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PerTrac Publisher Reports - View the online tutorial!

1. Getting Started SQL Version step 2 Select the appropriate database s to be downloaded This window will allow you to Download Only or Download amp Merge up to five databases from our website Click the down arrow at the end of Database 1 This list contains the complimentary PerTrac databases as well as the subscription databases Click on the database you wish to download If you select a subscription database you must also enter your User Name and Password located in the boxes to the right of each database NOTE The three complimentary databases are PerTrac Indexes which contains approx 1 300 of the most widely used Traditional and Hedge Fund indices MSCI Equity which contains approximately 6 000 MSCI indices worldwide and SSB Indexes which contains approximately 3 100 Salomon Smith Barney indices worldwide TIP When you click the down arrow to select a database s you will see a long list of database names However you may not subscribe to some of them Rather than sort through the list each time there is an option in the Auto Data Update and Merge window that will allow you to customize the drop down list to show only selected databases Click the Options tab on the Auto Data Update amp Merge window The Proxy Firewall Settings window will open Click the Automated Data Download tab Check each of the databases you want to add to your custom list and then click OK Proceed with Database 2 3 4 amp 5 if applicable
2. Y Axis Investment Investment or benchmark to be used as the Y Axis for Scatter Correlation amp Efficient Frontier Period Period may be monthly quarterly or yearly Editing a Chart Each chart in PerTrac Chart Designer consists of several objects including legends axis titles Foctrate Oe ea Oe Fenat Chart To Delais j j j it mae ot axis labels and series points _ 7 errs Pres all of which can be cane oe Fox Ding reformatted to create a eza Hanani F Data ii oo specific style While editing a chart the pop up menu provides you with Chart Designer Edit Chart Data and Wizard options The Chart Designer window works similar to Excel chart formatting windows Editing Chart Data The Edit Chart Data option allows you to change the headings dimensions size and contents of the table that contains the data for your chart Chart Wizard Selecting Wizard begins a four step process that allows you to change the general Select a hatip 7 appearance of the chart such as from a pie Contra chart to a bar chart aa a dha k T h T i hiai 105 PerTrac User Manual v 19 1 Clicking the Blank Chart button from the Investment Charts Window creates a blank chart that you can use to create a chart from scratch by using the methods explained above Exporting Charts and Data By using the Copy option from the pop up menu you can paste both the data and the chart to another program 1 Right clic
3. o Bore a bhit ain ia b erd CET re ft HE EEH pe et ee hs de wipt rmen Se MEE PERTE Farai x Bia ral beats Ek Ip r mi F Li im ak term ee Tem jas Sees m Tm z a MiS arh Elaf inie E eiri dad iiscation aPC fx ieee TE Ms oh a Lihi ie i Chiat frit a L1 Ti eee Cred PFI ari dre f Fi bki TE 2 l eee rerea P Ee prg hrie jH ike bd TE a m eee rora FI ue i ha carn F bi TE d nmi appre rear HFI ere Diri pier lel ba Se i T emari Fi Pere Creer e Pa Her Fi bhi TE amp lt mani FiF homa nee jir lF bd iE T ol 5 Teed F ed ere pher F bf ie amp i amp mani Tilo ert Ee pier F him b Tei am rean T reed tures oe ha 3E 7 a aoe rea OP ii a i pii bhi Se Files hem Exiles iam Fame acc Mavete _lolelAdecaion y Ooo h Lins Lemi i ii lt i aE inii O at g ECE i Erbas p Penha Space Smin oe _ Uras Frim bene Hss amikia irgi Wweurmart BARE Bia Fpma Coie SFH Jaha as be eel THEY TIP Always have a universe with only the investments you want to use prior to launching the Universe Statistics Window Many statistics are calculated within this module and it would take considerable time to generate statistics on an entire database or a similarly large number of funds The top of the Universe Statistics Window contains a row for each investment in the portfolio as well as a row for
4. 2 PERTRAC Analytical Platform User Manual part of the 3 PERTRACG suite Investment Management Solutions 2006 PerTrac Financial Solutions PerTrac Analytical Platform User Manual PerTrac Version 6 0 19 New Feature Summary 1 Getting Started 16 Getting Started SQL Version 48 Single Investment Analysis 61 Single Investment Analysis SQL Version 113 Universe Multi Fund Analysis 118 Optimization amp Simulation 155 Portfolio Construction 175 PerTrac Investment Summary Reports 182 PerTrac Publisher Reports 187 PerTrac Reports Universe Reports 223 Style Analysis Single Fund 231 Style Analysis Multiple Funds 237 Peer Group Analysis 240 Portfolio Simulation and Stress Testing 248 Data Manager 254 Statistics Definitions 268 Frequently Asked Questions 282 PerTrac Tips amp Tricks 286 Technical Support amp Training 291 2006 Strategic Financial Solutions LLC PerTrac Version 6 0 19 New Feature Summary I PerTrac ID Investment Grouping This feature addresses the issue of multiple records for the same investment when multiple databases from different investment data vendors are merged into a single master database Through rigorous qualitative and quantitative comparisons of databases from different data vendors PerTrac can now identify investment records from different data sources that are actually the same investment The user has the option of grouping duplicate investment records together so that only one record
5. Sort Key Number You can use this row to enter sorting instructions that will take effect when you run your report Report Type You must choose between a Columnar Report or a Peer Group Analysis Report Both reports display statistics and information in a table format The Peer Group Analysis Report also provides percentile rankings and other statistics that provide a comparison to investments in another universe Also the Peer Group Analysis Report creates a chart that plots the peer group values within a percentile bar chart Once the report type has been selected from the pull down menu the name of the selected report will appear next to the Report Type label Specifying Date Range You may then enter a date range for the analysis in the From and To boxes at the top right of your screen Initially these boxes will contain the words Start 221 PerTrac User Manual v 19 1 Date and End Date Erasing these words and leaving the boxes blank will cause the date ranges to default to Inception and End of Data meaning that each investment s full history will be analyzed To use a specific range of dates however enter the dates in month year format in the appropriate box When creating a template for a Peer Group Analysis Report a specific date range Is required NOTE If you have multiple sheets in your template each sheet can have the same date range or different date range Data Series Reports Certain fields in t
6. iiss sivas me cm Open New Universe to select your universe Then click Universe Stats Allocation and Zumt Daa lr 3 Erdtee Aprn Fast Aller Fest Lew e e e ee os i m ie Lote Gat Coste het Uiit Epia Eai Drank lO imik hai t 10am iii Optimization at the e Poin z Comstation _ Coats paimt i Lira Erim i ipt ew Chasey bottom of the Home singe teers OM arama irian Geter aieh I A Wath Vom window to access the universe analysis tools which now include Impact Analysis When the universe allocation window appears click Impact Analysis The Impact Analysis window will appear kemet CFE Mocs Fre rie Fiera z H Fak w Cuga Chat reim ikee oo Diale ima Liei Let Set ipia a Sam y Shee F a I Emri Charts ee m 5 l La i ret Lirim To breinet FOLS hota j bewe m Paadi r DadDaia an feiim ieee Lae 7 SOA Ei re rece Ape The top section of the window contains an Investment selection window Benchmark selection window Risk Charts Omega Chart correlation statistic selection Rolling Periods Start Date End Date Investment Allocation to enter the allocation of the new fund added to the portfolio and Investment Leverage if the new fund will be leveraged Two correlation statistics Left Stat Right Stat can be selected a one time Three charts for the two selected correlation statistics will appear below the input selection area The analysis options are
7. table Below these fields is the m ss standard data table For data m i cmt vendor provided files the data table is updated each time the user updates the vendor database user entered data however must continue to be updated manually The data table includes columns for Date Performance percent return Funds Managed NAV Net Asset Value VAMI Value Added Monthly Index and Cumulative Return The table also contains an Estimate column which allows you to flag the rows of data that contain estimated performance values Only the first five columns require data entry while the VAMI and Cumulative Return columns contain locked cells that are calculated automatically Note The drop down window on the lower left allows you to toggle between data vendors when you have duplicate investments grouped The Previous and Next buttons at the bottom of the screen allow you to view data from other investments within your universe Finally the Statistics and Information buttons allow you to move directly to those windows as in the Current Universe Window 11 PerTrac User Manual v 19 1 2 05 Adding Performance Data View the online tutorial 78 Adding Monthly Performance Data All new investments will initially require that a data stream is entered in the Investment Data Window All existing investments with the exception of those supported by your data vendor which are updated when you downlo
8. Annualize Statistics Annualizes the data for the current chart amp Show Rate of Return Bars Incorporates the monthly rate of return bars in the chart Plot Statistic Return Scatter Places return on the Y axis and the selected statistic on the X axis and connects the points in sequential order Number of Rolling Months Allows you to choose the rolling period length You can select to plot up to three different rolling periods 4 Data Type Allows you to choose a period length either monthly or quarterly for the rolling average return calculation Rolling Correlations Roing Statistics Raimg Conelatons Options E M Alpha T Plot Investment Data Type pi A Correlation R Benchmark Differential Pesiomance RS ey Information A ato Recent Retume ma Beta T Stat 12 Number of Roling Months 103 PerTrac User Manual v 19 1 104 Rolling Correlations Options The rolling correlations options include Alpha Beta Correlation R R Squared Information Ratio Tracking Error and Beta T Stat Plot Investment Plots the cumulative return for the current investment Plot Benchmark Plots the cumulative return for the benchmark Differential Performance Plot Cumulative Differential Return Plots the cumulative differential return Recent Returns Plot Historical Average Check this box to chart the average rate of return for the period a Plot Standard Deviation Check this b
9. Download Database Only 1 If you wish to download the database and not merge it check the Download Only box You will notice that when this box is checked the option to choose a Destination Database for merging disappears 26 Getting Started 2 Click the Download Folder button at the end of this box The path you select here will be the location to which the database will be extracted 3 Enter your license number in the boxes provided if it does not automatically display TIP If you do not have your license number click on Help in PerTrac and then select About PerTrac Write down the alpha numeric license number located on the left 4 Check the box below the license number to delete the compressed WinZip file that has been downloaded Delete Downloaded Zip File There is generally no reason to keep this file on your computer once the database has been extracted If you leave it unchecked the zip file with the database will reside in you specified download directory 5 Now that you have made your selections you can save your settings for the next time you update data Click the Save Settings button When the Save As box appears name your settings file then click Save The next time you download data click the Load Settings button at the lower left to load your saved selection criteria 6 Click Go The database will be downloaded to the selected directory Download amp Merge Your Databases 1 Do not check
10. NOTE When the download process has ended close the Data Manager windows The updated database can now be opened in PerTrac If you selected Download Only the updated database will be located in the folder that you selected prior to downloading In PerTrac click on File Open New Database and select the database If you elected to Download amp Merge your databases with an existing database and that database was open in PerTrac when you ran the update click the Load Master Database button on the left side of the Home window to update reset the database If you elected to Download amp Merge and the database being merged was not open in PerTrac click File Open New Database and select the database 1 6 a Schedule Automatic Database Downloads The SQL version of PerTrac allows users to P aesiasneks schedule automatic database downloads and then merge the downloaded database with a selected destination database The following steps will walk you through scheduling your automatic data update Step 1 Save your Settings Prior to scheduling your automatic data update you must save your settings in the SQL Data Manager utility Click the Tools tab on the upper menu bar and select Update Database The Auto Data Update and Merge window will appear For instructions on setting up your download please see the section on Updating Your Databases Automated Update To save your download settings click the Save Settings button This
11. PerTrac Publisher Reports Custom Report To run the report double click on the Generate Custom Reports icon A gray setup window will appear Parl pac Publiah r a 3 Fr a pam 4 z SH feet eee ot aie all i Necrmenarded rahal template Haraha haa oh Wher ioshae urar a tbeHjad chal bboy epia and cope Phe ecole To pra iha deve Itoh There are six sections of inputs that must be made prior to generating a Custom Report The sections are numbered on the screenshot above 1 Fund Selection the first step is to select the fund to use as your sample fund when creating the report The Use Investment option should be selected on the upper left If you are generating the report for one fund and you highlight that fund on the home window prior to opening this setup window the fund will be automatically listed in the Use Investment window TIP If the fund you want to run the report on is not listed in the Use Investment window click Locate Universe to open the universe that contains the fund If the universe contains numerous funds click the Expand button on the left to see an expanded view of the universe When you find the fund that you want in this list double click on it and it will appear in the Use Investment window 2 Benchmark Selection One or two benchmarks may be selected for this report Click the Locate Benchmarks button in the second section to locate the universe containing your benchma
12. investment records including all duplicates will be shown When checked the black box will show the number of unique investments excluding duplicates TIP If your investment records are grouped we have added a new drop down box to the lower left corner of the Investment Information Investment Statistics and Investment Data Monthly Quarterly windows The drop down box will allow you to easily toggle between the duplicate records from different data sources for the currently displayed investment if your data is grouped 2 Configure Data Vendor o x Priority If you have multiple databases from different data hecho vel reel vendors and you wish to AEDT a Data t the highest oy vendor _ CIS MHEDGE O Ayak e ked Ey eaul ehka merge these databases and SCE uy searching ard viewing investment group duplicate investment ol tae Ine records together you will have to set a priority on which data vendor s record will display for a duplicated investment To set your data vendor priority click Preferences on the upper menu bar The first option is Configure Data Vendor Priority Place the data source you wish to give highest priority at the top of the list and on down so that the lowest priority source is at the bottom of the list Based on the example screen above if PerTrac identified duplicate records for the same investment from Hedgefund net and Stark the record from Hedgefund net would be displayed in the Home
13. 2 08 Fee Simulator The Fee Simulator provides the option of adjusting an investments performance for various fees and interest rates Select the investment you wish to adjust and select Fee Simulator from the Tools menu 1 When the Fee Simulator window opens enter the applicable fee percentages and payment frequencies 2 Inthe Initial Settings section enter the invested amount along with any credit or loan amounts leverage along with their corresponding interest rates pa Hm u Laer iret ergs nhie Ammar j EE EOE i test Dalene E Loan Amari ic Dhege Fee Tie Heite brid Furia m j Deta Bt airon ier PB at Pele ag End Dike anaes Frere Soli LLOONET Bde opr gleoed Al oer ube a ps Enr 3 Using the option buttons fees can be charged to either the invested funds or credit debit balances C database 6 Click Convert A new window will appear that contains investment information to duplicate into the new Net investment record Click Save to create the new Net of Fees investment 2 09 Excess Return Conversion A data stream can be created which reflects the difference excess return between an investment and a benchmark Choose the investment you wish to convert to an excess return stream and then select Excess Return Conversion from the Tools menu 1 Select a benchmark from the pull down menu Enter the desired start date and end date Checkin
14. Annualized Sharpe Qluarterly Sharpe 4 7 Sterling Ratio This is a return isk ratio Return numerator is defined as the Compound Annuallzed Rate of Return over the last 3 years Risk denominator 1s defined as the Average Yearly Maximum Drawdown over the last 3 years less an arbitrary 10 To calculate this average yearly drawdown the latest 3 years 36 months is divided into 3 separate 12 month periods and the maximum drawdown 1s calculated foreach Then these 3 drawdowns are averaged to produce the Average Yearly Maximum Drawdown for the 3 year period Where D1 Maximum Drawdown for first 14 months Where D2 Maximum Drawdown for next 12 months Where D3 Maximum Drawdown for latest 12 months Average Drawdown O1 D4 D23 3 sterling Ratio Compound Annualized ROR ABS Average Drawdown 10 212 Statistics Definitions Drawdown 4 Drawdown is any losing period during an investment record Itis defined as the percent retrenchment from an equity peak to an equity valley A Drawdown is in effect from the time an equity retrenchment begins until a new equity high is reached Le In terms of time a drawdown encompasses both the period from equity peak to equity valley Length and the time fram the equity valley ta a new equity high Recovery Maximum Drawdown is simply the largest percentage drawdown that has occurred in any investment data record The Drawdown Table in Perlrac 2000 provides a compreh
15. Creating a Checked Items Universe This feature in PerTrac provides you with a convenient manual way to start a universe Each investment in the Current Universe Window has a check box that can be used to select or de select an investment ABC Fund of Funds 1 Check the investments that you wish to X e Hek m include in your universe SBE bepadi daoin 2 Click the Create Checked Items Universe 4 AEC Trading Program button This opens the Create New Universe Window This window contains two list boxes placing all of the investments from which to select your universe in the Current Universe List Box on the left and all the investments that you have selected in the New Universe List Box on the right 3 You may continue to add and remove items until you have the universe of investments you want 4 Click Save New Universe 5 When the Save As window opens enter a name for your universe 6 Click Save Manually creating a new universe without check boxes Another way to manually create a new universe is to click the Create New Universe button from the Current Universe Window This time when the Create New Universe Window appears the Current Universe List Box on the left will contain the investments from which you can select but the New Universe List Box will be empty 1 Select an investment from the Current Universe List Box and click the Add button to move that investment to the New Universe List Box The Add All button can be used
16. Erd 5 rch g No equivalent r g Gi ors 7a Gp Pieced fare p MO equieaiest rrenetmeert i tu 1 ih 4 ata ge i M iim f Pred Larch E In gp Preece tad ab By L218 Gere a ee bi Go Papel pre hi a Ta i eed Bere r TEA Gg ay amp E T Gy a Search gy tow Teki i a LL gis gaa dor amp Diisi Hirah E Pea gh Erer eel ob a Ea E o Hic i arm F Pod temi amp foam gh reii had ab a Pag amp fea amp ia atte amp Pape Fee amp Toe w Dre h k a hy a a te amp Li ae f fears amp Bee ect E a w irpini hd ah amp LiDE f LIE amp ide eeu Gp Peder gy Tee gg Preteen hed ob By E Qian GIN M Bread Pree Search E Tam gy Prei head ab Gt LTE F LEPA iN 5 pma amp Pied earch amp jem q jerine hid ab H EPS F irs amp an rig Gp ba Tmar amp Tee breve aed kr gle Lie a IFA g La l E Peed Garhi To al Drapia Sd ad a cba ge 1 gag M ir ay Frari pt i hi aia Pee ih T ga og M p 7 i 1 LR hath hemmaey heres ee F Wea P ma io A pa fone priage EET Search UrPora 1 earner a ET P O cel pa a imirt Data Pr Emed Cera dii arrest Se arelerd Co Larvae tah A care Py Cit Puta European Bai ioe Cate Por Sheree Devisi MPEG ahi dorwakped Starved Ce Pars sat 40 ol of Git Puta Dunpean Stott ea Cote Por Sereda r He di awai Shader dt De Lut E a a The Search Summary Report lists all funds in the universe on which your search was run By default the report is sorted by the funds that passed your search criteria
17. FF 214 PerTrac Publisher Reports Risk Return Scatter Plot Universe There is universe risk return scatter plot chart on the report s Library tab Use this option to select the universe you want to plot and the number of years to plot NOTE There is a Use box for each of the options The data for that option will not be exported if the box is left unchecked Style Map Setup Use this tab to setup the Style Map Dominant and Style Map Traditional style analysis charts Use the down arrows at the end 7 of each option to select the appropriate benchmark The MasterPublisherLibrary xls files also contain Style Map Dominant and Style _ Map Traditional charts designed for a at universe of funds There is an option on the lower left of the setup window to elect to Use Multiple Style Universe If this option is checked Locate next to that window to select the universe of funds to be plotted on the chart NOTE The chart is designed to plot five funds only If your universe contains more than five investments only the first five will be plotted on the chart 11 Click Generate Reports This will open the report in Excel The report will be a read only file You should save the file under a new name prior to building your template For example you could name the file Our Company Custom Report Template TIP There are no limits on the number of templates you can create 4 11 How do Build a Custom
18. by right clicking and selecting Clear The right click menu can also be used 41 PerTrac User Manual v 19 1 for Cut Copy or Paste functions or for Inserting or Deleting Rows in the data table lf you have entered a value in the Performance column and wish to recalculate the NAV highlight at least two cells to be recalculated in the NAV column and click the Calculate NAV button Conversely if you have entered a new NAV and wish to recalculate the Performance highlight at least two cells to be recalculated in the Performance column and click the Calculate Performance button When all the data has been edited as desired click the Save button then the Disable Editing button 2 16 Adding Daily Weekly Data 42 You can open the Daily Weekly Investment Data Window by clicking the ag ee command button from the left hand side of the Current Universe Window or by clicking the button labeled DalyAveskly B ta trom the Tool Bar The Daily Weekly data sheet is similar to the traditional Monthly Quarterly data sheet in that the same data sheet is used for either data series The following steps will walk you through adding a new investment with daily or weekly data Note If you are adding daily or weekly data to an existing fund skip step 1 below and start with 2 1 Click Add New investment the first button on the left hand side of the Home window When the Add New Investment window opens enter a name for your fund and
