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Key Principles

Principle

Decision / Discussion

Flexible aggregation over time

  • The reporting engine should be flexible to aggregate (cumulate) returns over time

Scope one Portfolio

  • the inteface should always deliver data on the scope of a single portfolio (or consolidation)

Benchmark Data

  • Benchmark data should be included

  • No returns should be delivered if there is only benchmark-data (see below about gaps)

Frequency

  • The standard return data granularity is monthly (optionally/additionally deliver daily data) so we can assure to show the correct monthly returns

Calendar Days

  • the field "day" is referring to a calendar day, e.g. day 5 in month 1 in year 2018 is referring to January 5th 2018.

Period Definitions

  • Periods are defined by start and end dates

  • The semantics of the start date is BOD (00:00:00) while the end date means EOD (23:59:59)

Return Types

  • Gross: return without portfolio level fees (but including transaction fees)

  • Net: return including portfolio level fees

  • BM: return of the benchmark

  • Other return types (secondary benchmark, other flavours of fee recognition)

Completeness &
Ultimo-Data

  • Daily return data can have gaps (e.g. weekends) but there should be no daily return entry without both gross/net values.

  • Monthly data have are interpreted to be valid for the calendar ultimo of the month

  • Daily data does not have to be artificially completed with a month end record (so March 31st can be missing in daily if this was a weekend)

  • If an order requests data for a period before the performanceMeasurementStartDate) no valid response should be returned

  • If an order requests data for a period reaching into the future (with respect to the most current data available) no valid response should be returned

  • As the end of the performance history of a portfolio is (currently) not defined in masterdata, all month till the endDate are expected to be contained in the response

Incomplete month periods

  • If a portfolio starts it's performance history in the middle of a month, the initial index value is interpreted for the performanceMeasurementStartDate

  • If the endDate of a request lies in the middle of a month, the last daily index value previous to the endDate is interpreted (the endDate can be missing in the daily records)

Interface "PortfolioReturns"

Usage & Contents

  • Query performance / return data on portfolio level for a given period used to produce

    • PO001: Performance Overview - reporting frequency & YTD

    • PO005: Performance Overivew - rolling

    • PO003: Cumulated performance chart

    • etc.

  • contains monthly (and optionally daily) returns

    • for portfolio and benchmark

    • for all available return types (gross, net, ?)

Reporting Business Logic

  • cumulation over time (monthly → quarterly, YTD, ITD etc.) or rather de-cumulating index values to monhtly / quarterly returns

  • alignment of data frequencies (monthly ITD history with daily for more current periods)

  • relative return calculation for different return types

  • formatting of returns (in %, in bps

)

Path

/portfolio/returns

Parameters

portfolioId*

string

The id of the portfolio (or consolidation) in the data source

startDate*

string (date)

The start date of the period for which return data is requested

endDate*

string (date)

The end date of the period for which return data is requested

includeDailyReturns

boolean
(default: false

  • )

Response to include daily return data (where available)

includeBenchmark

boolean
(default: false)

Response to include benchmark return data

customBenchmarkId

string

parameter to query data of the portfolio measured against another benchmark

Example call

/portfolio/returns?portfolioId=E0002&startDate=2011-04-01&endDate=2019-03-31

Schema

Consistency Rules

The following rules should be adhered to by any response and will be checked when consuming a response:

  • All data returned has to respect the requested period: no data earlier than startDate, no (daily) data later than endDate

  • No gaps are allowed in the years and months arrays (only daily array can have gaps for weekends/holidays)

  • (Year, Month, Day) has to be a valid date (e.g. no 31. of april)

  • all return data (years, months, days) should be sorted in the chronological order

  • if ordered with "includeBenchmark", "bmIndexStart" has to be provided and all indexed return objects have to provide a "bmIndex" value

  • the interface should respond with a valid file for any period starting earliest at PortfolioMasterData.performanceMeasurementStartDate and ending with the most current date (delivered by future data availability calls)

  • if ordered with "includeDailyReturns" all and only the months buckets beginning with the month of PortfolioMasterData.dailyPerformanceStartDate to the endDate should provide daily return data.

Path

/portfolio/returns

Parameters

portfolioId*

string

The id of the portfolio (or consolidation) in the data source

startDate*

string (date)

The start date of the period for which return data is requested

endDate*

string (date)

The end date of the period for which return data is requested

includeDailyReturns

boolean (default: false)

Response to include daily return data (where available)

includeBenchmark

boolean (default: false)

Response to include benchmark return data

customBenchmarkId

string

parameter to query data of the portfolio measured against another benchmark

Example call

/portfolio/returns?portfolioId=E0002&startDate=2011-04-01&endDate=2019-03-31

Schema

Example

Interface "InstrumentReturns"

Usage & Contents

  • used to produce instrument returns tables and charts (MA001, MA003, MA004)

Reporting Business Logic

Consistency rules

  • Same consistency rules as for PortfolioReturns

Path

/instrument/returns

Parameters

startDate

string (date)

The start date the reporting is produced for

endDate

string (date)

The end date the reporting is produced for

instrumentIds

string[]

The list of instruments the return series should be generated

includeDailyReturns

boolean (default: false)

Response to include daily return data (where available)

Example call

/instrument/returns?startDate=2019-01-01&endDate=2019-03-31&instrumentIds=FTSEEUR,SWIIT,SF0003M

Schema

Example