PME is
a full function performance measurement model that is web based
and integrates with any trade order/entry or fund accounting
system. It can utilize any existing data warehouse, ODS, or
relational repository of trade and cashflow information and
produces a tree-structure reporting database for the calculation
of returns at any level from security (cusip) to asset class
to corporate entity. It is designed to self-correct for post
period transactions that must be included for “trade
date” returns and has auto-detection features which will
produce notifications on prior period adjustments which may
necessitate restatement of results.
PME is especially
well suited to support contribution or attribution analysis.
Security indicative and analytic data are stored in the database
enabling returns to be calculated at any aggregation level
such as industry, sector, asset class, or seasonality, duration,
or convexity groupings. Monthly, intra-period, or daily returns
are possible depending upon valuation frequencies. |
Some
of the Key Features of PME include:
- Custom System Components
- Scalable Web Based Architecture
- Selectable Calculation Methodology
- Performance specific data correction facility
- Multiple Return Types
- Batch and online recalculation capability
- Flexible Parameterized Reporting Click on any link to
learn more about a specific feature.
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Custom
System Components:
All components of PME are customized to the client’s
requirements including:
- All codes currently
being used by other related systems such as transaction codes,
country codes, industry codes, portfolio codes, asset classes,
sectors, etc.
- Field or data element names and formats that are commonly
known and used
- Special user defined fields to enable group reporting
or analysis
- Dissimilar or external data sources are integrated and
normalized
- ETL (Extract, Transform & Load) routines are customized
to fit the client’s data structures
- All batch procedures are integrated into existing production
schedules
- Multi currency returns to support various reporting requirements
Scalable Web Based Architecture
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PME is powered by WebFocus™ one
of the most versatile data analysis products on the market.
It can be installed on virtually any hardware platform and
is compatible with all known operating systems. As a result,
PME can utilize over 200 different data adapters enabling it
to access virtually any data repository. The scalability of
PME and its Web architecture make it the ideal choice for small
or large organizations where it can be deployed on a single
PC, intranet server or mainframe for enterprise wide availability,
or extranet server for external client access.
Selectable Calculation Methodology
During the implementation of PME, the client can select from
a wide spectrum of calculation methodologies based upon
the specific portfolio, asset class or individual security
characteristics. For example, some assets may use factors
while others may use actual transactions to determine paydown
activity. Likewise, several different accrual methodologies
are available for fixed income assets to accurately model
accrued interest.
PME also provides for all acceptable return calculation methodologies
including: * Dietz * Modified Dietz * True time-weighted
* BAI * Daily linked * Intra-period * IRR Performance Specific
Data
Correction
Facility
PME provides a sophisticated Graphic User Interface (GUI) which
allows the user to correct or enhance specific data elements
which may be unavailable or locked in source applications.
For example, assets involved in an inter-portfolio transfer
may have been valued at book for accounting purposes rather
than at market for performance purposes.
PME allows for the re-pricing of this transfer and the adjustment
of appropriate cashflows for these trades. Post-period changes
to prices, coupons, factors, or exchange rates unavailable
in source systems can be performed using PME’s interactive
screens. PME will, however, honor any change made to a source
system even for a prior period.
Note: All
changes made directly to PME are recorded on an audit
log showing user, date, time, and before and after
data values.
Multiple Return Types
In addition to PME selectable return methodologies, the client
can choose from a spectrum of return types including: Base,
Local, Capital, Income, Gross or Net. Batch and On-line Recalculation
Capability PME’s batch processing routines are designed
to automatically stay current with daily or month-end production
processes. As transactions, prices, factors, coupons, etc.
are entered into source systems, PME applies them to the
appropriate “trade-date” periods at the cusip
level and then recalculates holdings, cashflows and accrued
interest forward to the present. Similarly, on-line corrections
can be made to any time period and the asset or portfolio
can then be “re-rolled” prior to reporting.
Flexible Parameterized
Reporting
PME’s strong suit is its flexible and powerful reporting
capability. In addition to PME’s library of hundreds
of “pre-defined” reports to choose from, WebFocus
tm offers highly sophisticated graphics and reporting capability
against all of PME’s databases. This enables the user
to quickly respond to internal or external requests for information
and produce presentation quality output in any of several formats
including:
- PRN files
- HTML
- XML
- .PDF (Adobe)
- .XLS (Excel)
- .DOC (Word)
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