19. capabilities select Open Workbook Designer from the Workbook Designer menu 6 04 IntelliStat Search View the online tutorial The IntelliStat Search allows the user to create universes by running a search on any peer database you have created To access the search window click IntelliStatTM Search in the peer 242 Peer Group Analysis analysis window The search criteria selection window includes 53 performance measures and 9 risk measures When your search criteria have been selected click the down arrow at the end of each statistic to select the percentile requirement For example you could search for all funds that fall within the top 25 of the peer universe for the last 3 Year Annualized Return and 3 Year Annualized Sharpe Ratio NOTE If you select multiple criteria for the Intellistat search the funds must meet all of the criteria to be included in the output In the example above the funds must fall in the top 25 on the 3 Year Annualized Return and 3 Year Annualized Sharpe Ratio not 3 Year Annualized Return or 3 Year Annualized Sharpe Ratio When your selections have been made click Execute Search The results will be displayed in the column on the right side of the window The Intellistat figure that is displayed is the average ranking of each fund for each of the statistics on which you searched IntelliStat Status Bar Lange Cap Value Peer pdi 1H MiS Inwestnents in Database 16 lnvresim
20. 110 1 ES 1 ser 3010 4 igu m 3 14 iE 14451 i nim Hog 11 45 i 0 oer ri 17 EI Wr madig 1ga 1a afin IEF tpi ic At the bottom of the Investment Statistics Window you will see the Next and Previous buttons the left and right green arrows which allow you to view the Statistics of other investments in the current universe Also you will notice the usual Information Data and Charts buttons which open those respective 89 PerTrac User Manual v 19 1 windows in the same way as the Tool Bar in the Master Window Finally clicking Exit at the lower right will close the Investment Statistics Window The remaining buttons will be discussed later in the manual Note The drop down window on the lower left allows you to toggle between data vendors when you have duplicate investments grouped Statistics Tables Statistics Definitions The Investment Statistics Window contains the following statistical tables 1 Annual Statistics 2 Cumulative and Annualized Returns 3 Time Windows 4 Drawdown 5 Monthly Performance 6 Risk Table T Correlation Analysis When the window is opened statistics will be calculated and displayed over the entire performance history of the investment If you wish to calculate the statistics over a different period you may enter these dates manually in the Start Date and End Date fields at the top right of the window Once a new date is entered in either o
21. 1996 2006 PerTrac Financial Solutions LLC All rights reserved eect dewredfuncton hom Fie ment n D E a S TIP The center of this window contains links to online tutorials that will walk you through each of the four main functions Data Manager Overview Automated Data Update Merging Data and Database Maintenance discussed below The bottom of the window contains three quick launch options Automated Data Update will open the Database Download window Quick Merge will open the Database Merge window Just Launch Here will open the main Data Manager window shown above 254 Data Manager 8 02 Merging Your Data Quick Merge Data Manager File Options Help y Automated Data Update aE Quick Merge i Validate Database A Compact Eya Error Log The Quick Merge option is a tool for manually merging a database with another database or merging a universe with a database Merging Databases Step 1 From the Home window in PerTrac click the Tools tab on the upper menu bar ae ee ee ee eee eee ence eee Click Data Manager When the Data Gaaraa Manager window appears click Quick Merge The Quick Merge window will open Step 2 Click Source to locate the database you want to merge to another database Step 3 Click Add to locate the database you are merging with Step 4 Click Merge to merge TIP You only have to click the Add button once for each database to which you merge These databases will be added to
22. 3 Add and remove items until you have the universe of investments that you want 4 Click the Save New Universe button When the Save As window opens enter a name for your universe Click Save mo TIP Always save the universes after creation even if only in a temporary file such as Temp unv I Search Builder Search Builder is a powerful new search engine that combines the current Information and Statistics search engines into a single search engine with the following features 1 The ability to select qualitative and quantitative criteria in the same search 2 The ability to search across multiple data sources in a database when selecting Information search criteria 119 PerTrac User Manual v 19 1 3 The option to automatically remove duplicate records from the resulting universe of investments when a search is completed 4 The option to save your set of search criteria as a search file that can be used again later The new Search Builder search engine can be accessed three different ways from within PerTrac 1 the Search button located at the top of the PerTrac window 2 the Tools menu in the menu bar 3 the more familiar Create New Universe button at the left of the Home Current Universe window The Create New Universe window no longer contains the Select by Information Search or Select by Statistics Search buttons They were replaced by the single Search Builder button Either of these
23. Benchmarks option This will insure your funds are ranked in the appropriate Peer Groups when the reports are generated Peer Group Universe 3 g Years for Risk Return C PerT actu niverse Large Cap Value Feer uns Locate Peer Group Scatter Plot i AAL Equity Income C Use Above i AAM VORA U S High Book to Market T Use Investment Date AB Funds Trust Yalue Equity Range AB Funds Trust Value Equity Retail AB Funds Trust Value Equity Retire W Use Assigned Peer Universe Benchmark Universe Feer Benchmarks Stile Universe style Benchmarks View each tab above to select the universe and benchmarks used for statistical analysis x TIP If you elect to save the reports in a folder click Locate Folder to locate the folder where the reports will be saved The reports will be saved under the names of each of the funds in your universe 4 13 How do Generate the Pre Contructed Publisher Report Templates 24 Delp The sections above walk you through the process of T Technical Support creating your own custom templates with the Generate Download Updates Custom and Generate Combination Reports options FI Statistics Definitions Onine YOU also have access to 15 pre constructed one page templates that can be downloaded from the PerTrac support site To view the templates within PerTrac click the Help tab on the menu bar Then select Download Contact Lis a Fer Trac Planual EB view D
24. Remember If you select a subscription database s you will have to enter your User Name and Password in the box to the right of each selection Step 3 Elect to download the database only or download the database and merge it with other databases Do wnload only pause Date Updaie amd bere Fis Centos Automated Data Update Dalabsin 1 Pes Tene Ince 1 If you wish to download the database and not merge it check the Download Only box You will notice that when this box is Detar t checked the option to choose a dauns Destination Database for merging 20 disappears Daaba j P r z Lene ne H ib jang m laaane I Teee Dcewicuychedd Zi Fike Loni Sets Save Deirg Coste Database View Lng Perfeninaees investments PerTrac User Manual v 19 1 2 Click the Download Folder button at the end of this box The path you select here will be the location the database will be extracted to 3 Enter your license number in the boxes provided By default your license number will be added for you 4 Check the box below the license number Delete Downloaded Zip File to delete the compressed WinZip file that has been downloaded from the web There is usually no reason to keep this file on your computer 5 Now that you have made your selections you can save your settings for use the next time you update data Click the Save Settings button at the bottom of this window
25. Where N Number of Periods Where Li 1 IF R 0 ELSE 0 Where LD 10IF RD 0 ELSE 0 M T EL I 1 M IDe tS LD l 1 Percent Gain Ratio T TD Calmar Ratio This is areturnfrisk ratio Return numerator is defined as the Compound Annualized Rate of Return over the last 3 years Risk denominator is defined as the Maximum Drawdown over the last 3 years If three years of data are not available the available datais used ABS is the Absolute Value Calmar Ratio Compound Annualized ROR ABS Maximum drawdown 281 Frequently Asked Questions FAQ What do statistics shown in the color blue signify The color blue is somewhat of a red flag Statistics and performance measures shown in blue indicate a situation the user must be made aware of There are two areas in PerTrac where you might find statistics in blue Investment Statistics and Universe Statistics 1 Investment Statistics There are two tables located in the Investment Statistics window where you will frequently see statistics in blue a Date Return Vami and To Date table located in the upper right The color blue in this table indicates that the monthly return s are coded as estimates b Benchmark Analysis table on the lower right The Benchmark Analysis table contains correlation statistics and capture ratios relative to selected benchmarks The color blue in this table indicates the statistics are not being calculated ov
26. access the Leverage Data Table click the Leverage button at the bottom right of the Investment Data Window From the Leverage Data Window click Enable Editing button at the bottom of the window l When entering dates NOTE that the Fill Dates and Dates End of Month buttons work the same Piat way as in the Investment Data Window Long Short and Net columns are available for both Leverage Single Investment Analysis and Invested data 3 When all data has been entered click Save 4 Click Disable Editing NOTE The Leverage Data Table is a stand alone table for compiling historical data The data in this table is not linked to other PerTrac tables However this table can be exported into PerTrac Publisher As a result if you wish to include data from this table on your template it is available 2 11 Investment Statistics View the online tutorial The Investment Statistics Window displays summary performance statistics for a single investment You can open the Investment Statistics Window by clicking the Investment Statistics command button located on the left hand side of the Current Universe Window or by clicking the button labeled Stats from the Tool Bar bs Stathtics Sample Markel Meutral F end ai Dales 16 Erd Date bie ee ToDma E J Ap ia 3d BEEE 4755 F HT as i ya 4 117 00 A AF j i Wira 3 fei 62 Se ja Fi Fi 2 are 3755 oe PET y EIFS CT 2 T 12i ET Ean EK
27. database version of PerTrac The SQL version of PerTrac has no limit on the amount of investments in your SQL database However if you exceed 32 766 investments in your SQL database the check boxes next to each investment name will disappear The Create Checked Items Universe function will not be available 2 03 a Set Company Fields Set Company Fields Click the Sears ai Preferences tab located on the upper o menu bar Select Set Company Fields This feature lists the first 19 fields on the general Investment Information page starting with the first field on the upper left Set Company Fields can be applied to existing data vendor databases but more importantly when adding qualitative data to user entered investments You may set field names and values that will apply across numerous relational funds which means you no longer have to add this qualitative information one fund at a time For example let s say you have a field labeled Fund Manager that contains the name of a portfolio manager who manages multiple funds You only have to add the manager s name to one of the funds Selecting Fund Manager on the Set Company Fields option will insure that the portfolio manager s name shows up for all related funds In fact all funds with the same value in the first field on the General Information page will then show the portfolio manager s name in the Fund Manager field TIP The 19 field labels shown on th
28. greater than greater or equal to less than less than or equal to Applies to both Info and Stat search criteria PerTrac User Manual v 19 1 6 Value The requested value entered by the user Applies to both Info and Stat search criteria 7 From Enter the start date for the selected criteria You can search Start of Data Since Inception or enter a Month Year 8 To Enter the end date for the selected criteria You can search End Date Parameter a shortcut when running a saved search each month and you want the statistic run through the new month end date without having to change the end date each month End of Data or enter a Month Year 9 Benchmark This option applies when selecting correlation statistic criteria When a correlation statistic has been selected under the Criteria column the Benchmark column will light up for your benchmark selection Note When you click the down arrow to select a benchmark you will see a list of all your assigned benchmark universes By default the Correl unv is assigned to all funds in your database If you have not assigned additonal benchmark universes to your funds the Correl unv will be the only listed universe to choose from 10 Period The period options are Monthly or Quarterly Search Builder Tool Bar Options e Edt Wew Burn Help Saved Sethe SEH Starch Seach Were Srp Search A Universe Current Uneverse Allure 1 File Contains options for starting a new search
29. option just below the license number Delete Unzipped Database You can elect to delete the individual un compressed database s that were selected at the top of the page If you have merged the databases and don t want to have individual databases as well check this box to delete the uncompressed database after it has been merged 6 Synchronize performance many data vendors make adjustments to their data over time For example a data vendor may have included in the historical performance for managers pro forma data Then months or years later delete the pro forma data which means it will not show up in the new database available for analysis The Synchronize Performance option will erase the entire history for the funds and replace each performance stream with the data they are currently supplying If you know the data vendor has made changes since your last database update you can check this box to completely rewrite the performance data in the destination database 6 Save Your Settings now that you have made your selections you can save your settings for use the next time you update data Click the Save Settings button at the bottom of this sheet When the Save As box appears Name your settings file then click Save The next time you download data click the Load Settings bution at the lower left to bring back your selection criteria 55 PerTrac User Manual v 19 1 step 4 Start the Download click Go to start the update process
30. plus qrofit or minus loss Period Return Dollar Profit Loss divided by the sum of Beginning Equity plus Deposits and Withdrawals Cumulative Return The cumulative investment return since inception of the portfolio VAMI The Value Added Monthly Index which is the growth of 1 000 NOTE Withdrawals are always displayed as a negative number 132 Universe Multi Fund Analysis Rebalancing Table This table lists the additions and withdrawals for each individual investment that were made to accommodate the re balancing specifications summary Table This table contains a column for each investment in the portfolio as well as the portfolio as a whole that displays the dollar value allocations to each investment When this table is opened the drop down box located at the top right of the window will contain the names of each category in the Pro Forma Performance Table allowing you to select the category of data to be displayed This feature is ideal for quick comparative analysis of the individual components of the current portfolio Printing Editing and Saving Pro Forma Tables The Pro Forma Window also contains the standard options for editing reformatting printing and saving your tables Double right clicking over a pro forma table opens the Workbook Designer and displays a fully editable version of the table To save a pro forma table for future reference select Write from the File menu of the Workbook Des
31. saving and deleting searches and resetting your search options 2 Edit Typical editing features used in spreadsheet applications cut copy paste insert rows delete rows clear contents in a row move criteria up or down and grouping functions to group your criteria based on And Or logic 3 View Allows the user to view the Criteria lists by category or alphabetically and to launch the Value Hints Options or Errors tabs 4 Run Run a search or check for errors 5 Help Contains a brief document on how to start a search 6 Saved Searches This drop down menu will contain a list of your saved searches Note If you select search criteria run the search and then exit without saving PerTrac will automatically save your search for you When you click the down arrow saved files will be named Autosave1 Autosave2 etc 7 Search Name Use this field to name your search Once a name has been entered click the Save icon just to the right of the field 8 Universe This drop down menu allows you to select the universe on which you will run your search The list will include All unv the universe PerTrac Version 6 0 19 New Feature Summary containing all investments in the current database as well as any universes saved in the Universe folder Search Builder Shortcut Options These buttons appear at the right side of the Search Builder window 1 Click Run Search to run your search i il 2 Click Move Up t
32. search was run and the percent and cits ata om number of funds that passed and failed the search There are also four GI Open Starch Report Windom button options at Open Search Repeet in Eoi a Save Universe Opens the Save As sa window to your default universe folder bki Seve Seach Report os an Perel Pie b Open Search Report Window Search Builder generates three detailed search reports each of which is discussed in the section below This option however will open the reports in the Search Builder c Open Search Report in Excel This will export the search report and open it as an Excel spreadsheet d Save Search Report as an Excel File This option saves the report as an xls file that can later be opened in Excel TIP GS Once you have created and saved your searches you can access them quickly from the Home window upper toolbar We have added a Searches drop down menu This will allow you to select a saved search which will then automatically open the search window 125 PerTrac User Manual v 19 1 ll Search Reports PerTrac Search Builder has the ability to generate three detailed search reports Search Summary Report Pass Fail Report and Search Criteria Report 1 Search Summary Report fearth Arpal Lamaie Search MPERA 1a a OIX e E L Pure E Linevirie a Search emay Arpe amp ie al Geet TES ah Chere Bee Pimi Fha eh Heh ea gae ee Tee fn ae a a a d Ene n dirait i aab eis a a
33. universe selection for the universe risk return scattergram chart The Combination Report input sheet contains a third button Style Map Setup This option will allow you to setup up the benchmarks for the Style Map Traditional and Style Map Dominant style analysis charts 222 PerTrac Reports Universe Reports 4 14 PerTrac Reports View the online tutorial PerTrac Reports is a powerful universe multi fund level report generator You can create an unlimited variety of custom reports by selecting qualitative information or performance and statistical data You have access to all of the qualitative investment information fields the data vendors supply as well as every performance measure and statistic that PerTrac calculates You can generate reports on up to every investment in your database at one time With PerTrac Reports you can also create templates that generate identical reports on a periodic basis for continuing analysis and presentation The following steps will walk you through creating a report template and generating the report Step 1 Open PerTrac Reports in the PerTrac Biv Ses Aus mw Home window click the Reports tab located on the Rha Fors Mutt Investment Reports upper menu bar Then select PerTrac Reports E Prnt investment Information and Statistical Tables PerTrac Reports will open as a separate program from Pet spt im PerTrac i iali NOTE When you launch PerTrac Reports fo
34. Click Save to save your new dropdown list items Step 7 View your new dropdown items To view your dropdown items highlight a user data source investment at the Home window Click the Investment Information button on the left hand side of the Home window When the Information Window opens click the down arrow next to the User Information tab located on the upper menu bar Click the 1_User Information Window tab 116 Single Investment Analysis SQL Version General Notes Cl information Categories EQ User intormation F User Categories A Memo Company Strategic Financial Soksions rvestimend Sample Fund 1 Legal Docs o Pertrac Offenng Memorandum doc e 5 aridum Pen raciisma Memarandum doc When you click the white area to the right of the label you will now see a small dropdown arrow Clicking the dropdown arrow will display the items in the dropdown box Select an item to enter under Legal Docs This item will now appear in the window for this fund and any other fund with a relational link to this fund 2 05 a Show Manager Display Show Manager Display Located on the Home window this feature lists all related funds linked by way of the Make Database a Relational feature located on the Tools tab Once the database s 55 has been made relational you can view a list of funds related to the same managers company name fund family etc When the list appears click the plus sign next to
35. Commodore Overseas Fund Lid 17th Street Fund LF Tat Source Monogram Divi E quip tat Sonca Monogram lnc Ist Source Monogram Income E quip Ts Sonca Moraga Lorg Shut Tst Source Monogram Special E quily 2 Equity Pares LF 2811 Smal Yau Fund LF 3 honth Euska iale 3 Hopih lbg Agte Usci Peiltsc indewet HFRS HFRS HFA MomngsiaE nhanced MorengetaE nhanced MomngsiaE nhanced MorrungelaiE nharced MomingstaE nhanced HFRS HFRS Pail tac Indewee Pei rac Indexes 34 Global Groth Fund Lined HFA Se 4M CMP Master Fund Limited EUA Shares HFRS M 40M CMP Master Fund Limded USD Shares HFRS AA Assgand Feed income Fund Limited HFRS pgad Fred income Fund Limbed USD HFRS W ire AAC Find of Hedge Funds Benchmark Farra biesas T Abscus HFRS JH Creaa Checked bans Universe Group Checked investments UineGaroup Checked Investments Actie Viniiners Abacus Buil hioo Groth MorungelaE nhanced 5 Style and Benchmark Analyeis Pae Group Analssis Postfoiia eper irin Ses arini pe branes ard NOTE If you are a new PerTrac user you will be prompted to Open an Active Database when the Home widow appears PerTrac will look for the databases in the PerTrac Database folder on your C drive and open a dialog box that shows you the contents of the folder In this Database folder you will find a PerTrac Blank V5 0 database and a PerTrac Index Database Open the PerTrac Index Database At this point P
36. Current Universe window if the Group Duplicates checkbox was checked The record from Stark would be hidden by default This priority will also be used when creating universes with PerTrac s new Search Builder search engine which can automatically remove duplicate records from your results cave Cancel 3 Data Source Name In previous versions of PerTrac the data source name was shown in a box at the top of the Home window Now the data source name is located to the right of the fund name 4 New universe selection drop down menu Located at the top of the Home window is a new drop down menu containing the various universes saved in your default universe folder You can quickly switch the universe that is currently open with this menu 21 PerTrac User Manual v 19 1 New splash screen for PerTrac announcements SH Welcome H PERTRAC Weloome to Pertrac Meottacged From eare you well find hetpr il rng a att nes features upp ader of future ramatesd Fron tena fo bme thes wire will bee digplaqed au bormnat cat y to nif mm you of few m itegjti You can mrumie PerTrac meitages af any time of you Can browse thoough previous mediages y delecta them if ihe droo down to Perla Meas met MT eT I Fai Geeta Bere Pret AA pide hue Oy el 1 A There is anew Messages button located on the lower left side of the Home window Clicking this button will launch the new splash screen Here you will find messages about PerTrac releases upda
