Performance Module:Fund Module

From ExtractValue Wiki

The Fund Module of the Performance Module relates to functions applicable to pooled investments, including mutual funds, hedge funds, CPOs and others.

Contents 1 Inputs & Outputs 1.1 Product, Order, and Portfolio 1.2 Transactions 2 Calculations 2.1 Calculation of Share Value 2.2 Calculation of Management Fee 2.3 Calculation of Incentive Fee 3 Real World Example 4 Category Tree

Inputs & Outputs

Product, Order, and Portfolio

Description	Value Type	Technical Name	Product Input	Product Output	Portfolio Input	Portfolio Output	Order Input	Order Output
Inception Date	Date/time	inception_time	X		X
Beginning Value	Currency	beginning_value	X		X
Initial outstanding shares	Integer	initial_outstanding_shares	X		X
Attributed user	User				X		X
Account number	Integer & Text	user_fund_account_number			X		X
Total Invested	Currency	total_deposits						X
Total Withdrawn	Currency	total_withdrawn						X
Net Liquid Value	Currency	net_liquid_value	X			X
Net Liquid profit or loss	Currency	net_liquid_pl		X		X
Open position profit or loss	Currency	open_position_pl	X			X
Net Realized Value	Currency	net_realized_value		X		X
Net Realized profit or loss	Currency	net_realized_pl		X		X
Performance fee	Percentage or Integer	performance_fee	X			X
Management fee	Percentage or Integer	management_fee	X			X
Net fees	Percentage or Integer	net_fee	X			X
Fee assessment interval	Daily, Monthly, Quarterly, Annually	fee_assessment_interval	X
Gross Liquid profit or loss	Currency	gross_liquid_pl		X		X
Gross Realized profit or loss	Currency	gross_realized_pl		X		X
Outstanding shares	Currency	outstanding_shares		X		X
Share value	Currency	share_value		X		X

Transactions

Description	Value Type	Technical Name
Addition or withdrawal	Addition or Withdrawal	addition_or_withdrawal
By value or by shares	Value or Shares	value_or_shares
Desired date of addition	Date	desired_date_of_addition
Desired shares to add	Integer	desired_shares_to_add
Desired value to add	Currency	desired_value_to_add

Calculations

Calculation of Share Value

1. Failed to parse (Can't write to or create math temp directory): NetRealizedValue(t)=NetLiquidValue_t + OpenPositionPl

1. Failed to parse (Can't write to or create math temp directory): OutstandingShares(t)=InitialOutstandingShares + \sum_{t=0}^{n \to \infty} DesiredSharestoAdd_t

1. Failed to parse (Can't write to or create math temp directory): ShareValue(t)=NetRealizedValue_t / OutstandingShares_t

Calculation of Management Fee

1. Failed to parse (Can't write to or create math temp directory): GrossRealizedValue(t) = GrossLiquidValue_t + OpenPositionPl

1. Failed to parse (Can't write to or create math temp directory): ManagementFee(t-FeeAssessmentInterval \to t) = (GrossRealizedValue_t - GrossRealizedValue_{t-FeeAssessmentInterval}) * ManagementFee

Note: Must calculate fees for early withdrawals also

Calculation of Incentive Fee

Failed to parse (Can't write to or create math temp directory): IncentiveFee(t-FeeAssessmentInterval \to t) = (GrossRealizedValue_t - GrossRealizedValue_{t-FeeAssessmentInterval} - ManagementFee(t-FeeAssessmentInterval \to t))*IncentiveFee

Real World Example

1. Admin inputs all the Order history for each User, from the initial Transaction (of opening an account and buying shares) to all subsequent Transactions.
   1. If all of the Users have up-to-date and correct information, a Failed to parse (Can't write to or create math temp directory): product_shares

should be accurate and complete.  Thus, outstanding shares is known.

1. Admin updates Product performance fields. This may happen in irregular intervals, but generally this should happen daily. Thus, gross realized value is known.
2. The share value is determined by Failed to parse (Can't write to or create math temp directory): share_value(product)=OutstandingShares(product)/GrossRealizedValue(product)

1. Each Portfolio can have its performance calculated based on Failed to parse (Can't write to or create math temp directory): ShareValue(Portfolio)*OustandingShares(Portfolio)

Category Tree