aggregate portfolio is substantially play the same only Before we proceed to understand the process of computing returns it is essential for us to be aware of some basic con ventions followed by FCPB to derive the returns The system would have stored the returns for each month starting from January to September However the returns for the current month will be computed daily and will continue to over
41. which should have at least one positive and one negative value in the series will be zero when discounted at the XIRR rate As XIRR produces the annualized returns the specific MTD period returns are calculated using the formula given below ROR for MTD R1 1 XIRR n 365 1 ROR for YTD done through Linking of all MTD RORs 1 R1 X 1 R2 X 1 R3 1 R12 1 An example of ROR computation using XIRR is given below XIRR computation methodology as per function XIRR in excel A worked example of returns computed for a portfolio in a month No of days in the month 30 Description Amount Mkt Value at beginning of mth portfolio start date if within the month MVB 100 Sold part of holdings 10 Bought additional 15 Sold another part of holdings 7 Ending Market Value MVE 102 Total of Weighted Cashflows For the above example the XIRR is computed as below MVB Market value at the beginning of the period where the market value for the beginning of the period is the market value 31 May 08 100 at the end of the immediately preceding period 10 Jun 08 10 Sell 15 Jun 08 15 Buy 25 Jun 08 7 Sell 30 Jun 08 102 MVE Market value at the end of the period ROR using XIRR annualized 61 41 Converting this annualized rate to monthly rate using the formula 1 xirr 1 where n is the period in years for the return computation In this example the period is 30 365 years hence
42. write the previous days return till the month end The same rule is applicable to returns being computed for the portfolio asset class instrument analysis group or at the customer level FCPB reports performance on a non annualized basis ale ORACLE Field Description Manda tory YTD Yearly The financial year considered to compute the yearly perfor mance will be as defined in the bank s master table The for mula enumerated below calculates the Year to date performance by taking the monthly performances Year To Date Performance 1 R Apr 1 R May 1 R Jun 1 Rn 1 n is the nth month s performance R Mon is the Period performance for the month In other words to compute the annual rate of return for port folio returns calculated yearly all the monthly returns for the corresponding year are linked geometrically To recap for the YTD computation the market value on the current business day will be considered for computing the MVE Note It is interesting to note that an investment gaining 1096 over a 365 day non leap year will show an ROI of slightly more than 10 whereas an investment gaining exactly 1096 over a 366 day year leap year will show an ROI of slightly less than 10 for the year Dis play only Since inception The since inception returns illustrates the returns from the first funding date of the portfolio till the current
43. y This buy cost at the security level is arrived at by using the weighted average cost methodology However the important point to be noted is that the weighted average cost methodology is pertinent only for the remaining purchase transactions in the portfolio subsequent to application of the first in first out FIFO rule for all the sale transactions in the portfolio The average cost requires you to determine the average cost per share total amount invested divided by the total number of shares held A FIFO rule is an accounting methodology wherein if if the user holds a security of the same class which has been acquired on different dates the security acquired at the earlier time is deemed to be disposed off first In other words it is assumed that for the securities of the same class the securi ties purchased first are sold first For further details on the computation of buy cost please refer to the section Portfolio Analysis By Portfolio Display only Market Value Similar to the buy cost the market value at the port folio level represent the sum of the market values for all the securities across all the instrument types in the portfolio denominated in the portfolio cur rency Market value at the security level is com puted as a product of quantity and market price Display only ORACLE Field Description Mandatory Realized Gain Loss It is the sum of the
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