37. Efficient Frontier Optimization Results Clicking Display from the Efficient Frontier Setup Window or Plot from the Advanced Setup Window will display your results A variety of windows can also be displayed by clicking on the efficient frontier line Efficient Frontier Plot Actual Portfolio Risk Table Portfolio Allocation Pie Portfolio Allocation Table and Tracking Error Pie Each of the displays can be turned on or off using the drop down box labeled Show on the Efficient Frontier Plot toolbar The display below shows all the available exhibits i Effichond Froniiar Fron tan 1999 to Jul 2004 O td Ticu Portholte Iink Tabia Prit Geele Plot or Smale bport Depiy Aiandi HERH 7 Porifotis Ablecations Pie Erp Aer 10a hl Dee Bur a COPEL neor Hade Pune tricks Leer gate Bion MARE Al Toba om ETE Al Total a ers SF EL Treason Peck F i a Tehran bigh ied Credit Bond ince ae ML bmth Tiis ito Fax 0723 m mme no e Actes Frasin 11 er MIC EAFE Bed rae MEI EEF Ere gery biata Frea Het Purged 2000 index DRT Vieni Mad Cap S irish e e e ee Efficient Frontier Plot Displays annualized return on the y axis and risk as measured by standard deviation on the x axis The blue line connects all allocations on the frontier with intermediate points the default number of portfolios is set to 100 with 1a maximum of 1 000 while the red dots represent the breakpoints where investments either rise above or fall to the min
38. Erica Froni in a s rn Ps an gamer ror pa lai Sarva Simulation Parameters Sober Template APT an Papai Cuan 5 ok Hopoi Locate Famn Tapia Pa Tra Pp n Fieri Pesce bt Lwa Ceol Eis Start Date Jan 44 End Date Jan 05 fears to Simulate _ Number of Simulations 1 oag Rebalancing C Never f Annually i x oe Simulation Parameters Simulation Parameters allow you to Son apply specific constraints to the analysis The Start and End Tax Bate Date are the first two options in the box This date range will 500 Impact the analysis greatly as this is the sample period drawn Initial Deposit from in order to produce the results for this module These dates ime are fixed prior to entering the Portfolio Planning and Simulation Simulation Method Bonsma module in the Asset Allocation Window Target Value 6 000 000 The next option is Years to Simulate Enter the number of years iv o into the future you wish to simulate PerTrac gives you re the option of simulating from 1 to 50 years in your analysis 172 Optimization amp Simulation The Number of Simulations refers to how many portfolios are generated to draw a distribution This number should typically range from 1 000 to 10 000 Rebalancing refers to how often the individual portfolio simulations will rebalance to the original portfolio allocation For example one portfolio you simulate may originally be 50 S amp P 500 and 50 Lehman Aggregate Bond
39. File Contains options for starting a new search saving and deleting searches and resetting your search options 2 Edit Typical editing features used in spreadsheet applications cut copy paste insert rows delete rows clear contents in a row move criteria up or down and grouping functions to group your criteria based on And Or logic 3 View Allows the user to view the Criteria lists by category or alphabetically and to launch the Value Hints Options or Errors tabs Run Run a search or check for errors 5 Help Contains a brief document on how to start a search 6 Saved Searches This drop down menu will contain a list of your saved searches Note If you select search criteria run the search and then exit without saving PerTrac will automatically save your search for you When you click the down arrow saved files will be named Autosave1 Autosave2 etc 121 PerTrac User Manual v 19 1 7 Search Name Use this field to name your search Once a name has been entered click the Save icon just to the right of the field 8 Universe This drop down menu allows you to select the universe on which you will run your search The list will include All unv the universe containing all investments in the current database as well as any universes saved in the Universe folder Search Builder Shortcut Options These buttons appear at the right side of the Search Builder window gt 1 Click Run Search to run yo
40. Friday ending dates TIP If you copy and paste the performance data from Excel the return format has to be taken into account If your returns are in percent format in Excel check the option Enter Performance as a Decimal on the top of the data entry sheet If your returns are in number format in Excel check the option Enter Performance as Percent These options also apply when entering data manually If Enter Performance as a Decimal is checked you enter returns in decimal format i e 2 0 as 02 If the Enter Performance as Percent is checked enter your returns in number format i e 2 0 as 2 0 The command buttons Statistics Calculate NAW Fill Dates Daily Fill Dates Weekly Save Exit 1 Enable Disable Editing Enable edit must be selected prior to adding or editing data on this sheet When data has been entered or edited click Disable Editing to exit and save your data 2 Statistics 5N Daip Statin AOaiy ata tnd oo aail iat L aia 00 Bese Chat Da1 3 200 u Tei a Ik Dy Melak leas cua Desas eai so e LE MIr 4 Convert to Monthly Charts Calculate Performance Disable Editing 5 yi Creek Laat Poorer Preah Pia a 1 i i Dai Bek AL Te ee ri Sarah ae lE ah Were Lieb dolce fa ef ioraa A Coser Ge A Conger rem f ri iraia Agha ar Gein oF Pet Tire Tyr r L PTS 7 l ail Ts td 1s EEE L Mi 1 H L A N A Lhe A Vee d 110 Single Inv
41. GB or more processor speed NOTE Setting up databases and users should be done by qualified IT personnel SQL Server knowledge is assumed in this documentation Run the PerTrac SQL installation program and follow the instructions on the screen We suggest that you accept all the defaults Icons will be added to your Start menu and Desktop for PerTrac SQL Data Manager SQL and Reports SQL This initial installation can be done on any workstation or server that has Microsoft SQL Server installed with proper permissions to create a database and add users and or groups Client workstations should have software installed after the database and all permissions are set up Setting up workstations will be covered in section 1 3 a A SQL script file PerTrac Blank SQL sql is installed to the PerTrac Database folder Launch the file and use the following steps to create a new PerTrac formatted SQL Server database on your designated SQL server 1 2 a Creating a New SQL Database step 1 You create a new SQL Server T Consate net Wlicroaoft S Servers SQL Server Greup MYCE Windows NT EBE Database in SQL Enterprise Manager Sirsa s which can be found by going to your Start menu selecting Microsoft SQL Server program group and Enterprise Manager This launches a window detailing directories in your SQL Server Group Click on the Databases sub directory This lists the existing databases Right click and select New Database from the pull down
42. Investment Description box the user entered description will not be overwritten by data vendor updates This field can hold up to 1 gigabyte of information You can copy entire documents directly from or paste the contents to other applications using the clipboard The scroll bar allows you to view the entire field Clicking on the Enable Edit button allows you to enter information into the User Notes box NOTE Data entered in the user description fields will not be overwritten when you update the data vendor database The 36 check boxes at the lower right of the window represent categories supplied by the data vendor or defined by the user see Customizing Field Labels later in this section They provide a general overview of the investment type sectors traded and trading style To add or remove a check mark click the Enable Edit button 2 MS _ This button allows the user to interface with their CMS system Once a fund has been linked from CMS to PerTrac this option will access the fund in CMS from the PerTrac information window NOTE You must have a subscription to the PerTrac Financial Solutions CMS product for this option to be available 71 PerTrac User Manual v 19 1 3 Motes _ The Notes section allows you to maintain notes with an automatic time stamp These re sizable boxes are most often used to enter due diligence notes with a date and time stamp NOTE Data entered in the user description fields wi
43. It saves you from having to enter the new end date each month Check the Stat End Date Parameter box on the Batch Search window if any of your searches contain statistics criteria with End Date Parameter 15 Getting Started 1 1 PerTrac Installation Requirements and Instructions System Requirements PerlTrac was designed to take advantage of the latest in hardware and software technology and may therefore not operate efficiently on older and or slower hardware The following conditions are the minimum system recommendations 1 6 GHz processor 256 MB memory 4 GB free space on hard disk CD ROM Drive SVGA Graphics 1024 X 768 Resolution 2 MB RAM 17 Monitor recommended Windows 2000 Windows ME Windows NT Windows 98 Windows XP Internet connection with 56 kops modem high speed internet connection is strongly recommended E REE Checking System Settings PerTrac requires that the system display be set to at least 1024 by 768 pixels with small fonts To check your system settings go to Start menu then select Control Panel 1 Double click Display to open the Display Properties Window 2 Select the Settings tab and change the Desktop Area settings to 1024 by 768 pixels 3 Change the Font Size to Small Fonts 4 Set the Color Palette to High Color Click OK It may be necessary to restart your system for the changes to take effect IMPORTANT NOTE Please take a moment to ensure that the system date for your
44. Leverage Displays the Leverage Data Table see below E Daily Data Opens the Daily Data entry and analysis window a Exit Closes the Investment Data Window Save Saves all data in the Investment Data Window Data source drop down window This window contains a list of your grouped duplicate data sources Although you group your duplicate funds you can toggle between multiple data sources in the information window to view qualitative data specific to each data vendor User Data Table In addition to the standard Investment Data Table PerTrac includes an expanded User Data Table that allows you to track up to 20 columns of performance related information such as additions withdrawals realized and unrealized P amp L interest income and fees This table is ideal for tracking investment funds or customer accounts on a very detailed level To access the User Data Table click the User Data button at the bottom right of the Investment Data Window SP Pi fie Poe oo Foal NOTE This is a stand alone table intended for compiling historical data The data in this table is not linked to other PerTrac tables This table is available for export into PerTrac Publisher As a result if you want to include data from this data on your custom template the table will be available User Data Table Formulas The initial setup for the User Data Table consists of 15 pre defined columns some of which contain formulas Four of the colum
45. Number TE E 226 PerTrac Reports Universe Reports NOTE The maximum number of columns per sheet in the template is 256 TIP Working within the template is similar to working with Excel You can add more sheets to the template to select additional report statistics Click Edit on the menu bar and select Insert Sheet In column B of the new sheet select the Investment Master Name as you did on sheet one and then proceed to column C to add additional statistics to the report The labels to the left of Column B will not appear in the report nor will the information contained in the Report Type or Column Separator rows These headings serve the following purposes Report Type Shows whether the report will be Columnar or Peer Group Analysis Column Separator Allows you to format the borders that separate the column headings from the column data or information To change the border select Border from the Format menu Report Title You can use this space to give your report a name Start and End Dates This cell will display the date range you select in the From and To boxes at the top right of your screen Column Heading These three rows are reserved for the names of the information fields or statistics that you choose to include in your report Some headings do not use the entire allotted space Data Font and Format Displays the formatting style of the data to be placed in that column
46. Options from the Peer Charts Window opens the Set Chart Defaults Window where you can select default colors styles and sizes for various objects in your charts 1 The four large boxes along the left side of the window display the current colors for each of the quartile bars used in Return vs Universe charts Clicking on one of these boxes opens the Color Window where you can either choose from the existing colors or create your own color by clicking the Define Custom Colors button Click OK once a color is selected 2 To the right of the Bar Colors are the Marker settings where you can set the colors for 7 investment markers and 7 benchmark markers using the same method described above 3 The Marker Style dropdown menus allow you to assign a particular style SD Ball Square Circle Diamond or Triangle to each marker Selecting Null will hide that particular marker 4 The Size dropdown menus allow you to adjust the size of each marker with sizes ranging from 4 through 12 5 The Floating Bar Width can be adjusted from 1 through 12 6 The Floating Bar Style can be either Bar or Area 7 The Plot Color box allows you to select a color for the background of the chart in the same way that the other color settings were selected 8 Once all the settings have been entered click OK Creating a Custom Statistics Template As mentioned earlier the Custom Statistics chart type requires that you create a Peer Group Statistics
47. R Tremont HFI Gaol 4 ang CSFB T kiari HA Larai E lp CSFH Temon HA Hyagd Fuu CSFB ont HAH Huising Llave Cunen ep Denmat Hew Curerey Denominalun Eura Hew Invectnen Mang be converted and then select the New Currency Denomination to be converted to 4 Elect to Convert NAV if your fund data sheet contains NAV vaules that you would like to convert to the new currency Ss Convert Funds Managed if you want this data also converted to the new currency or to Override Data Source 5 Select the qualitative information to be duplicated under the Select Items To Duplicate section Once all the settings have been made click the Convert button The new investments have been added to your database The default name for the new funds will be the old name with the new currency in parenthesis behind the name Covert MAY o Derren Fundy Managed Ovenehe Data HCE Soeheet bimi To Diuphiati 7 leestnent Pelumas Seconds Lee amaban Paget fe Genera iniaa Fields Fe Saien iiaea Pages o Up Catagory Pages 7 lee Haro Pa E Lier Cale Records Hinde Mo iyen Category Paps B Gudan hiero Page Be Siin Daha Fiii COKMERT Fou Tabs ai M O 152 Currency Conversion 2 07 Currency Conversion The Currency Conversion tool allows you to convert investment returns from one currency to another Currency conversion can be performed on a single fund or a universe of funds Single Fund Currency Conversion Select the i
48. Select the currencies of both the current investment and the new investment The new F pip Mha oe ART ent op Seed Ea Hannam a ayt Hh roi Bap ipd e fe rear Pineda bi acto a corel a rae One tetas m Pare seo bli Pare pa erras wT eee me a Cink marca fare deer fer es ears alie cory a aeS tore RA N ia Pee folie eel bet e o a ie ur PerTrac User Manual v 19 1 investment name is listed under the New Investment Name label 3 Select a Data Source from the drop down list typically the data source will be User 4 Optional conversion check boxes are available to convert NAV and Funds Managed 5 Other record items can be duplicated by checking the corresponding boxes 6 Once all the settings have been made click the Convert bution Universe Currency Conversion From the Tools menu select Currency Conversion Then select Convert Universe to New Currency Prior to converting the investment or universe to a new currency the Cross Rate Database must be updated See Note above 1 Once the Currency Cross Rate Database has been updated click the Convert Universe to New Currency option The Universe Currenc Conversion window appears E 2 When the Universe Currency osst HA Emergng Marka Conversion window appears iiem t tenime oo click the Locate button to CEFE Temon HFI Gebal Mama open the universe to be FE Temon HP araged ot converted 3 Select the existing Universe Universe Cunney Danninaten Nnw Cuneney Denominatio
49. Set your report Starting and Ending date range Since Inception to End of Data are the default settings When the Specific Dates option is selected you can type a start and end date in the Starting and Ending date boxes Under the date range option you can elect to Use Common Start and End Dates the common start and end dates for the fund s and benchmark s to run the report Quarterly Hide Worksheets which is an option to use only after the template has been built and Remove Textboxes 213 PerTrac User Manual v 19 1 NOTE Textboxes are PerTrac s way of exceeding Excel s 256 characters per cell limitation If you enter large amounts or text in the Investment Information fields creating text boxes when the data is exported will allow you to include that data on your template by cutting the textbox and pasting it to your template If you do not need textboxes for your qualitative data choosing the Remove Textboxes option will soeed up your report generation 10 Select Information Pages Set Charting eescaiitsics Options Style Map Setup These three eae P EA tabs will determine the amount of qualitative data that Per Trac exports the statistics for certain charts and style mapping for style SERR Une Coleom 3 analysis charts essential EA leabbar ines Ce aren Th Li idei Co aerate i Select Information Pages Click Select Information Pages to select the investment information you wish to export when the report is
50. Setup Window allows you to check off all the information you would like to include as well as the date range for the tables Once you have made your selections click Print to display the report Investment Tables Window i Print Tablet Sample Fond January 1997 to August 2004 TAS Eria Frit Preview PintSenp Page Seip Pritfides Sacra Select indomation Previna 1 informalen gt 2 Company N Slrategk Financial Solutions 3 Agiro 1 2011 S Mendenhall Fogd i Address Guio 200 a City harris Styl TH amp Jip Code 115 Country Urcted Sate Fo Principal Contact Frank Srmalh BE Phone Humber 901 580 7000 Fax 01 28 7300 5 Emall aalen porrer com 10 Marketing Contad ieredith Jones 11 Phone Humbi T Fax 1 a A 1 Administrator het Eaahr G Phimi Humber rroi aa Fax ti Custodian Baehr Techrenlogies i5 Web Site BAW Ce Pail Oo 16 mecan High Siera Fund i7 Start Date TES Management Fee 1 i Minimum Account 10 0000 000 incentive Fee 2 19 Subenipiiom Pgri Pilly High Vister Mark TEJ 0 Redempthon hlonthiy Hurdle Aate 7 5 a i The tables will be displayed in the Summary Report Window where you will have several options for editing printing and page layout Double right clicking over the report opens the Workbook Designer where you will have more advanced editing capabilities Command Buttons Print Statistics Sample F
51. Template file To open the Create Chart Template Window click Create Custom Template from the Create Peer Charts Window The left side of the window contains a scrollable list of available statistics The right side of the window will display the statistics you select for the chart 246 Peer Group Analysis 1 Add statistics to the Selected Statistics list either by double clicking ona Statistic in the Available Statistics list or by clicking on a statistic in the Available Statistics list and clicking Add Field 2 Remove any unwanted statistics if necessary either by double clicking on a Statistic in the Selected Statistics list or by clicking on a statistic in the ll Create Chart Template Selected Statistics list and clicking ____Available Statistics Selected Statistics Remove Field iss a Zea Shae 3 To adjust the order of a selected pa fea Shape Statistic click on the statistic you h i wish to move in the Selected zven StDev Statistics list and click either Move irea Sie Up or the Move Down button until Eene the statistic is in the desired vet Staden location e a 4 When all statistics have been 20x Sudev selected click Save jea Shope __Movellp _ Moeten 5 When the Save Window opens 1 Eroa Shipa ___Fenvefell __llenter a name in the File name box o Aa ea mn Tene and click Save The file will be Save Teenplate i 5 f Isaved with a pst extension 6 To edit a template in
52. This feature addresses the issue of multiple records for the same investment when multiple databases from different investment data vendors are merged into a single master database Through rigorous qualitative and quantitative comparisons of databases from different data vendors PerTrac can now identify investment records from different data sources that are actually the same investment The user has the option of grouping duplicate investment records together so that only one record is shown for each unique investment in the Home Current Universe window The other duplicate record s for an investment are not deleted but simply hidden in a tree format The user can prioritize the various data sources used to create the merged database in order to determine which investment record will be the one displayed The PerTrac Home Current Universe window also has a new look ww A CIE Greup Duplicates H Current Unive w Add Hees Fariba s TH Commend Ha LF DFR E eai a a BD oi Daa Bechma Liner EG Dicere penare C abak Daa Fund Ies E Rane esime mad l EE jii iai 1734 Comesodore Fami LF Padyak na Vaeaknani Duki kanuri 19M Doreir Dvergar fund Lid HAI HAS a kaiman Chaka Daiei M 17u Comoe Dvema Fund LTO Pejo Pet E reen aea Po Uh Sipe Fud LF HAE 2460 Capa Paired EHE all ae ee M a Equi Pert LP HE FS Th Lond Meader Universe ii Smal Viele Fur LP HERSES M ah
53. To edit data highlight the appropriate cell then click Enable Editing After entering data in a cell you can move to the next cell by hitting the Tab key or by clicking on the desired cell You can clear the contents of any cell by right clicking and selecting Clear The right click menu can also be used for Cut Copy or Paste functions or for Inserting or Deleting Rows in the data table lf you have entered a value in the Performance column and wish to calculate the NAV highlight at least two cells to be calculated in the NAV column and click the Calculate NAV button Conversely if you have entered a new NAV and wish to calculate the Performance highlight at least two cells to be calculated in the Performance column and click the Calculate Performance button When all the data has been edited as desired click the Save button then the Disable Editing button as before Updating User Entered Investment Returns Although the Investment Data Window allows you to edit all the data for a single investment you may wish to enter data for several investments at once such as when new monthly performance data E becomes available This can be accomplished by using the monthly data entry form 34 Getting Started 1 From the Tools menu select Monthly Data Entry Form 2 Inthe Date box bottom left corner enter the month and year for which you would like to enter data 3 Click the Load button PerTrac displays all the dat
54. When the Save As box appears Name your settings file then click Save The next time you download data click the Load Settings bution at the lower left to load your saved settings Download amp Mer e Your nibeti and Werp Databases 1 If you wish to download and merge databases Do not check the box Download Only There is now a second box below Download Folder named Destination Click the Destination box to Em locate the database you want to merge E the selected databases with The SQL Lele Fin G heise Canine Zig Fle F eld T phong Peipman version of Data Manager allows you to tare fs cu a a select an Access mdb database or a SQL Server database and will have a f SQL Server check Box To select a SQL Server database check the box labeled SQL Server Check this box if you are merging to with a SQL server database 2 To select the SQL database you wish to ES Data Link Properties merge the new data with click the Destination pes conection advanced an button This will open the Data Link Specily the folowing to connect to SUL Server data Properties window By default the Connection wesc are rete tab will open There are three steps to 2 Erte infcemation to kag on to the server a Une Windows HT Integeated pecunty f Use a specie ure name and pasrwced 1 Select the server name Click the down Lama Parson arrow to select
55. YOO A H KL 10 Cohmna MutiManager with 20 Designer Universe Generate Report Anal Ws BYU BES KRALL At Be From To i 228 PerTrac Reports Universe Reports 1 If you need to change databases select Open New Database from the File menu and select the appropriate EE Th Deed shot database 33 thet em 2 Click Universe on the upper stint niinno stan right of the menu bar The LEPRI Conventie bana da Universe Selection window will hi fasso teias ras open To select your universe Eaa click Open Universe If you Want firs ars Are Cineca Indes the report to run on the entire iitsivesamsoe ide database click Load Master Database Once you have selected the universe you can use the Move Up and Move Down buttons to re order your universe If you do choose to change the order of the investments click Save Universe to save the new order Click OK to exit this window 3 Click Generate Report Select Standard if you EMT TTA want to keep the report in PerTrac Reports format Select Excel if you want to generate the report in Excel format which is the more common se PL selection When you click Generate Report to Excel a window will appear prompting you to select the universe for which the report will be generated The default universe in this window is the All unv That universe is your entire database If you want to generate the report on your entire database click Yes if not click No Typically you wil
56. a Universe of Funds The process for generating your custom template on a universe of funds is the same as the process listed above for a single fund with the following exceptions F PerTrac Custom Reports Investment Master Sample Fund f Since Inception ee C Speciic Dates C PerT rac riveree Semple LOY Funds urv Locate Universe Large Cap Vokes Fund A End of Data Lage Cap Value Fund B Ending End of Date Large Cap Value Fund L 5 Ure Common Stal f 500 Risk Free ROR 797 P Vake Fund D en i0 Acceptable Retumn HAR M Hide wokshests Remove eatbeoes Speeds up report ener alc C RPerT rac WWinewerse Current Inchoes urn Locate Benchmarks Generate Reports Guate Benchmark Ureverse Benchmark 1 Bana S amp P 500 Cancel r 100 Russel 1000 Value Index DAI Benchmark 2 Select System and So ny ra em L ages p teh View each tab above to select the universe and benchmarks used for statistical analysts la baent bp checks Report Template below Print C PerTrec Custom Reperts MasterPubbsherLibraty ds Locate Template Select Infommahon Pages Save Reporte In Folder C PerTrac E i Set Charting Options C Leave Template Open Single Investments Ord Overwrite Existing reas Export Peer Statistics Shia Map Setup 1 In section 1 of the setup window select the Use Universe option 2 Click the Locate Universe to select the universe of funds on which the reports
57. all investments If the investment passed on a criterion a green check mark icon appears next to the result for that criterion If it failed on a criterion a red X icon appears next to the result 11 PerTrac User Manual v 19 1 2 Pass Fail Report issih H apal bappa Sah E A Bi a Aa Fit mea ef Saree All Panne funde to a Uraaa ig trd kemar Report Gp Passed Repat W leach Ciera Report m u m S Eed Search Goao 11 065 DIT Aphan Cructs Purei Linted Cana A USD a O O O kdb Saua tue Damas aked Toar CS Market Neutral Equity Ta hedgefured hadgefurd net rae Feed Condon Py fa Market Neutral Teun aE Jreecrant had sheady paced the weach ig g Unchecked ae Citeeurd Areusleed Return gt 11 00 RS ILAYA A ae Arrie Dad Dr a r A a Gp Piia Condnen at Beta 10 ha oid E E naod Concer e Aipha Core 7 Amery Mashers Droyd Markat Purei LP HD Atia bipes Hedge Puraj iraid Gar EO Artema LE Hiedlge Fund Limited GEP S Artera LE Hedge Puri Lanbed USD ST ipe tiini Anai E Ai Golden Eagle Fund itd p T Batendi Drharced Mariat Maral ured LP ET Dengi Cota Pud LP ej Search Summary Sample Se Warnings a a a ig Paret Waring Hesen Eeskeated Date SeacdyCrtera nboern ita JO ood European State IredRoent Data For Standard Derato HPCE Wh herita Standard De Urreere AL utr Cl Mutudl bawen Stet Ircuffioert Gata For Standard Derste HERS aly Sanare Stordard De Passed 60 of diMi European
58. can be seen below a The style attribution chart contains the style and selection relative to the style and market benchmarks b The correlation statistics chart contains the annualized return annualized Alpha Beta correlation r squared tracking error Treynor ratio Jensen alpha active premium and information ratio relative to the style and market benchmarks c The capture ratio chart contains the up and down capture ratios relative to the style and market benchmarks the percent up months in up markets percent of down months in down markets relative to the style and market benchmarks the percent of the time the style and market benchmarks were outperformed in up markets down markets and all markets and the profitable months ratio d The next two charts show the style allocation as a bar or pie chart e The style history chart shows the style drift over a number of rolling periods You may change the number of rolling periods in the rolling periods box For instance if you want to view shorter term style movement enter 6 12 months For longer rolling periods where there will be a smoothing out effect select 36 60 f The style map dominant chart plots a single point that represents the dominant style for each rolling period The style dominant chart markers are blue plus signs of different sizes The smaller plus signs represent the earlier rolling periods of the analysis and the larger plus signs represent the more cu
59. computer is set correctly The security key reads the date to which your computer is set If the key reads an incorrect system date the key may fail to operate or may eventually require reprogramming Installing PerTrac Individual and Network Non SQL versions The PerTrac installation CD comes with an interactive installation program that includes several possible installation procedures Please follow these steps to install your PerTrac software 1 Insert the PerTrac Installation CD ROM 16 2 3 4 Getting Started lf your computer runs the CD ROM automatically usually within 15 or 20 seconds the setup program will begin and you need only to follow the instructions on the screen lf your computer does not automatically run the CD Rom click on the Start menu then click Run When the Run box appears click on Browse then select the disk drive containing the CD ROM There will be a file named Autorun exe on the CD ROM Click on this file to open the installation process Follow the installation instructions required for either your Single User or Network PerTrac license The installation instructions cover both the parallel and USB port key options A network install requires the installation of a license server setup on the machine acting as the server Each user must install PerTrac on their local machine and point to the network server for PerTrac to operate properly NOTE if you did not receive the installal
60. database or Universe to merge only a particular universe that you have created If you select Universe click Locate to select the universe you wish to use Click Next 4 In the Choose Output Format box select either Tab Delimited or Comma Delimited 5 The next six windows allow you to select the various tables to export and the files to which they will be written Each table you wish to export will be saved as its own file with either a txt or csv extension If you choose to export your performance table you are given the option to export by column or by row If you plan to use these files in a spreadsheet program exporting by column will provides a more convenient display of the data Also if you plan to import this data back into a PerTrac database you must export the information table by checking the Information Table box and selecting an output file name 6 In the Enter Date Range box enter the range of dates you wish to include Click Next 7 If you wish to save these merge settings for future use click Save Settings and save the esf file 8 Click Finish to begin the export process 259 PerTrac User Manual v 19 1 9 Once the export is complete you will be given the option of viewing the error log allowing you to verify that no errors occurred during the merge e Compact Refer to the section Compacting Your Database OES ool gp Rename Investments in Universe Files __ esteem Occasionally you or you
61. described below 1 Investment This is the first window on the upper left Click the Investment button to select the investment you want to add to your existing portfolio or add to any universe opened prior to entering the impact analysis feature 2 Benchmark Select a benchmark for your correlation analysis The new portfolio created by adding your investment will be regressed against the benchmark selected here The available correlation statistics Aloha Beta 145 PerTrac User Manual v 19 1 Correlation R R Squared Tracking Error Beta T Stat and Information Ratio will be selected with the Left Stat Right Stat options 3 Investment Allocation Once you have selected an Investment to be added to your existing portfolio this window allows you to set or change the allocation to your new investment The allocations to your original portfolio investments will change proportionately based on the original allocations and the new fund you are adding to the portfolio 4 Investment Leverage If this new investment will be leveraged enter the leverage factor in this window By default the value is set to 1 0 or no leverage The leverage factors for the other funds in your portfolio will be set on the universe allocation window prior to entering Impact Analysis 5 Create New Universe This option will allow you to create a new univ
62. eth investment daa range CO Do not mude m dsisbhems 3 If applicable determine how to ey a a a a ee handle a record that has a date fF eames ink NaN A range less than the fixed date Do rot include in databata range Include rreeiment F ghe anash ageso i urnedeable 4 Determine how to handle a Include in database E wplain record that has a date range greater than the common date range of the Style Universe 5 Decide whether to include investments with unreliable style analysis regressions 6 Click Build 7 When the Save Window opens enter a name for your Style Database and click Save 8 When the build is complete you can view the error log by clicking Log from the tool bar in the Master Window Pesos select opliers and chek buid Cancel Ext Bud 237 PerTrac User Manual v 19 1 5 09 Style Search View the online tutorial Once the Style Database has been built you are ready to perform a Style Search Style Search Window 1 From the Style Analysis Setup Window click Style Search 2 When the Style Search Setup Form opens click Select Database and open a Style Database The number of records in the database will be displayed in the Investments in Database box located at the bottom of the Style Search Setup Form 3 Checking the Use Greater Less Than Search checkbox activates the Style Universe table in the upper left corner of the Style Search Setup Form This table contains a list of each index in
63. for the selection of benchmarks when performing regression for correlation statistics the benchmark analysis table on the Investment Statistics Window when selecting comparative benchmarks for investment charts as well as comparative benchmark selection in the various modules of PerTrac The following steps will walk you through adding benchmarks to your correlation universe 1 Select Change Correlation Preferences from the Preferences menu 2 The Correlation Preferences Window displays all the investments of the current universe on the left and all the investments that currently make up the Correlations Universe on the right Add and remove investments as needed 3 Click Save Correlation Universe 4 You will see a message saying that the Correlations Universe has been saved Click OK 5 Exit the Correlation Preferences Window 6 Click the Recalc button to update the correlation statistics 97 PerTrac User Manual v 19 1 TIP Do not delete this file If PerTrac can t find this file you will receive an error message 2 13 Assigning Benchmark Universes View the online tutorial Since different investments are compared to different benchmarks you may want to assign a separate benchmark universe to different investments The Correlation Universe is the default universe assigned to all investments However you can create custom benchmark universes containing only those benchmarks that apply to a certain asset cla
64. for you Excel files in this column or click the down arrow to select a previously saved xls file 5 Open Excel Report Checking this option will open the Search Summary Report in Excel for each of the searches in your batch run 6 Open Detail Report Window Checking this option will open the search Report window in PerTrac for each of the searches in your batch run The Search Report window as mentioned above contains three reports Search Summary Report Pass Fail Report and Search Criteria Report A separate Search Report window will open for each saved search in your batch search 129 PerTrac User Manual v 19 1 7 Batch Search Name When all selections have been made save the batch search as a file Type a name for your batch search in the Batch Search Name box on the upper menu bar Click Save icon to save your file 8 Saved Batches When you enter the batch search window click the down arrow on the Saved Batches drop down menu on the upper menu bar to select your previously saved batch search files 9 Run Batch Click Run Batch with the green arrow icon to begin the batch run When you run the batch search the following Batch Results window will appear c ia E Ereg p EEs os m mr M This window will indicate which search is running its percent completed progress and which searches are in the queue Note Located on the lower left side of the Batch Search window you will
65. fund manager to Se display a dropdown a list of related funds There are three options F auen O to work with on the Manager Display window 1 Add Manager The Add New Manager window contains the first 19 fields on the general Investment Information page Select the data source inthe lower left to which the changes will apply This will most often be the User data source which will appear for your user entered funds When all data has been entered click the Save Changes and then Disable Editing 2 Edit Manager The Add New Manager window contains the first 19 fields on the general Investment Information page Click Enable Edit Make your editing changes and click Save Changes Disable Editing and Exit 3 Remove Manager This option will completely remove a manager from the database 117 Universe Multi Fund Analysis 3 01 Creating Universes View the online tutorial The term universe is PerTrac shorthand to describe a list of investment names There is no investment data stored in a universe file instead the universe files are used by PerTrac to rapidly retrieve information on a list of investments from a database upon command PerTrac allows you to group investments from the entire database or Master Universe All unv into any number of customized subset universes that contain only the investments you select manually through statistics searches or through information searches
66. generated Click on each of the System and User information categories that you want to export Set Charting Options When Bf Per Trac Publisher Chart Preferences creating your custom report you Will 2 Seassa ie Aaa have access to all of the PerTrac ae A ii single investment charts They will Prope a be located on the Library sheet in the MasterChartLibrary xls template The selections you make a Errik Dh a Fara Fleas Fs Bay Co Soren Pala a earthiness Fst jot a Tipai i m aan A kT e h on the Set Charting Options tab will ancinccesccae toc Un determine whether some of those Benchmark NL door 1B charts get populated and with what SS am E e FE data E sais Site eee Rakhee i Pld Unseen pas Rolling Statistics There rt Lemucr are 5 rolling statistics ali a T p Gaari charts Click the down arrow to select your statistic and then enter the rolling period Rolling Correlations There are 5 rolling correlation charts Click the down arrow to select your correlation statistic and then enter the rolling period The Risk Free Benchmark Option will allow you to select a benchmark to represent the risk free rate when calculating the Sharpe Ratio This in lieu of entering an annualized risk free rate Volatility Bands Enter the moving average Distribution of Returns For the Distribution of Returns chart you can set the Increments and Range
67. il C PesTrac Custom Reports MasterChartLibrary ds Locate Template by licking below ES iw Ic Peg Tiac Locate Folder Select Infomation Fages L PEE Template Open Singhe Investments Only i Overwrite Existing Files Set Charting Options The process for generating your custom template on a universe of funds is the same as the process listed above for a single fund with the following exceptions 1 In section 1 of the setup window select the Use Universe option 2 Click the Locate Universe to select the universe of funds on which the reports will generated 3 If the universe contains funds with different strategies or asset classes and you have assigned specific benchmarks to the funds in the universe check the Use Assigned Benchmarks option This will insure your funds are compared to the appropriate benchmarks when the reports are generated If you have not assigned benchmarks the two benchmarks shown in the select benchmark windows will apply to all funds in the universe Please refer to section 2 13 for instructions on assigning benchmarks 4 When generating the report on a universe of funds there are two options for outputting the reports Print which will send the reports to the printer and Save Reports in Folder which will save the reports in a designated folder 5 If you would like to overwrite existing reports select Overwrite Existing Files TIP If you elect to save the reports in a folder click Locate
68. index If you choose to rebalance annually the simulation will yearly start the year with a 50 50 mix If you choose to never rebalance each simulation will begin with a 50 50 mix but those allocations will change depending on the growth of the assets The Inflation Rate is used to adjust any cash flow that you have applied to the simulation The inflation rate is not applied to ending annual balances The cash flow inputs will be discussed later The Tax Rate you enter will be applied to the year end balance if you have a positive return for the year If you have a loss for the year no tax is calculated Once the year end amount has been taxed withdrawals are then subtracted Contributions are added on the first of the following year and will be included in that year s ending value Initial Deposit refers to the starting dollar amount of the analysis while the Target Value refers to the desired result The Simulation Method determines how the distribution is to be drawn The drop down menu lists the available simulation methods bootstrap normal and lognormal Each of these methods is discussed in detail at the end of this section just before Part IV The last option is a check box allowing you to use the same fixed random sequence in your simulations This check box is essential if you want to compare results after changing any input in the simulation If you do not check this box each time you regenerate a report a new random sample w
69. is expressed in number of periods Linear Regression Check this box to display a linear regression line on the chart Second Axis A second axis can be charted by selecting one of the buttons from the listed options Momentum Index In Second Axis choices This index is a measure of directional momentum Period Period may be monthly quarterly or yearly Index 1 Index 2 Check one or both of these boxes to display the performance of additional comparative investments on the chart Use the drop down list box to select the comparative benchmark The Single Investment Analysis benchmarks listed will be those currently in the Correlation Universe Correl unv Distribution of Returns This bar chart displays the distribution of returns for the current investment in fixed increments You can specify both the increment and range above and below 0 of the rate of return Rolling Statistics Poing Statishes Roling Statistics Options pve etn C Compound Return Dovwnede Deviation MAR Annualze Statistic Rolling Correlations C Standard Deviation Downside Deviation AF I Show Fiate of Fletum Bars m nka Paa C Shape Ratio C Downside Deviation 02 Pio Statictic Retum Scatter C Stering Ratio C Sortino Ratio MAR Recent Retume Calmar Ratio C Solino Ratio AF Number of Roling Months 12 C Manmum Drawdown C Sortno Ratio 0 Number of Roling Months B Data Tipe Monthy Quate M Number of Roling Months 12
70. is shown for each unique investment in the Home Current Universe window The other duplicate record s for an investment are not deleted but simply hidden in a tree format The user can prioritize the various data sources used to create the merged database in order to determine which investment record will be the one displayed The PerTrac Home Current Universe window also has a new look oe ra a G 1 Group Duplicates This is a new check box located on the upper right hand side of the Home window When Group Duplicates is checked all investment records for the same fund will be grouped by way of a new tree format located just to the left of the investment master names Plus and minus signs will show or hide the duplicate records When the Group Duplicates box is unchecked all investment records will be listed in the Home window without the new tree structure The black box containing the number of records in the Home window will change when the Group Duplicates box is checked When unchecked the total number of investment records including all duplicates will be shown When checked the black box will show the number of unique investments excluding duplicates PerTrac User Manual v 19 1 TIP If your investment records are grouped we have added a new drop down box to the lower left corner of the Investment Information Investment Statistics and Investment Data Monthly Quarterly windows The drop down box will allow you to e
71. made click Simulate 13 The time required to complete the simulation will vary depending on the options selected and the speed of your computer If you decide the simulation is taking too long the only way to exit is by pressing Ctrl Alt and Delete simultaneously then clicking the End Task button from the Close Program Window You will then have to restart PerTrac to continue Otherwise when the Simulation Complete message appears click OK 14 To view the results click Simulation Reports 7 03 Simulation Reports View the online tutorial The Portfolio Simulation Reports Window allows you to view a simulation report If you would like to view the annualized return report begin by selecting Annualized Return from the dropdown menu The first few rows display the number of simulations 1 000 in this example along with the mean median and standard deviation for both the portfolio and the benchmark Below these are the Maximum Portfolio 1 and Minimum Portfolio 1 000 values for each statistic selected which represent the best case and worst case scenarios NOTE Columns C Portfolio Historical and F Benchmark Historical show the actual historical result for each of the statistics selected from the drop down window and will repeated throughout that column The results of the simulation Probability Distributions are listed in Column B Just below the Maximum and Minimum outcomes will be the outcome d
72. mark click the Enable Edit button and click the appropriate box NOTE If you edit the Category Window page by changing the field labels or values for an investment that is part of a data vendor database your changes will be overwritten when you download and update this particular data vendor database 72 Single Investment Analysis 6 E User information _ Clicking the User Information button displays the first of six User Information Windows These windows act just like the Information Windows described earlier including custom sizing The unique feature about the User Information Windows however is that the information stored here is not changed or overwritten during data vendor updates This allows you to store and customize the information in a way that best suits your needs User Information sna In addition to storing text information these fields can also be used as file links These automatic links are designed to give you easy and convenient access to other files that you might maintain on a particular investment manager or fund such as an Excel spreadsheet a Word document or PowerPoint presentation file Click the Enable Edit button in the Information Window Double click on any blank cell The Select Document to Launch dialogue box appears 3 Once you have found the file to which you wish to link you may either double click on it or click Open button This opens the file with the appropriate p
73. mean you can t perform peer group analysis All versions of PerTrac include the PerTrac Reports universe report generator What most users are not aware of is that PerTrac Reports has the ability to create peer analysis charts on any performance and risk statistic available in the column selection window The following steps will walk you through creating peer analysis charts with PerTrac Reports Step 1 Launch PerTrac Reports from the Reports tab on the PerTrac menu bar Step 2 The PerTrac Reports upper menu bar contains a window to select the report type The default selection is Columnar Multi Manager If you click the down arrow on that window a second report option Peer Group Analysis can be selected Step 3 Open an existing template or create a new template of statistics the peer group analysis chart will contain Enter the date range Note the peer group analysis option requires a fixed start and end date The Since inception amp End of Data options are not available for this chart Step 4 Locate the peer universe Click the Universe button located on the right hand side of the upper menu bar When the Universe Selection window appears select the Peer Universe you will be ranking your fund against and click OK Step 5 Select the Comparative Investments universe to plot on the peer chart After the peer universe has been selected click Generate Report located on the upper right hand side
74. menu Give your database a name Double check the file location and then click OK HERE EEE 48 Getting Started SQL Version otep 2 Click the sign to expand the newly created databases in the tree view on the left hand side of the window step 3 Select Tables from the list under the Database folder Step 4 Select Tools from the File Menu and select SQL Server Query Analyzer from the pull down menu Step 5 A window like that to the right will appear Please ensure that the name of the database that you have just created appears in the pull down box If it does not please select it Your PerTrac database will not function correctly unless you select the newly created database Leave the query window open Query GAR OL beter 8 59 S RENOOF PCE ryoe Bland untitled 1 Hew query Exe tre i cee step 6 Click the File Open Icon on the menu bar select the PerTrac_Blank_Database_6_0 sql file located in the PerTrac Database folder and click Open Your screen should now look like the following figure object id M dio DH GEL PERPORF Fu Select icom dbo sysobhi ects where id i H doo PA DEST REAT I procedure dbo DbH_DEST READ INF Select Erom dhe sy7eeb3ec8s where id j diN dhe PH_FIND_HHARE PEGZeduce dba CDN _ FIND ANABE elect Erom dbo sysco jecte where id i M doo PR GET PERFOSS procedure dio DR_GET_PERFORAANCE COMNT HLS electe fram dbo syseohjects where id
75. menu provides the option of exporting to either a new Excel workbook or an existing Excel workbook Selecting Autofit hahi apari l Pont Print eeg Print Satu Psp atu Saree sks Copy to Enel yee Columns from the Copy F A E to Excel menu instructs e n Excel to find the most oa en suitable width for each eee sar column When activated a check mark will appear in the menu to the left of Autofit Column Mariam Aiei Dri E EAW nS aT ime ist Lae 3 Gandloes roses l Tert ee NN E i 5 Pki Fia W Piar ike ark Seis i eiman p m mn F a r a 7 J i 5 5 F 4 ir ah i ik i 5 mii The Options menu contains a Set Line Length For Memo Fields function which allows you to decide the maximum amount of characters per line for each of the memo fields The length may be as small as 10 characters or as large as 254 characters Statistics for the correlation universe can be exported to the same workbook by selecting Calculate Benchmark Statistics from the Options menu When exported each item in your correlation universe will have corresponding Statistics Drawdown Correlation amp Performance worksheets providing you with more data to choose from for your tables and charts Similarly selecting Calculate Benchmark Comparison Sheets from the Options menu allows you to export three additional sheets that provide side by side analysis of the investment and its benchmarks Right
76. message appeared stating that the optimization could take forever That message will no longer appear You will also no longer have to set tight constraints or increase the allocation increment both of which helped speed up the optimization You can now run the optimization unconstrained select the allocations to change in increments of 25 bps and have the results in seconds 289 PerTrac User Manual v 19 1 Custom Reports We have added a PerTrac Publisher style report generator to the linear optimizer There is now a Report tab located on the Linear Optimizer setup window If you are running the most current version of PerTrac you will now have a new template MasterLinearOptimizationReport xls in the C PerTrac Custom Reports folder This is similar to the PerTrac Publisher master reports that allow the user to create custom templates This new file will contain the linear optimization allocation table scatterplot chart inputs and all other optimization output 290 Technical support amp Training PerTrac Financial Solutions provides complimentary technical support and training to all PerTrac clients You may contact our technical support staff by email or phone Email support pertrac com Phone 775 851 5880 USA 44 0 20 7651 0800 UK 291
77. monthly data 9 Save When all data has been entered or edited click Save 10 Exit When your data has been saved exit the data sheet Daily Weekly Data Reports The daily weekly data module contains an export reporting function similar to PerTrac publisher report generation PerTrac exports the statistics tables and charts to an Excel workbook You can then create custom reports from scratch or use one of the templates installed on your computer The following steps will walk you through generating daily weekly data reports 1 Open the Daily Weekly Investment Data Window by clicking the ee ee command button from the left hand side of the Current Universe Window or by clicking the button labeled 53 Ysetty Data from the Tool Bar 2 Click Statistics on the command bar This will open the daily weekly data investment statistics page 3 The daily weekly data statistics page contains a Generate Report button on the upper right corner Click Generate Report to open the Daily Report window Locate Erpat 39 PerTrac User Manual v 19 1 4 Click Locate to open the file selection window The Custom Reports folder will open by default which contains the Master template MasterDailyReport xls file for creating your report from scratch and a pre built daily data report template Daily Report xls 5 Select Daily Report 1 xls and click Export Your report is now open as and Excel workbook Note The MasterDail
78. of the Reset Allocation button allow you to define the time period for which all calculations are made Checking the boxes labeled Use Latest Start Date and Use Earliest End Date will cause PerTrac to take only the common dates for all investments into consideration provided the investments have at least one month in common lf you attempt to compute statistics or optimize over non common date ranges the Index Calculation Options Window will open prompting you to choose how to proceed with your pro forma calculations You can either reallocate assets to only those investments that have data assume a zero or risk free rate return which you can define for investments that have no data or default to the common date range Keep in mind that if you choose to use date ranges for which some investment have no data 176 Portfolio Construction the statistics for the individual investment will be inaccurate when viewed through the Asset Allocation function Quarterly Data Option If you want to work solely with quarterly data check the Quarterly Data box located to the right of the Use Earliest End Date box saving An Asset Allocation When PerTrac saves an asset allocation a new universe is created that contains not only the names of the investments but the values in the Allocation and Leverage columns as well Click the Save Settings button to save this universe under a new file name When you view an allocated universe in the Current U
79. on the PerTrac Preferences tab Optimize Search This option when checked allows the search to process and evaluate criteria in the quickest order possible lf turned on qualitative criteria will be evaluated before quantitative criteria regardless of the order listed in your search When unchecked your search will be run in the order you specify Force Search Criteria to Check All Criteria This option when checked forces the search to find all specified criteria values for all investments This is useful for creating reports By default which is unchecked the search will process as few criteria as possible to determine if an investment passes or fails a search For a given fund depending on the logical structure of your search PerTrac may not need to evaluate all criteria For example if this option is unchecked and an investment fails the criterion specified in the first row of the search Builder table and the criterion in the second row is linked by the And operator PerTrac will not continue checking to see if the investment passes the criterion specified in the second row since an investment must pass both the first AND second criteria in order to make it into the results universe This allows the search to run as quickly as possible Note The one option that all users will generally wish to have checked on a regular basis is the Use PerTrac ID Fund Groupings and Data Vendor Priority to produce search universes that co
80. or quarterly basis Time Windows Charts The selected statistic will be charted for time periods ranging from 1 to 60 months Comparative Statistics Charts The selected statistic will be charted for the period selected monthly quarterly or yearly Scatter Correlation amp Efficient Frontier X Axis amp Y Axis To assign an investment to an axis select it from the pull down menu To assign the entire portfolio to an axis click Portfolio Period Periods may be monthly quarterly or yearly Annualize Returns Check this check box to annualize returns for the Efficient Frontier chart 140 Universe Multi Fund Analysis Scatter Risk vs Return Period Same as above Annualize Scatter Risk Return Chart Check this box to display annualized statistics Allocation Pie Chart This chart displays the allocations as a percentage of the total portfolio defined in the Asset Allocation Window Editing a Universe Chart Each Universe Chart in PerTrac consists of several objects including legends axis titles axis labels and series points that can be reformatted to suit your style or needs For more information see Editing a Chart under Investment Charts Universe Chart Examples VAMI Chart Suppose you would like to chart the monthly VAMI for each investment a universe as well as the combined portfolio VAMI based on your assigned allocations 1 Select the VAMI Chart option on the left si
81. peers Portholia Simulation and tess Testing Opens the Portfolio Simulation module that builds probability distribution outcomes on numerous risk measures 2 03 Investment Information View the online tutorial The Investment Information Window allows you to view and edit qualitative information related to the current investment There are three main uses for the Investment Information Windows 1 Searches Queries one of the five powerful search engines in PerTrac is the Select by Information Search option The information search 68 Single Investment Analysis criteria will consist of all data vendor or user entered qualitative fields on all of the investment information window tabs except the Notes tab 2 PerTrac Publisher Custom Reports all of the investment information window tabs with the exception of the Notes tab get exported with the PerTrac Publisher custom report generators The investment information qualitative data can then be added to your custom report 3 User Information when you subscribe to data vendor databases you will have access to potentially hundreds of qualitative fields However you may want to compile your own information on those funds The NOTES User Information User Categories and User Memo windows give you a large amount of space to add you own qualitative fund information There are three ways to open the Investment Information Window e Clicking the Mvestment Informati
82. period Where RD Benchmark Return for period Where N Number of Periods Where L 1tIF R lt 0 AND ED lt 0 ELSE 0 Where LD 1 IF RD lt 0 ELSE 0 h T E l 1 h TD ZLD l 1 Down Number Ratio T TD 219 PerTrac User Manual v 19 1 Up The Up Percentage Ratio is a measure of the number of periods that the Investment outperformed the Benchmark when the Benchmark was up divided by the number of periods that the benchmark was up Where Ei Return for period Where RD Benchmark Return for period Where N Number of Periods Where L 1 tIF R RD AND RD 0 ELSE 0 Where LD 1 UF RD 0 ELSE 0 T 5 i I 1 h TD ZLD l 1 Up Percentage Ratio T TD Down The Down Percentage Ratio is a measure of the number of periods that the Investment outperformed the Benchmark when the Benchmark was down divided by the number of periods that the benchmark was down Where Ri Return for period Where RD Benchmark Return for period Where N Number of Periods Where L 10IF R gt RD AND RL lt 0 ELSE 0 Where LD 1 IF ED 0 ELSE 0 h T EL l M TD ZLD l 1 Down Percentage Ratio T TD 280 Statistics Definitions Gain The Percent Gain Ratio is a measure of the number of periods that the Investment was up divided by the number of periods that the Benchmark was up Where Ri Return for period Where RD Benchmark Return for period
83. remove any overlays that have been applied to the Efficient Frontier Plot This option is only visible after an overlay has been applied Plot Selecting Market Portfolio Line from the Plot menu will prompt you to enter both an Annualized Return and an Annualized Standard Deviation for the low risk asset Be sure to enter the appropriate Risk Free return and standard deviation for the period being analyzed Once entered the Market Portfolio Line will appear on your chart Selecting Capital Markets Line from the Plot menu opens up a small form where you can enter the Annualized Return and Annualized Standard Deviation for both the Risk Free Asset and the Capital Markets Benchmark as well as assign a name for PerTrac User Manual v 19 1 each Click OK when you have entered these figures to display the Capital Markets Line Your custom allocations can also be presented in pie chart format by selecting Portfolio Pie Charts from the Plot menu Occasionally the portfolio label text length will impede the size of the chart itself Using the Chart Options menu to reduce the maximum number of characters allowed for pie chart labels can prevent this As with all charts in PerTrac complete chart formatting is available by selecting Chart Designer from the right click menu Remove Plots This option is available only if you have plotted supplemental statistics on the Efficient Frontier Plot show Menu Efficient Frontier Plot items usin
84. rows TIP It might be useful to first define all of your Info and Stat criteria determine the logical order you want to run your search criteria then group your And Or statements Setting Up and Running a Search in Search Builder 1 Starting at the first row click the down arrow under the Info Stat column 2 Click Info to select a qualitative criterion from the investment information pages or Stats to select a quantitative criterion PerTrac User Manual v 19 1 3 If you select Info you will then choose a Data Source and make selections under Criteria Operator and Value 4 If you select Stats you will then make selections under Criteria Operator Value From amp To to set your date range Period and possibly Benchmark depending on the stat selected 5 Enter a name for your search in the Search Name field at the top then click Save next to that field 6 Click Run Search 7 When the search is complete the E wees will sees us window contains the name of your arch rault mE m PHI search the universe on which the Samole see Joregr iat rt ieee fall ii search was run and the percent andj psst zoos ay ofis227 number of funds that passed and ee aim nba failed the search There are also four button options m Dean Saar ch Dict ire a Save Universe Opens the Save As a Opan Seeech Report in Excel window to your default universe folder bki Seve Seach Report as an Perel Ae b Open Search Report Wind
85. saved 177 PerTrac User Manual v 19 1 3 05 Portfolio Construction Portfolio Builder View the online tutorial Portfolio Builder While converting a portfolio to an investment is a quick and convenient way to analyze its performance you may have more complex needs that require the allocation to change periodically perhaps even on a monthly basis This situation can be handled with the Portfolio Builder The Convert Portfolio to investment option explained above in section 3 04 is a quick way to create single investments from a universe of funds or benchmarks However the data series will reflect the investments and allocations entered in the universe allocation window If your allocations change over time or if you hire or fire managers over time the Convert Portfolio to Investment option will not reflect all of those changes You would continue to overwrite the original investment wiping out prior period adjustments to the portfolio The Portfolio Builder feature on the other hand was designed to build portfolios taking into account all of the changes you make to the portfolio over time This tool can be utilized to create portfolios of investments or benchmarks 1 Select Portfolio Builder from the Tools menu 2 When the Portfolio Builder Window opens click the Select Universe button and choose an existing universe file Ideally this universe should contain every investment that you want to use to build your portfolio eve
86. t sme search criteria selection omer O rer flies deo dha apy ee bebe te indies Ea eee fe a i na Window contains the same 53 ter rena performance measures and 9 Ds hmn animan Te eee 1 1 TM nea eae _risk measures as Intellistat Saline jenn ee L r at oe wa However when the search criteria have been selected the search will not find the funds that fall within a certain percentile of the peer group but rather those funds that outperform an 244 Peer Group Analysis investment or benchmark in the peer database For example you could search for all funds that outperformed a fund listed under Investments or a benchmark listed under the Benchmarks label for the last 3 Year Annualized Return and 3 Year Annualized Sharpe Ratio 6 06 Peer Group Charts and Reports View the online tutorial Once you have created and selected a Peer Group Database you can proceed to creating Peer Group Charts and Reports by clicking Peer Group Charts and Reports Creating a Peer Group Chart The top of the Create Peer Charts Window contains a list of investments in the Peer Universe on the left and a list of the benchmarks in the Market Universe on the right Below these lists are controls for selecting chart type format and other available settings 1 From the scrollable lists at the top of the Create Peer Charts Window select investments and benchmarks for your chart by checking the box ne
87. that benchmark 9 On the other hand if the total allocation is greater than 100 fora given time period the portfolio builder assumes you are using leverage and will adjust the net asset value based on the value in the Loan Rate box on the borrowed funds located above the Interest Rate box 10 The Initial Investment defaults to 10 000 000 You can change this number based on your needs 11 The Portfolio Builder Window allows you to Remove Investment or Add Investment right from the current window This comes in handy when you are changing monthly allocations due to hiring firing managers over time 12 Once you have made all the necessary entries click Build Portfolio 179 PerTrac User Manual v 19 1 13 When the Convert Portfolio To Investment Window opens enter a name and select a data source for your new investment and click Enter In addition to creating a new investment in your database the Portfolio Builder will generate a spreadsheet that displays both total and individual net asset values of the portfolio for each month in the data stream Double right clicking over this spreadsheet will transfer the spreadsheet to the Formula One Workbook Designer where it can be edited formatted and saved as a vts file NOTE You must re load the master universe all unv by clicking the Load Master Universe button before the Current Universe Window will list the new investment Command Buttons Reset All
88. the SQL Server that Un Neate eat etree contains the database or type in the name 3 Select the database on the serves of IP address of the server i Altech a dsaban fle os a duae nan 2 Enter server log on information Choose either Use Windows NT integrated SS SSS security or Use a specific user name and password If you choose the second selecting your database Tet Connechon 54 Getting Started SQL Version option you must then enter the User Name and Password in the widows provided Then check the box Blank password if applicable Always check the Allow saving password box 3 Select the database Click the down arrow to see a list of SQL server databases Select the database you want to merge you new data with When all information has been entered click the Test Connection button on the lower right When the Test Connection Succeeded message appears click ok and close this window NOTE The Data Link Properties window will require that SQL Server information to be entered This information should only be entered by your Database Administrator 3 Your license number is automatically entered in the boxes provided 4 Check the box below the license number Delete Downloaded Zip File to delete the compressed WinZip file that has been downloaded from the web There is usually no reason to keep this file on your computer 5 Choosing the option to download and merge activates a second check box
89. the Style Universe After entering the desired percentages in the Greater Than and Less Than columns find the dropdown menu to the right of the Use Greater Less Than Search checkbox Select AND to search for investments that meet all of the criteria in the Greater Than and Less Than columns select OR to search for investments that meet at least one criterion in the Greater Than and Less Than columns 4 Checking Use Additive Search activates the or column in the Style Universe table Placing a or a in this column will add or subtract the allocations to the benchmarks you have entered or The total value will be entered in the Sum of Allocations box located to the right of the Use Additive Search checkbox The dropdown menu between the Use Additive Search and Sum of Allocations allows you to select gt lt ora combination of these symbols to complete the additive search argument 5 Checking any one of the Statistics Search checkboxes will activate the corresponding row of controls From here you can select the desired statistic and comparative symbol and then enter a value with which to compare each investment 6 To search by start date or end date check either the Start Date or End Date checkboxes or both select the desired comparative symbol and enter a date with which to compare each investment 7 Once all desired criteria have been entered you may save the setting
90. the box Download Only There is now a second box below Download Folder named Destination Click the Destination box to locate the database you want to merge the selected databases NOTE If you do not have a current merged Master database follow step 2 below to create one 2 If you want to create a new merged Master database click on the Create Database button A box will appear prompting you to name and save your new Master database Enter the file name in the File Name box then click Save The Save box will close and you will be back to the Automated Update Database window You will now receive a confirmation message that your blank Master database has been created Click OK when this message appears 3 Enter your license number in the boxes provided if it is not displayed TIP If you do not have your license number click on Help in PerTrac and then select About PerTrac Write down the alpha numeric license number located on the left 4 Check the box below the license number to delete the compressed WinZip file that has been downloaded Delete Downloaded Zip File There is generally no reason to keep this file on your computer once the database has been extracted If you leave it unchecked the zip file with the database will reside in your specified download directory 21 PerTrac User Manual v 19 1 28 5 The second available checkbox allows you to Delete Unzipped Database s that were selected at the top of the
91. the dependent variable for period Where Mp the mean return of the independent variable Where Ml pp the mean return of the dependent variable Where N Number of Periods Beta Geta is the slope of the regression line Beta measures the risk of a particular investment relative to the market as a whole the market can be any Index or investment you specify It describes the sensitivity of the investment ta broad market movements For example in equities the stack market the Independent vanable is assigned a beta of 1 0 An investment which has a beta of b Will tend to participate in broad market moves but only half as much as the market overall M M Beta Ri MrRI RDi Meo Ri Mpr 2 l 1 l 1 Alpha Alpha is a measure of value added It isthe intercept of the regression line Alpha Ml RD Beta x Ml Annualized Alpha Annualized Aloha is the annualized value of Alpha Annualized Alpha 1 Alpha 1 Monthly Data Annualized Alpha 1 Alpha 1 Qjuarterly Data Statistics Definitions Correlation and Correlation Coefficient Correlation measures the extent of linear association of two variables The Coefficient of Determination R is a measure of how well the regression line fits the data variation explained by the regression line Unexplained variation is simply 1 Re Correlation Coefficient r Where Sac Sample Covariance Where Sy Standard deviation of independent variable Where S
92. the future click Edit Existing Template and open the desired pst file 7 To put the Custom Statistics Template in use set the chart type to either Custom Statistics in the Create Peer Charts Window then click Locate Template and open the desired pst file NOTE There are 145 performance and risk measures from which to choose when creating custom quartile bar charts 241 Portfolio Simulation and Stress Testing 7 01 Simulation Methodology Simulation Procedure The Monte Carlo module is designed to perform K Monte Carlo replications In each Monte Carlo replication the module generates a return stream of length N periods for each asset in the portfolio i e the time series of returns The Monte Carlo module then calculates fourteen portfolio metrics Simulation Models Bootstrap The first approach is a bootstrapping procedure that treats the time series data as a discrete sample space This can be simply described in the following manner The simulation takes your poritfolio s historical return data series based on your specified date range and creates N time series N Number of Simulations by randomly sampling the historical return data For example let s suppose your portfolio date range is from 1 99 to 6 04 using monthly data and you want to simulate 3 years for your analysis using 1 000 for the Number of Simulations This example is using 66 historical time series periods 1 99 to 6 04 The simulat
93. the portfolio as a whole to display the selected statistics The bottom of the Universe Statistics Window allows you to select which statistics are displayed 134 Universe Multi Fund Analysis op Sette optimization tam 1999 to Jul 04 es jm Ea Dumilat Fahin 2004 YTO 1 bonia 2 Mone Sito 4 Merde 45 Menthe 6 Honba T konpre 0 Morte 9 Barra SAP 400 CGF E Tremont Hedge Fund inden Lehman Aggregate Bord Index Lehman High reid Credit Bond betes HL manh T Baie MoCIEAFE Hal 1 43 T E HE EHF Eminging Markets Fri HE fre 41 CSS aE p OES ee MAREN Al Total Sy TET 6 53 120 MHT Ruccell 2000 licen DRN 43 A re BIS 1 Ba Taa 2 574 Va ire Mid Cap S00 ites LOT STS GTS OS eh ae ee METi if Portfolio 0 97 ee ee iTia Chiapas Ta iF Arrie Fetus E Figh of Fi Curiet Feranmi E Ahea Gan O Gar ca Dee ampa atei Shabbat Aena i Leas Sad Dew C Aik Ti r er m Bsa Paed B Eyra airig i x sit Cater Pepe C Dhipuiton of Ritu C pa Mee Den O Losing Seek WE RANGE C Vee i Caral bae m ijp Beas C Come O Agai Display Type The Display Type options are located at the lower left of the window and include the different types of statistical displays you can create When a display type is chosen the relevant options for that display type will be activated at right allowing you to further refine the display Statistic Selecting Comparative Statistics or Time Windows from the Display Type options act
94. the table copy it and paste it to Excel Tip The View Universe option will allow you to export one to four information fields only If you wish to export more than four information page fields on a universe of funds create and export a PerTrac Reports template to Excel Note The View Database option will allow you to view all of the fields on the Investment Information General tab in a Microsoft Access table for your entire database However unlike the View Universe option which can be exported to Excel the View Database option is just that a table for viewing only You do not have the ability export this data to Excel 285 PerTrac Tips amp Tricks How do optimize funds with short performance histories An issue that arises frequently with PerTrac users is that of optimizing a universe of investments that contain funds with a short date range The Efficient Frontier Optimizer requires a common start and end for the investments being optimized When your universe contains new funds with short date ranges your optimization period will be restricted to the shorter date range For example if you hada universe of ten funds nine of which have five years of data and one with six months of data the optimization period will be restricted to six months If you wish to proceed with the optimization you will have to make a decision regarding this issue There are five possible solutions to this situation 1 Replace the investment res
95. users shared a license the associated hard key would have to be physically moved from computer to computer The new soft key allows the current user to release the license so that it can be activated by another user To release your license click Release Activation at which point you will be logged out of PerTrac If someone else is using the license you will not have access to PerTrac until they release it IV Search Builder Search Builder is a powerful new search engine that combines the current Information and Statistics search engines into a single search engine with the following features 1 The ability to select qualitative and quantitative criteria in the same search 2 The ability to search across multiple data sources in a database when selecting Information search criteria 3 The option to automatically remove duplicate records from the resulting universe of investments when a search is completed 4 The option to save your set of search criteria as a search file that can be used again later The new Search Builder search engine can be accessed three different ways from within PerTrac 1 the Search button located at the top of the PerTrac PerTrac Version 6 0 19 New Feature Summary window 2 the Tools menu in the menu bar 3 the more familiar Create New Universe button at the left of the Home Current Universe window The Create New Universe window no longer contains the Select by Information Search or Select by
96. v 19 1 Refresh Charts Click this to reset the charts once changes to the options above have made Export Charts The Export Charts option is an impact analysis custom report generator Similar to PerTrac Publisher and the report generators in the Efficient Frontier Optimizer Linear Optimizer and the Wealth Planner Export Charts will export the impact analysis data to an Excel spreadsheet You can then create your own custom impact analysis report template s or use a pre built template The following steps will walk you through exporting the data 1 Click Export Charts on the right hand side of the impact analysis window 2 The Impact Analysis Export Charts widow opens 3 Click Locate The file selection window will open The default folder C PerTrac Custom Reports contains the master template files for all PerTrac modules Select the file MasterlmpactAnalysis xls if you are creating you template from scratch There are two pre built templates ImpactAnalysis Template and ImpactAnalysis Template2 also available 4 Click Export to export the data to Excel 2 07 Currency Conversion The Currency Conversion tool allows you to convert investment returns from one currency to another Currency conversion can be performed on a single fund or a universe of funds Single Fund Currency Conversion select the investment you wish to convert then from the Tools menu basis aI acti select Currency Conversion
97. will generated 3 If the universe contains funds with different strategies or asset classes and you have assigned specific benchmarks to the funds in the universe check the Use Assigned Benchmarks option This will insure your funds are compared to the appropriate benchmarks when the reports are generated If you have not assigned benchmarks the two benchmarks shown in the select benchmark windows will apply to all funds in the universe Please refer to section 2 13 for instructions on assigning benchmarks 4 When generating the report on a universe of funds there are two options for outputting the reports Print which will send the reports to the printer and Save Reports in Folder which will save the reports in a designated folder 5 If you would like to overwrite existing reports select Overwrite Existing Files 218 PerTrac Publisher Reports 6 When you generate the report you can elect to Export Peer Statistics which will create a table listing the funds in the peer group universe and their values for each performance measure and statistic in the Peer Group Report To access this data when the report is generated click Format Sheet Unhide on the Excel menu bar Then select Peer Group Data to unhide this sheet 7 lf the universe contains funds with different strategies or asset classes and you have included the Peer Group charts in your template and have assigned specific Peer Group Universes to your funds check the Use Assigned
98. will look for these description files in the program directory You can however change the path to an alternate directory by changing your preferences Select Default Description Files Folder from the Preferences menu Locate and double click on the desired folder Click OK TIP This can be useful when sharing data over a network where several computers might have different versions of the description files Sharing the description files folder ensures that all users are using the same labels 70 Information Pages By using the buttons at the top of the Investment Information Window you can access eight different information displays Information Sample Market Mewtral Fund ramets Markel Hauhia Fund Am Han piga Tih F kei Ha ak cide Ny Li e County USA Raped do rro a Faa Prob bec arp oe paa com pce Bled ami p7 Fas Cair Sched ETT Fa High Sama Ah LTD hiipi b tili ei The Sample Markel Neutral Fund amp deagred bo capia jupasa shan A mieia fom market neutral equip phates while preserving capa The portioko shategp m designed bo produce stable hans throught the sormi opde mdenendent of the petomance of the egay markets The Sample Market Heuts Fund wes both qualitsies and qUuantielive iwesimend processes thal spokes collectan of unius and One asset ene sege boa dese potok of Sea The peesimerd process begn aih the scion of both bullish jlong and bemsh shot opportune based on ow popia Eresi mo
99. with a corresponding Risk Table and Allocation Table which lead to a Markowitz risk return optimization solution Setting up a Linear Optimization Clicking the Linear Optimizer button from the Asset Allocation Window opens the Linear Optimization Setup Window The top left of the window contains a list i of investment as well sie ites to as Min Allocation 7 and Max Allocation columns that allow you to select the minimum and maximum allocations for each investment ksta pans ere The Start Date and t 5 End Date columns Le 7n S which are initially blank can be activated by checking the Show Manager Start and End Dates box just above the Cancel button at the lower left of the window These dates represent all periods for which the current investment contain data The Portfolio Start Date and End Date for the entire portfolio are displayed in the lower left corner and can be altered only by returning to the Asset Allocation Window Wars of ana hin am CT Drie Biren Herre Mor cr Alec ber Flee barre beiez i pari a Mea So Moree Sot E aes hot aoe keni ee hiri iad CIEI T Frei 1 WE baral E 1 J L AE Iced T OL 7 Limes rete ere fc WP Trac Wl Pepa i H ae ree pee ahd eget Loss Seah Fane Mace 155 PerTrac User Manual v 19 1 Setting Minimum and Maximum Allocations The minimum and maximum allocation percentages are entered using the Investment Update Bar at the bottom of the win
100. y Standard deviation of dependent variable H Say 2 Fi Mp J RO M peo J N 1 z1 N Sy E Ri Mp N 1 I i S E ROi Mpol N 1 I Coefficient of Determination r Where Yi Alpha Beta x R H H Coefficient of Determination Yi Mpo E RDi Mpo f l 1 l 1 Kurtosis Kurtosis characterizes the relative peakedness or flatness of a distribution compared with the normal distribution Positive kurtosis indicates a relatively peaked distribution Negative kurtosis indicates a relatively flat distribution Where N Number of Periods Where K Return for period Where We Mean of return set K Where SO Period Standard Deviation M tl pe a 2 k L zI N 1 NM sD Z Ri Mer 2 N 1 1 Kurtosis fue N A XN 2XN 30 CE R Ml al spj 3NF eeN l 1 lf there are fewer than four data points or if the standard deviation of the sample equals zero Kurtosis returns the M A error value 275 PerTrac User Manual v 19 1 Tracking Error Annualized Tracking Error is a measure of the unexplained portion of an investments performance relative to a benchmark Annualized Tracking Error is measured by taking the square root of the average of the squared deviations between the investments returns andthe benchmarks returns then multiplying the result by the square root of 12 Tracking Error D Ry RDj 2 N 1 1 x 12 1 Treynor Ratio The Trey
101. 2 would be May 1990 Note If you create portfolios using the universe allocation window you will have the option to rebalance your portfolio Never Monthly Quarterly or Annually However the Portfolio Builder does not have those options Rebalancing will only take place if you enter a new row of allocations 6 Continue to enter allocations in this way for each change in the portfolio Since the Date column contains the date of the first month of each new allocation the final allocation will require an end date to be entered in the Ending Date box located near the bottom right of the Portfolio Builder Window 7 Before converting this information into a single investment you can save the allocation settings as a spreadsheet by clicking Save Allocation and entering a name for the vts file This can be loaded in the future by clicking Load Allocation and selecting the saved file 8 If for any time period the total allocation is less than 100 the portfolio builder will assume this to be cash and will apply a percentage rate of return to the remaining money based on the value in the Interest Rate box located at the bottom right of the Portfolio Builder Window You can change this value by entering a new percentage or decimal number NOTE if you do have an allocation to cash you can either enter an interest rate here to represent cash or add a cash benchmark for example ML 3 month t bill to your universe and allocate to
102. 225 PerTrac User Manual v 19 1 Freres tment Bnd oratory Saher wej pa Pees Simier Poe F In column B select the Investment Master Name as your first field This will display 2 nae eek f Akina HA in Flite the names of the funds in your universe in across 2 E Redemetin the first column when the report is F Be Code F inaia Miniman generated After you select that option C cone Reporting Site you will return to the template window with oe S Cibo Weiche E FHJ f Abi Aiii the Investment Master Name label now R ii F Ratuna Cowence C Manage areas Time shown in column B Eer pram arian Wb She Source P Furg Hia Saat Daha F C iaa irani DO imiia Fes Double click in column C to open the Column Selection window again to select your next field Every time you select a field label it will be displayed in the template column and your curser will move to the next column Template 1 Report Type Column Separator Report Tithe Stan and End Dates From To Column Heading 1 Inne etenent Column Heading i Master Column Heading __ Name Data Font and Format Text Sort Key Number 2153 a eA Sheet fet ET Template 1 Report Type Column Separator Repor Title yaa Start and End Dates From To Column Heading 1 Investment Annualized MAnnualized mM 1 Column Heading 2 Master Compound Standard Column Heading 3 Marne Return Deviation Data Font and Format Text ADO 0 00 _ Sort Key
103. 4 Torun the report double click on the report icon A setup window will appear 188 PerTrac Publisher Reports angle ot Mulighe Fagor fF Lee e anpe Fund 5 Risk Free AOR r arga kopir M Specie Dupes Uss ee Pe ee ett og Werribee Bebe ee Pd ur Locate Levert Saring ircen r chee Coes Arid a Pure A apj Sheed Corre biraga Ca Azian Corratids Arib age Fured Endng Ernia Daa Adani Corab Aba Fund a fecal apie Feared Lhe ror Lips Shraeh ea hes Laria Pare LP dure Ered Dita Antes fremi Lined M Chutes Regent Claws Carai Ab Pure Eina E Bosak hia Corres Ack Feared Pertti fl nc bar 5 inari Dimar Coreei irb Fardhem C j mr chat sah ly nant L aca orb ater tee rd L pi Pai i iare hongk Lino pe EPa ea Dra i Lisse Garhh i Qereiate Heii Each 1 Bie SP U DO azote ODO Vidi Leche OFA nu L E z R a Mr a Report Template SP LG nS ET VET e eT es Pap OPT ae hia e e eto Flee Locate Lerpine 3 Save opet in Foka Locaia Foig E Laire argi Oper Graa aneas Uwermto E mitn F there There are five sections of inputs that must be selected prior to generating the performance measurement report The sections are numbered on the screenshot above 1 Fund Selection The first step is to select a fund on which to generate a report The Use Investment option should be selected on the upper left If you are generating the report for one fund and you highlig
104. 53 foo Wilt Fargo Welt Farge Gerth 2 rs i200 Quast Large Cap Gerih Equey 3 00 1 T 14 15 95 aaguarnd Vega Peive Car 2 or UER a 3 17 70 Raet Risal Large Cap Gioewh 349 noo 12 14 95 Minggon Growth 2 Wg te 01 1S 16 45 Payden amp Rygel Lange Cap Gemei 1 BG 21 his 17 iaaii Prof ireericent Wa Feri Lange 2 AFA H lt 4 id 16 20 crdh Grouse Lange Cap eoh Ea re EEIT 16 16 3 BHT Piba US Cari Grreth 7 355 be hoe i 1 Fe Lesrin Seyi Large Cap Core G ATES Ha ua 16 140656 WC Qoreatic Large Cag Forut 15 ia Wie 21 16 I7 Vanguard Wega Margen Dark 1 Br a 03 1B are Ladaw Gioep LLC Geswth Comp 2 25 Cj 72 14 a0 E e EE E aa eee eo IntelliStat Search Window Option Buttons Save Universe As This button will allow you to save your search results as a new universe unv file for futher analysis in PerTrac Clear Search This option will clear all previously selected criteria from the search window Save Search Use this option to save your search criteria for further searches Load Search Use this option to load your previously saved search criteria Cancel Exit This option will exit the IntelliStat window 6 05 Find Better Funds Search View the online tutorial The Find Better Funds Search similar to the IntelliStat search allows the user to create new universes by searching a peer database To access this search window click Find Better Funds on the sus peer analysis window The
105. 7 Statistics Definitions Value Added Monthly Index VAMI This index reflects the growth of a hypothetical 1 000 in a given investment over time The indexis equal to 1 000 at Inception Subsequent month end values are calculated by multiplying the previous montis YAMI index by 7 plus the current month rate of return Where Yami 0 1000 and Where Ry Return for period N Vami n 1 Ry x Vami m Average Retum Mean This is a simple average return arithmetic mean whichis calculated by summing the returns for each period and dividing the total by the number of periods The simple average does not take the compounding effect of Investment returns inte account Where N Number of periods Where R Return for period Average Return E Ri N I 1 Average Gain Gain Mean This is a simple average arithmetic mean of the periods with a gain Itis calculated by summing the returns for gain periods return gt 0 and then dividing the total by the number of dain periods Where N Number of periods Where K Return for period Where Gy R CIER 0 or OC IF R lt 0 Noe Number of periods thatki 0 h Average Gain G Ne l 1 268 Statistics Definitions Compound Geometric Average Retum The geometric mean is the monthly average return that assumes the same rate of return every period to arrive at the equivalent compound growth rate reflected in the actual return data In other words th
106. 7 Mrih ee farce at ETT a a a E have Al pecod dala saa nes 41 From the Build Peer Group Database window select the Build Multiple Peer Groups option in the lower left 2 Select all of the universes peer groups for which you wish to build peer databases and decide if you would like to overwrite any prior existing peer databases 3 Select a Market Universe 4 Locate the Peer Folder that will contain the peer databases after they have been calculated PerTrac Peer 5 Select the end date and number of years back for the calculations 6 Make a decision about computing YTD and annual performance for any managers that do not have returns through the end date that you entered 7 When you have finished all of the above steps click Build Peer Groups PerTrac will then compute and build all of the peer groups and place them into the Peer folder as pdb files To access any of these peer databases return to the Build Peer Group Database Window and select Open Existing Peer Group 241 PerTrac User Manual v 19 1 6 03 View Peer Group Data View the online tutorial Clicking View Peer Group Data opens the Peer Data Window which allows you to easily view tables from your Peer Group Database This series of spreadsheets contain the data underlying the peer group analysis charts Pa Peer Data Investment_Statistics J l algi xj Fie Print Workbook Designer Edit Ireresimerd_Stalisics Farting Stats Irvesimeri_ T
107. AV you can leave the fields blank and PerTrac will fill in zeros when the data record is calculated Similarly PerTrac will automatically enter NO in any blank cells in the Estimate column 9 Continue to fill in the appropriate cells for each row that contains a date 10 Once you have entered all the data click the Recalculate button at the bottom of the window to update the VAMI and Cumulative Return columns Since PerTrac recalculates the figures automatically when you use the Save option it is not mandatory that you click the Recalculate button However you may find it useful to use the Recalculate button to view the recalculations for yourself before saving 11 When you are finished click the Save button then the Disable Editing button If you click the Disable Editing button without having clicked the Save button PerTrac will ask if you want to save your data If you do not save your data before you exit the Investment Data window any changes you have made since your last save will be lost Adding Quarterly Performance Data To add quarterly investment data follow the instructions listed above but click YES when asked if you would like to enter quarterly data Editing Performance Data To edit data highlight the appropriate cell then click Enable Editing button After entering data in a cell you can move to the next cell by hitting the Tab key or by clicking on the desired cell You can clear the contents of any cell
108. AV and wish to recalculate the Performance highlight at least two cells to be recalculated in the Performance column and click the Calculate Performance button 79 PerTrac User Manual v 19 1 When all the data has been edited as desired click the Save button then the Disable Editing button 2 06 Updating User Entered Performance Monthly Data Entry Form View the online tutorial 80 Although the Investment Data Window allows you to edit all the data for a single investment you may wish to enter data for several investments at once such as when new monthly performance data becomes available for a portfolio of managers This can be accomplished by using the Monthly Data Entry Form 1 Open the universe of funds you wish to update at the Home window If you do not open the universe PerTrac will default to the All unv or entire database PerTrac will then try to load the entire database into the Monthly Data Entry Form which could crash your PerTrac 2 From the Tools menu select Monthly Data Entry Form 3 Inthe Date box located on the lower left hand side of the window enter the month and year for which you would like to enter data 4 Click the Load button PerTrac will display all of the data for each investment in the current universe for 3 consecutive months ending with the month you selected 5 Enter and edit the data as needed 6 Click the Save button If you do not save your data before you exit the Monthly D
109. Benchmark Universe Click on this tab to select the benchmarks explained in Section 2 Benchmark Selection 4 Peer Universe Click Locate Peer Group to select the peer universe to which your fund will be compared to for the peer analysis charts and tables On the left side of the window click the down arrow to select the number of years for the peer risk return scatter plot chart Use Investment Date Range is the default setting Peer Group Universe 3 Years for Fisk Retumn C PerTrac UniversesLarge Cap Blend uny Locate Peer Group Scatter Plot AAN Equity Ps t Use Above ABN AMRO Equity Plus I Use Investment Date Accessor Aggressive Growth Alloc Ady Range Accessor Aggressive Growth Alloc Irw Accessor Growth Allocation 4dy Benchmark Universe Feer Benchmarks Style Universe Stile Benchmarks View each tab above to select the universe and benchmarks used for statistical analysis 5 Peer Benchmarks Click this tab to select the benchmarks for the peer analysis charts and tables 211 PerTrac User Manual v 19 1 Peer Benchmark Universe CAPerTracku niverse Curent Indices unv Locate Benchmarks Benchmark 1 Bara S amp P 500 eens 100 Wilshire 5000 Total Market Indes T Benchmark 2 SA o p None Benchmark Universe Peer Universe P eer Benchmarks e l Style Universe Stile Benchmarks View each tab above to select the universe and benchmarks used for statistical analysis 6 Styl
110. C Diennid Fakame C Sharpe Ratio C Downside Deviation 0 M Plot Statisiic Fletumn Scatter C Sterling Aao M Sortino Ratio MAR Recent Rebun C Camy Ralio C Stino Ratio RAF M Number ol Roling Months 12 Maamum Drawn C Scatino Ratio 0 Number of Roling Months 12 Data Type 9 Monthy C Quarters Number of Roling Months 12 C Unewerse Risk Rletum Scatter Correlation C Uso Investment ian C Use lnvestment BEA C ficient Fronies Penod fe Armuize Rebre i Plot CAPH Li Start Date lant 997 Monthly C Quarterly C Yeay GOR P os ies Ha End Date Sep 2004 OK Blank Chart Cancel Along the left side of the Investment Charts Window is a selection of 13 different chart types as well as Start Date and End Date boxes with which to define the time period for your chart The rest of the window consists of 3 options areas that allow you to further define your chart Creating an Investment Chart The following is a simplified list of the steps required to create a chart Different chart types require different options to be entered For more specific assistance please call technical support or schedule additional training 1 From the Investment Charts Window select a chart type that will best present the information you would like to see The options available for creating you chart will depend on your selection of the chart type 2 Enter a Start Date and End Date in the lower left corner of
111. Do I Create a Universe 6 13 Performing Manager Searches 12 43 The Correlation Universe 4 41 Assigning Benchmark Universes to Investments 11 04 How Do I Create A Composite Portfolio or Policy Index oOo oo W N a Convert Portfolio to Investment 7 08 b Portfolio Builder 9 07 7 Universe Statistics 6 39 8 Creating a Correlation Matrix 7 02 9 Universe Charts 8 37 Section 3a Universe Multiple Investment Reports 1 PerTrac Reports 21 41 Section 4 Efficient Frontier amp Linear Optimization Efficient Frontier Optimization PerTrac 6 0 New Features 12 59 Efficient Frontier Optimization Overview 7 06 Efficient Frontier Optimization Setup 9 05 Linear Optimization 13 48 oe a Section 5 Financial Planning amp Simulation 1 Planning amp Simulation PERTRAC 6 0 NEW FEATURE 25 09 Section 6 Value At Risk Analysis Monte Carlo Simulation 1 Value at Risk Analysis Monte Carlo Simulation 26 33 Section 7 Peer Group Analysis 266 PerTrac Online Tutorials 1 Peer Group Charts amp Reports View Peer Group Data 25 23 2 IntelliStat Search amp Find Better Funds Search PERTRAC 6 0 NEW FEATURE 9 13 3 PerTrac Publisher Peer Group Report 20 32 Section 8 Style Analysis 1 Single Investment Style Analysis 21 17 2 Multiple Investment Style Analysis Performing Style Searches 27 10 3 PerTrac Publisher Style Analysis Report 20 13 26
112. Down Number Ratio is a measure of the number of periods that the investment was down when the benchmark was down Single Investment Analysis divided by the number of periods that the benchmark was down The smaller the ratio the better Up The Up Percentage Ratio is a measure of the number of periods that the investment outperformed the benchmark when the benchmark was up divided by the number of periods that the benchmark was up The larger the ratio the better Down The Down Percentage Ratio is a measure of the number of periods that the investment outperformed the benchmark when the benchmark was down divided by the number of periods that the benchmark was down The larger the ratio the better Gain The Percent Gain Ratio is a measure of the number of periods that the investment was up divided by the number of periods that the benchmark was up The larger the ratio the better Start The earliest month for the benchmark data Again for accurate Statistics the benchmark data must coincide with that of the current investment End The latest month for the benchmark data 2 12 The Correlation Universe View the online tutorial The Correlation universe Correl unv is a system universe that was installed on your computer when PerTrac was installed You will populate this universe with benchmarks you want to have access to and use throughout the program By default PerTrac will look to this universe
113. E Met 0 12 1 O00 MSC EMP Emerging Markets Fineo Mel L576 3 Oe NAREIT All Total FF I 0253 Russel 2000 Index DRE 0 148 i O74 Wilshire Mid Cap S00 Index 0 830 137 PerTrac User Manual v 19 1 The Correlation Table includes standard preview and setup options as well as a Save As button which allows you to save the table for future use Clicking Select Statistic allows you to change the displayed correlation Statistic Again double right clicking over this table opens the Workbook Designer providing more advanced editing capabilities 3 09 Universe Charts View the online tutorial Creating charts for a universe of investments is just as easy as creating charts for an investment To open the Universe Charts Window click the Charts button from the Asset Allocation Window 4 Aout Allecation optimization Ereren Bara AP ain CF i Tremont piedan F uraj Fejey Lehman Agaga Eor rsr Lehman Hah e O e raj Fei BL S rmorth T Bas ME BAPE Ma BC BMF eae ia Frez Hel D 0 Se ee Ld o A o HARET A Tat Fazer SIE Fea AT Washo Maj Cop S00 inex Gitte Hariz Endtee em Fest loo Fertler RA Uia Labas Ghid Daip F Wow Egini Erd Duato Gusts Osta 2 Caci Piatlabe io Pirre Spates piena C se pa iar inveni _BeFoms Opimizer B Investment Charts Window you will notice a selection of chart types along the left side of the window and some options
114. Ekyre i T F i al q hel i i j S A 7 aa Add Bom Abu an lela y eid Poze z Chale Plies j Gh Gatch Erry a Batch Resula Kipi ere a E i J p stat Enchihate Parasta Stat ind Date Marameter Son EFAN pAr Cher may Conan Goi Crier Gear a Gate roe Ghat ene on a arae dete In ihe Trdi Bija eih e To ciate aan thie aota ot d ae Maa P E roy wath a ao Edita fer H deer hee That eee L Ser te heed That a a a Pe ee ee cel Le ated F a ee he tl oa oe 2 Opens a creas Setting up and running a batch search is simple 1 Search Name Click the down arrow in the Search Name column to select your saved searches There is no limit to the number of saved searches that can be included in the batch search 2 Universe to Search For each of your searches selected in the search Name column select the universe you want to search Click the down arrow to select the universe If you are searching on your entire database select Master Universe All unv 3 Result Universe For each saved search the resulting universe will have to be named You can type a name directly into the field or click the down arrow to select a universe name from your default universe folder 4 Save Excel Report When batch running your saved searches you can elect to have the Search Summary Report automatically generated and saved as an Excel file Enter names
115. Folder to locate the folder where the reports will be saved The reports will be saved under the names of each of the funds in your universe 208 PerTrac Publisher Reports 4 10 PerTrac Publisher Generate Combination Report The Generate Combination Report option is the second of the two powerful PerTrac Publisher custom reporting tools This report output is similar to the Generate Custom Report output however this report contains more charts tables and statistics The Generate Combination Report template contains all of the data the Generate Custom Report contains as well as charts and tables from the three Benchmark Reports Performance Measurement Report Style Analysis Report and the Peer Group Report The report is generated in Excel to give you maximum flexibility when formatting your report For example you can add you logo to the report use color schemes that match your company color schemes change chart types etc The report contains over 1 000 statistics and performance measures all of the single investment charts that PerTrac calculates all of the qualitative data from the investment information pages and pre built performance and statistics tables In addition this report includes the charts and tables from the three Benchmark Reports Performance Measurement Report Style Analysis Report and the Peer Group Report The report template can be as simple as a one page report or a comprehensive multi page rep
116. Generate Custom Reports option niiko If you wish to use PerTrac Report 1 Repor 2 Report 3 Publisher Generate Combination Supem Racot y Hauten iagus ae abla te Fejet ah Pombnaion Report Combination Report Comb nation Raport Reports to generate the template select Combination Report NOTE The template files are quite large and have been compressed with WinZip Click on the Custom Report link A file download window will appear The file name is listed in this window Click Save to download this file to your desktop After the file is downloaded locate the file and double click on it to launch 220 PerTrac Publisher Reports WinZip Extract the file to the PerTrac Custom Reports folder or some other folder that you have created for your report templates TIP If you are using Windows XP click the Open button when the file download window appears to view the Excel file Then use the Extract or Copy options to move the file to the PerTrac Custom Reports folder Step 2 Generating the Reports Refer to the section on Generate Custom Reports above for instructions on generating these pre constructed reports When you get to section three of the instructions click Locate Template and rather than selecting the MasterChartLibrary xls file select the template you downloaded from the website Use this same process if you are generate the report with the Generate Combination Report option Report Template f Pont Repor
117. IP If you choose to run the report Quarterly you must select the MasterStyleReportQuarterly template 7 Click Generate Reports This will open the report in Excel The report will be a read only file so you must save the newly generated report with a different file name NOTE There are three output options for generating the reports Print which will send the report directly to the printer Save Reports in Folder which will save the file s in a folder of your choosing Leave Template Open Single Investments Only which will open the report in Excel TIP You may make formatting changes to the report prior to saving You can add your logo to the report change the colors or format the report in any way using Excel s formatting functions You would then save the template under a new name This would be your new template which you could select for future reports Step 4 of this process 195 PerTrac User Manual v 19 1 How do Generate the Style Analysis Report on a Universe of Funds The process for generating the Style Analysis Report on a universe of funds is the same as the process listed above with the following exceptions Fer Fea fe Regret Azer joie p Trg u migi Dip Li iP ele ween e Nek Fos tom p Ot tit Lie ik B H mk et line fous Step 1 In section 1 of the setup window select the Use Universe option step 2 Click Locate Universe to select the universe of funds for which reports will be gene
118. In the lower left corner you will find a summary table indicating how many funds passed and failed In this example the search was run on the All unv universe entire database and resulted in 60 of 11 145 passed and 11 085 of 11 145 failed This is a columnar report showing the search criteria as column labels and the values for all criteria for all investments If the investment passed on a criterion a green check mark icon appears next to the result for that criterion If it failed on a criterion a red X icon appears next to the result 126 Universe Multi Fund Analysis 2 Pass Fail Report Gear ty He pail Sampa See o PE Be a A Fit mea ef Saree All Panne funde to a Uraaa ig trd kemar Report Gp Passed Repat W leach Ciera Report m u m F EP Seach iodo 11 167 zp Aphan n Peel Lined beta A WE Ug Market hairy Equity Tus hedyunj heggur ne hue Gp Peel Condnen 1g Ca Market Mout Te Pe Prenian had Bree perce the Mech io agp nehet eh Compourd Amused Petum 17 0 Pr Loos Gp Paved Cordio ie Aripa Garde Craton Or HPR Imi Peed Creten sal Bete ot 10 HPRH hid gj Pansed Cordier T Aipha Core erence Masters Grog Markat Fund LP HD Atia bipes Hedge Puraj iraid Gar E T Atema LE hdg Fond Lms GP e A E H Parl L D e Ae Gin Lage Pad LP Se Golten Espe Fund itd ef Batherdal Drdarced Miiat Neutral Pred J p T Bestar iod Capital fund LP E Geari Summer Sample e 2 ga a a a ig Pare
119. Ist Source Monogram Income Equity MomingstaE nhanced at Sonce Monogram Lorg Shat MorengelaE nharced ai Loed Master Universe Ist Source Monogram Special Equity Momingsta nhanced i 2 Equity Panrer LF HFA Se opan e este 2811 Smal Value Fund LF HFRS 2 Save Universe As M 3 Month Eusbew tale PaiT tae Indexat 3 Month Liber Fate Perl rac Indexes 34 Global Groeth Fund Lined HFA Se 40M CMP Master Fund Limited EWA Shanes HFA SS Group Checked Investments 4M CMP Master Fund Lined USD Shae HFRS AAAsgard Feed income Flared Limbad HFRS Ez AAAogard Fred income Fund Litad USD HFA B Ei Pertra AAC Fund of Hedge Funds Benchmark Peitrac indexes Absous HFAA Active Viniows M Abacus Gull Moosa Growth MomingtaEnhanced A Peer Goun Anaku Fassett omen Hess SigA eran Allocation ard Aj a T esment imtormabon FF Creabe Mew Lintverse JA Create Checked best Universe Line Grau Checked bivecinments Menu Bar PerTpac HFR HFM Current Universe ECD Fis Rets Ei Preferences 3 Took Window F Hep Searches The Menu Bar is located at the top of the Master Window and offers pull down menus that are similar to those of a typical Windows program The PerTrac Menu Bar provides the following menu options 61 PerTrac User Manual v 19 1 File Contains options for opening creating and saving Universes Also allows you to load charts and exit the program Contains a quick launch list of recently used databa
120. LV Furie uinie Locate Unnnsie l Starting Inception pard Large Cap Yalue Fund A _ Eom Laga Cap Value Fund B Ending End of Cats Lage Cap Value Fund L fore aera Use Cormon Stal 500 Risk Free ROR 19 Co Vake Fund D M and End Dates ar Mirina D duatety O 10 Acceptable aoa Rectum MAR M Hide Worksheets Rernove Tedborss Speeds up repa pen i oho C PesTractUneverse Cusrend indices Lary Locate Benchmarks Gererale Reports Bernchmak Unmeris Benchmark 1 mwa P500 Cancel 11 Select System and User pager you wish to export by clicking Repat Template eee ee eee below Print 8 C PesTrackCustom Repods MasherPubbrherLiteayods Locate Template Select Infomation Pages C Save Reports In Folder C Petra Locate Folder Set Chatting Options Leaves Template Open Single re cherries Ork Overwrte E misting Files Export Peer Statistics Style Map Setup 10 To run the report double click your left mouse button on the Generate Combination Reports icon A gray setup window will appear This report contains the data from the three Benchmark Reports so the report generation setup window is a little more complex There are 11 sections of inputs that must be made prior to generating the Combination Report option The sections are numbered on the screenshot above 1 Fund Selection the first step is to select the fund to use as your sample fund when creating the report The Use Investment option shou
121. Mew Universe Opens a dialogue box allowing you to select a new universe o S 5ave Universe As Opens a dialogue box allowing you to save the current universe with a different name 67 PerTrac User Manual v 19 1 Ee Create Mew Universe Opens the Create New Universe Window where you can define a custom universe o i Create Checked tems Universe _ Opens the Create New Universe Window and places the investments you have checked in the new universe column Sroup Checked investments _ Allows you to check the boxes next to your fund names then convert your selections to be listed as a group o asociate Checked nvesimeris _ Allows you to un group funds that were grouped with the Group Checked Investments option bid Exit PerTrac Closes all open windows and exits PerTrac Available with Standard and Advanced Versions Universe stats Allocation and ptimation This opens the Universe Allocation Window that contains PerTrac s universe multi fund analysis tools portfolio construction and asset allocation modeling with the Efficient Frontier and Linear Optimizers Available with Advanced Versions Style and Benchmark aadi Opens the Style and Benchmark Analysis module where you can perform style analysis create style charts and perform style based searches Peer Group Analysis l Opens the Peer Group Analysis module where you can thoroughly analyze and rank funds relative to their
122. Plot This will launch the Select Point Format window where you can pre format both the point features and the label text There is also a Set Cross Hairs check box which can provide special 167 PerTrac User Manual v 19 1 focus to a particular point Once you have made all the selections click OK to display the point Auto Recalc This check box marked 5 T naa on the Portfolio Allocations en r screenshot enables you to type in any allocation for an asset and all other allocated assets will adjust proportionately In B remiss tas 20 a Ea anna r addition if you have the SiS ee Point Selected Marker m m o n 2 een Saree ev displayed it will show you a a the new allocation s placement on the Efficient Frontier Line This option is ideal for quickly typing in hypothetical allocations and immediately seeing that portfolio s location on the graph Portfolio Allocation and Tracking Error Pies The first window displays the current portfolio s allocation with annualized return and standard deviation for the selected period The Tracking Error Pie window displays the current annualized tracking error of the displayed portfolio along with annualized active premium and monthly information ratio Portfolio Allocations Pie a Tracking Error Pie k elle Exp Retur 7 07 nto Ratio 0 854 Std Dev 6 47 Tracking Error Active Premium 6 09 124 A Barra S2P 500 2 ho CSFR
123. Report Template When the steps above are completed you will have an Excel spreadsheet MasterPublisherLibrary xls READ ONLY This Excel file contains numerous sheets of data The only difference between the MasterPublisherLibrary xls and the MasterChartLibrary xls are the number of sheets in the workbook The Combination Report includes the performance peer group and style analysis report data 215 PerTrac User Manual v 19 1 E kacili Lael ater chiel Arary ah Ha rn ES Qh ye pen yea jeb pe peke jet eee ewe es FES EEO ae Lee Ve er J ara 1 silt DEE Ra 85 a ee See Fee b Fr apiy ath hange sashes Wor Cirila harea on i team a b Gi F F E 4D Si buling your amim piate oo thin wheel ir TIP Prior to getting started click on the Instructions sheet to read the template building instructions or view our online tutorials PerTrac Publisher Tutorials Step 1 Build the template The Template sheet shown on the screenshot above is your blank canvas This is the starting point Treat this like a blank sheet of paper If you are going to create a multiple page report either insert additional worksheets or build your report vertically down the Template page Determine whether the report will be Landscape or Portrait From there start tagging where your qualitative data statistics charts and tables will be located Once you have determined where the data will go must get the data from the other sheet
124. S000 Vike iiti CORT Russet Midcap Grew been Gorn Rubeel Hidan Vole Indii DAN GE gt i Set Miran Seham p Leia 94 3 Inthe lower left corner of the window set the sum of the style allocations to be greater than less than or equal to a given number 234 Style Analysis Single Fund 4 Click OK 5 Back in the Style Analysis Setup Window ensure that the Use Advanced Settings checkbox is checked prior to clicking Compute Style 5 06 Compute Single Investment Style Analysis Now that the setup is complete click Compute Style to produce the style analysis output The goal of style analysis is to determine the style bias and style drift of the selected fund Let s examine the output ML 3 manth T Bills Jan 1978 Oet 2004 1 544 that this Russell 2000 Growth Index DRI Jan1973 Oct 2004 1 343 method of style Russell 2000 Value Index DAN Jan 1979 Oet 2004 0 000 analysis is not Russell Midcap Growth Index DRIN l Jan g3 Oet 2004 0 ODD designed to Russell Midcap Value Index DRI JJan 1986 Oct 2004 60 424 Russell Top 200 Growth Index DRI Jan 1986 Oet 2004 29637 find a style that Russel Top 200 Value Index DAI Jan 1986 Oect2004 3 725 makes a fund look good or bad The goal is to infer as much as possible about the exposures to variations in the returns of the asset classes during the time period being analyzed The allocation table shows how the fund is allocated to the benchmarks in
125. Sortino Ratio The arithmetic average period return less the Minimum Acceptable Return MAR Risk Free Zero divided by the downside deviation from the MAR Just as with the Down Deviation calculation the Sortino is calculated on the 3 assumptions for MAR shown in parentheses Drawdown Table The Drawdown Table is located at the bottom left of the window and consists of three tabs Drawdown Consec Gain and Consec Loss The Drawdown tab contains a complete history of all equity drawdowns since inception ranked by magnitude of the percentage loss In addition to the percentage loss the following information is displayed for each drawdown Length The number of months from equity high to the lowest point before the next equity Drawdown Walley high 44 73 25 0 Aug 2000 Sep 2002 29 58 3 18 Aug 1987 9 Mov 1987 Recovery The 16 52 20 3 Mov 1980 Jul 1982 number of months from _ 03 37 2 a Jun 1998 Aug 1996 14 69 5 4 May 1990 9 Gct 1990 the investment took to 14 26 14 5 Dec 1976 Feb 1978 recover measured from 095 3 4 Jun 1975 Sep 1975 thelowest point to the 9 73 2 3 Jan 1980 Mar 1980 next equity high 9 01 2 5 Aug 1978 Oct 1978 5 27 1 4 Aug 1986 Sep 1986 _ a h Drawdown A Consec Gain A Consec Loss J Single Investment Analysis Peak The date of the first negative month drawdown after an equity high Valley The date of the lowest point of the drawd
126. Statist Insuffioent Daa For Standard Denain HEI db Arrakced Staredard Dw Faki nosa l The Pass Fail Report lists all funds in the universe your search was run on When the report opens you will have two expandable options Passed Search and Failed Search When you expand either of these options the list of funds that passed or failed will be visible These too are expandable by fund Click the plus sign next to a fund to view in row format your search criteria 3 Search Criteria Report te Fii pa ari hae LP Pe ech ey ea j A Search rany bagot i Brala Eppa WT earth Lilenia Eeport eee iy Harist Aura Equity Tue Chbcigefrd ret a m g hid Conin HA a iii Hi yf ded Condon bamo 1L 1E H g reen a 24 of 114 g Bq Pria hra Brus Hep iH g ied Conder ala Da a A aled Condition bt of 10 80 i Ps 063 of 10 8c0 7 gy Unctected TS reese ee igh Compound erosi Return 7 007 wg Arrati Sandri Divanan 10 00 mE ete 20 ES pasad 6256 tiled 4 564 unkown of 11 145 e papel MA Pape reer ee AD gece i Vike D urh of 1a Ii pa ag a 5 RN ran 1 BS l Gay paper O f akai OD arira aoa a Temi bumnay Sane e Warning a pone ae ano a Poured Wirang Pente T E Search Crie Pairi nee Cid Metua European Satisi neufioent Data Por Sharetard Deviaba HERS i Aerated Sharda be Urram se Ad ue O
127. Statistics Search buttons They were replaced by the single Search Builder button Either of these options will open the new PerTrac Search Builder window 12 Pot Tame bearen Mulley Pe it ven Bu Hsi Sed y L Sage ch eee Poy Le Bini Data ME el ae a Pra Ta Search Builder Table Options l kioii Gate Source Crkeng Ones ator Vane From To Bencimark Penod And Or These options control the logical order in which the search will be run Info Stat Select Info to choose from Investment Information search criteria or Stat to choose from quantitative criteria Data Source Allows you to select which data source to use when searching on information fields Different data sources contain somewhat different information fields the information fields listed in the Criteria column will depend on which data source is chosen Multiple data sources can be included in a search by selecting different data sources on different rows in the Search Builder Criteria This is where you will select the actual information or statistic field to be included in the search Note The available statistics are currently the same as those available in the statistics search function of earlier versions of PerTrac However more statistical search criteria will be added in the future The available Info or Stats fields can be viewed either in one long alphabetically ordered list or grouped into various PerTrac categories Operator Equals does not equal
128. There P aE are three options Convert Investment to New Currency s Convert Universe to New i Currency and Edit Cross Rate i Database Prior to converting the investment or universe to a new currency the Cross Rate Database must be updated nl ee 150 Universe Multi Fund Analysis 1 The Cross Rate Database can be edited by selecting Edit Cross Rate Database from the Currency Conversion section of the Tools menu Click the Select Database button on the lower left hand side of the window When the file selection window appears select the file PerTracCrossRates cdb and click Open A list of currencies will now be listed in the window You can now Add Remove or Edit Currencies NOTE New currency rates must be entered each month The currencies that come pre loaded have not been updated since September 1999 However we now upated the G7 currency rates which can be updated monthly from the Utilities Documentation link on our Training amp Support http pertrac com site Each month you will Save the new PerTracCrossRates cdb file to your PerTrac main folder 2 Once the Currency Cross Rate Database has been eee sacar updated click the Convert Wem Ines Wate Investment to New maenad kaan Currency option Select the currencies of both the current investment and the new investment The new investment name is listed under the New Investment Tp h
129. To display more accurate correlation statistics you may change the Start Date of the current investment so that it does not outdate the benchmark data Sharpe Ratio The arithmetic average return less the risk free return divided by the standard deviation NOTE The key for correlation analysis is that the current investment and the benchmarks must share common date ranges in order to make a valid comparison If the benchmarks contain more data than the current investment PerTrac will automatically decrease the date range the benchmark However if the benchmark contains less data than the current investment you must narrow the date range for the current investment by changing the Start Date and End Date The M Ratios and Q Ratios tabs contain the following correlation Statistics for monthly and quarterly periods respectively Up Capture The Up Capture Ratio is a measure of the investments compound return when the benchmark was up divided by the benchmark s compound return when the benchmark was up Down Capture The Down Capture Ratio is a measure of the investment s compound return when the benchmark was down divided by the benchmark s compound return when the benchmark was down Up The Up Number Ratio is a measure of the number of periods that the investment was up when the benchmark was up divided by the number of periods that the benchmark was up The larger the ratio the better Down The
130. Trac calculates automatically The Previous and Next buttons at the bottom of the screen allow you to view data from other investments within your universe Finally the Statistics and Information buttons allow you to move directly to those windows When you enter a new investment in Per Trac and click Investment Data a window will appear indicating that the investment does not have performance data Click OK Then amp ether no date for weenie Investment of there is 6 disbe meng in the heborical data dream nm oeder bo Fere sorae calculations please revien the dete table and comect ane ennors that exist rt La 32 Getting Started A small window will appear on the blank z data sheet giving you the Option to enter seyo wantto erter dats in quarterty foerat performance quarterly If you want to as enter monthly performance click No Click eS Yes if you will be adding quarterly data Adding Monthly Performance Data All new investments will initially require that a data stream is entered in the Investment Data Window All existing investments with the exception of those supported by your data vendor which are updated when you download a new database also require monthly or quarterly updates as performance data becomes available 1 Click the Enable Editing button at the bottom of the window Investment Data window Notice how the button is renamed as Disable Editing Enabling editing allows additional
131. Tremont Hedge F af 5 MARET All Total i 4 Lehman Aggregate Bon 20 1 3 14 Financial Planner and Simulation Custom Reports Simulation Templates Prior to generating either the Solver or Portfolio reports you must select an Excel template to exporting your results PerTrac is pre loaded with some suggested templates 168 Optimization amp Simulation Simulation File E PeTrac 2000 SEWUniverse simulaionppp 0 Load Save x Solver Template CAPeTrac Custom Reports Custom Solver Report xls Locate Locate Cancel Ex Click Locate to the right of the Solver Template This button will launch a window that displays pre loaded Excel files Select either the Custom Solver Report xls or the Master Portfolio Solver Report xls file The Custom template has been pre built for you while the master template requires you to build your own template similar to the PerTrac Publisher Custom or Combination reports The same instructions apply to the planning templates Locate either the Custom Planning Report or the Master Portfolio Planning Report The Load and Save options available in Simulation File area let you save your simulation setup and or load it at a later time Pianining Template CAPe rac Custom Reports Custom Planning Report xt Solver Report There are two different reports that you can run in the Portfolio Simulation and Planning Module The first report is the Solver Soker Semulaion The Solver Report all
132. Use Common 5 red Cred Saas Dida Liria Day E m r a ______ zd Roding Firad CAPe Tea Siel Lisaa lirna l bin arate in det p Liat aport to the Lent ML Seventh IAk 7 1O pasa col chet Plena 2 Gth rice AR ona heath ioe Austad S000 Vaha bre DAN 2 Style inea Picotto Hikap Giph recs Gl Pius arn Value inden DRI Ea Aik Free AOR Rusted Top 200 Girat lesion GRI Ferehmik liran ier el Fr iC Pafi LD eat te Cate rites Leas Gene iruak s Mok Borar 500 it Hane 7 Mrka Genchrak Ee Pra Tsuen Poem oe eS eA epo Literati Tempiste C Save Reports In Folja C PeT rac Custom Fegor Siye Anshai Repote Locate Folger baira Torga Open ages liiian Orak l Urama E xing Filet 1 Selection If you are generating a report for one fund and you highlight that fund on the home window prior to opening this setup window the fund will be automatically listed in the Use Investment window TIP If the fund is not listed in the Use Investment window click Locate Universe to open the universe that contains the fund If the universe contains numerous funds click Expand on the left to see an expanded view of the universe When you find the fund that you want in this list double click on it and it will appear in the Use Investment window 193 PerTrac User Manual v 19 1 2 Style Universe Selection Click the Locate Universe button to select the un
133. V Cumulative Return Distribution of Returns A second Y Axis can also be generated on Percent Rate of Return and Drawdown One or Two benchmarks can be included on the NAV and Cumulative Return charts 4 Calculate NAV If your daily or weekly data was entered in the Performance column use this option to create a NAV stream based on the performance 38 Getting Started 5 Calculate Performance If your daily or weekly data was entered in the NAV column use this option to calculate the daily or weekly performance in percent format Note if you copy or manually enter NAV data you must use the Calculate Performance option PerTrac calculates all statistics from the performance column 6 Fill Dates Daily This option will fill the Date column with daily dates 7 Fill Dates Weekly This option will fill the Date column with weekly dates Note the dates entered will always end on a Friday 8 Convert to Monthly This option only applies to daily data If you would like to use all of PerTrac s functionality to analyze your data you have the option of converting your daily data streams to monthly data streams This option will populate the monthly data sheet If selected your fund will not have two data sheets one with daily data the other with monthly Note If your fund has an existing monthly data sheet and you select this option on the daily data sheet a message will appear asking you if you want to replace your existing
134. a Installing License Service for Network Users For network installations of PerTrac install the license server by following the links on the setup CD ROM for your key type Remove any USB or parallel Sentinel SuperPro keys before continuing the installation We have had reports of problems installing the Sentinel key driver while the key is attached Once the installation is complete verify that the SuperProServer service has been installed and started automatically 1 On the installation CD ROM select New Client Installation as this will ensure you are properly set up The installation instructions cover both the parallel and USB key options If you do not know which key option to select the sheet included with your installation CD ROM has a section which gives both License Numbers and which type of key you have purchased The most common selection is SuperPro Net Parallel Port After selecting appropriate key type you are given two options for installation Install PerTrac License Server or Install PerTrac Click Install PerTrac License Server Follow the installation instructions after selecting appropriate key type 2 When the installation is complete plug in your USB or Parallel key Make sure that the SuperPro Server Service is started in Services To Find Services go to Control Panel Administrative Tools Services here you will find the SuperPro Server Service and again make sure it is Started If you do not see a Supe
135. a On na HD IA mrali D fi jah 2006 UU ME 5000 O00 Cet ai i hi 3 STS 235 oe fay SS j TE S00 O00 in ata H F i E err AEs SE Te Se Ce ee Tail H 4 id 3 a irii i ann Cunt Ho Ai w heer Se if Gan on I Hi 56 Den 2005 i Ss OF FO0 00000 oo H or Jor ae 1M BS nian ir mm KE SG Fab d0e 1 Bis giar maga a oo mii AL So Wer Je Dare kaiza nian rpi T tat KE m apr AE 1 K 1c Hi fi heey 20D 100 Convo tat Ho St dar AF E D E in n HE M05 Jeb 2006 2 nm apaa a Ea 1 H Sel p E o SSS eS _ Pee Hea Shain Ey sbim Hal Dagh Ema F Cute Lipa Lati Em a Irim ip Daki Peores Recalculate emia Um Lee Loar At the top of the window are fields showing the investment fund name start and end dates and the number of monthly periods in the data table Below these fields is the standard data table For data vendor provided files the data table is updated each time the user downloads an updated database for that vendor User investments however must be updated manually The data table includes columns for Date Performance percent return Funds Managed NAV Net Asset Value VAMI Value Added Monthly Index and Cumulative Return The data table also contains an Estimate column which allows you to flag the rows of data that contain estimated performance values Only the first five columns require data entry while the VAMI and Cumulative Return columns contain locked cells that Per
136. a User Memo display each containing four resizable windows The System Memo information will be provided by the data vendor while the User Memo information is for your use and can be updated by clicking the Enable Editing button Each memo field may contain approximately 1 gigabyte of information The User Memo windows are similar to the User Category and User Information Windows in that the information stored here is not changed or overwritten during data vendor updates This allows you to store and customize the information in a way that best suits your needs Tool Bar User Stats EH Data dl Charts El Related Funds Ea Export j z E Enable Erit General Information The Investment Information Window contains its own tool bars that provide access to the available functions Listed below are brief descriptions of the items highlighted on the Information window tool bars e Data source drop down window This window contains a list of your grouped duplicate data sources Although you group your duplicate funds you can toggle between multiple data sources in the information window to view qualitative data specific to each data vendor e The Statistics Data and Charts Ezist ts EeData charts buttons open those respective windows o With the Export Import and Clear PBE Gebimpart lt 7 Clear buttons you can export a page of information to the Clipboard From the Clipboard you can then import information to another investm
137. a for each investment in the current universe for 3 consecutive months ending with the month you selected 4 Enter and edit the data as needed 5 Click the Save button If you do not save your data before you exit the Monthly Data Entry Form window any changes you have made since your last save will be lost 6 Exit the Monthly Data Entry Form TIP Be sure to open just the universe of investments you wish to update at the Home Current Universe window When you click the Load button on the form shown above PerTrac will load the universe listed in the Home Current Universe window If you have the entire database open which could consist of thousands of funds when you click the Load button your system may freeze Adding Daily Weekly Data You can open the Daily Weekly Investment Data Window by clicking the ee eg ee eee command button from the left hand side of the Current Universe Window or by clicking the button labeled pallyiveerh Data from the Tool Bar The Daily Weekly data sheet is similar to the traditional Monthly Quarterly data sheet in that the same data sheet is used for either data series The following steps will walk you through adding a new investment with daily or weekly data Note If you are adding daily or weekly data to an existing fund skip step 1 below and start with 2 1 Click Add New investment the first button on the left hand side of the Home window When the Add New Investment window opens
138. a krye tieri sare te at tent ben The chants Name label REE mam paoe E maara aaa 3 Select a Data Source from the drop down list typically the data source will be User 4 Optional conversion check boxes are available to convert NAV and Funds Managed 5 Other record items can be duplicated by checking the corresponding boxes 6 Once all the settings have been made click the Convert button Comi HAM e Cae Fide el rege Oats Siete jg Universe Currency Conversion From the Tools menu select Currency Conversion Then select Convert Universe to New Currency Prior to converting the investment or universe to a new currency the Cross Rate Database must be updated See Note above 151 PerTrac User Manual v 19 1 1 Once the Currency Cross Rate Database has been updated click the Convert Universe to New Currency option The Universe Currenc Conversion window appears 2 When the Universe Currency Conversion window appears click the Locate button to open the universe to be converted 3 Select the existing Universe Currency Denomination to E PeT iaclirrearsa HFEF urs IUMITED STATES DOLLAR 4 Universe Currency Conversion C PerTracWPerTrac Cross Rates cdi fel 4 ele Unies ESFE Temon HF Corste Abispa COFB Tiemont HA Emsgrg Markets CSFB Tiimari HA Egay Heki A deal CSPA Temont HFI Evert rar CSFB emat HH E werd Dras Daie CSFA T seco HA Frad Fiara Arr CSF
139. a list that can be accessed by clicking the down arrow in the destination database window When you merge at a future date click the down arrow to select the database with which to merge Merging a Universe witha Da tabase Select Soercer aed Destination Datsbases and chck Monge Step 1 From the Home window in dic mo PerTrac click the Tools tab on the Seal e upper menu bar Click Data Manager DO Man AUi Dii a a Daa bee When the Data Manager window Synchrnnce Peoemarce appeals click Quick Merge The Pinaceae tilma a Deshanhkia datnhaan from the list Quick Merge window will open i p EEA T a P Tr Bank Dabas e j Step 2 Click Source to locate the database in which the Universe was Coen created Step 3 Check the box under the 253 PerTrac User Manual v 19 1 Source bution Merge by Universe to locate the universe you want to merge Step 4 Click Add or click the down arrow in the Destination window to locate the database into which you will merge the universe Step 5 Click Merge to 8 04 Validate Database Data Manager File Options Help ice Automated Data Update ne Quick Merge Pa Validate Database F Compact Es Error Log The Validate Database feature allows you to sins bial aaah scan a database for structural or referential Which database would you like to veficite errors You should back up your database prior using this feature Step 1 Clic
140. abase and click Open The path will be listed in the box to the right of Source button The next step is to select the database you wish to merge the database into Click the Add button A window will open for you to select your destination database usually a Master Database The path to the destination database will be listed to the right of the Add button Once the selections have been made click the Merge button PerTrac s default settings back up the destination database prior to writing This will take time DO NOT EXIT THE APPLICATION Allow it to finish The word Done will appear in the bottom left corner of the window when the merge is complete Close Data Manager As mentioned above if the Master Database was open in PerTrac when you merged with the Data Manager simply click on Load Master Universe to update your database to reflect the merged data If the Master Database was not open click File Open New Database to select the destination database Quick Merge can also blend a small universe of managers and data into a database The checkbox labeled Merge by Universe should be checked if that is the desired action Once you check the box you will be prompted to find the unv file that contains the list of mangers to merge Find it and click Open The button labeled Merge All User Description Information Checks Data Memo should be used if you are transferring user entered funds with custom qualitative information If you do no
141. access the simulation module click Portfolio Simulation and Stress Testing located at the bottom of the PerlTrac Home window Portfolio Simulation Setup While setting up a portfolio simulation you will use the settings along the right side of the window as well as the buttons at the bottom right of the window that take you through the four basic steps 1 Click Select Market Benchmark Step 1 When the Select Market Benchmark Window opens select a benchmark from the dropdown menu which lists each benchmark in your Correlation Universe Correl unv 249 PerTrac User Manual v 19 1 2 Click Select Portfolio Step 2 When the Select Universe Window opens select the desired universe and click Open 3 The Start Date and End Date boxes will now display the common date erqrange among the Market Benchmark and each item i in the Portfolio Investments ee eaiitable Using these boxes ay ere tyou can enter either a new Start Date which must be later than the initial Start Date or a new End Date to which must be earlier than ithe initial End Date Por liac Portlolio Sones bor j lor a fee BB ite 4 Enter the desired Allocation for each item in the portfolio as either a decimal or a percentage value The last cell in the Allocation column calculates the total allocation Once entered the allocation can be saved by clicking Save Allocation and entering a name for the saf fil
142. ach of the 10 steps in the database building process When the build is complete the Status box will read Peer Database Build Complete NOTE The peer module output includes the ability to create floating quartile bar charts on 145 statistics and performance measures as well as rolling period analysis Building the peer database calculates and produces rankings on each of these measures for every fund in the peer universe and the benchmarks in the market universe 240 Peer Group Analysis TIP Once a peer database has been built you can open that peer database at any time in the peer analysis window by clicking Open Existing Peer Group 6 02 Building a Multiple Peer Group Databases Since each Peer Group Database is time specific you must re run them whenever new data is made available Also if you wish to have PerTrac build more than one peer database at a time the Build Multiple Peer Groups option should be used The Build Multiple Peer Groups option can be found in the lower left of the Build Peer Group Window and is a useful timesaving function that allows PerTrac to calculate or recalculate multiple peer groups simultaneously R baki Multiple Peer Detebwers E P ES dd Pete Wire Deryan era irre D niani H wh Lirama l P Daia Foki haetin Baiat i rah E Peal ic P Liai Por Faida F Qemer irg Pees Gere an oss Sree pcb Es Ce jets Prva Buti Pea egga pa T Usi a E Humbe ef Vea Beck
143. ad a new database also require monthly or quarterly updates as performance data becomes available 1 2 From the Current Universe Window highlight an investment and click the Investment Data t button lf you are adding data to a newly created investment you will see a message telling you that there is no data for this investment Click OK The next window will ask if you want to enter data in quarterly format If you will be entering monthly data select No Click the Enable Editing button at the bottom of the Investment Data window Notice how the button is renamed as Disable Editing Enabling editing allows additional functionality to become active Some of the buttons at the bottom of the window will change from grayed out text inactive to black text active Also you will notice a formula bar appears just above the data table which displays the contents of the current cell If you are adding a new row to an existing data record PerTrac will automatically fill in the next date Otherwise you can enter the date by typing it in month year format For example January 1990 can be entered as either 1 90 or 1 90 If you would like to enter dates for several rows at a time drag a selection which encompasses both the most recently entered date and all the cells in which you would like to enter dates then click Fill Dates Also since the month year date format assumes that the date is the first of the month you ma
144. alized boxes 7 Select Line Chart arrus Plata 23 7 liper Feredia f i Liai Picari Plot Meckan e a fies Retum MAR fio Kramer of T ba Plot fiom Stang iar r Pia Cumuiatve Aetia M Piki Anpuskeed i Lino Chet Ba Chai 8 Click Simulate and Plot The Y Axis will contain dollar values mn Se SS 253 Data Manager 8 01 Data Manager View the online tutorial Data Manager is a powerful multi task utility program located within PerTrac Data Manager has a built in Automated Update feature for updating your databases from within PerTrac Data Manager also contains utilities for merging databases together merging just a universe from one database to another import and export functions as well as utilities to help prevent database corruption Each of these functions will be explained below To launch the Data Manager click the Tools tab on the PerTrac menu bar Click Data Manager The Data Manager window will open Fie Options Help re Automated Data Update a Quick Merge EJ Validate Database zA Compact Error Log 3 PERT RAC Analytical Platform Data Manager Tutorials Chek on Ge links below bo launch Ir emel Exper and we the T utonals Data Manager Overview Unialiney Your Data Automated Update Menang Data using Data Manages Database Maintenance Compacting and Validating Ment bme launch Daia Manager go shiagh fo f Automated Dala Updah f Chuck Merge fe Just Launch here CC
145. and Cumulative Return columns Since PerTrac recalculates the figures automatically when you use the Save option it is not mandatory that you click the Recalculate button However you may find it useful to use the Recalculate button to view the recalculations for yourself before saving 11 When you are finished click the Save button then the Disable Editing button If you click the Disable Editing button without having clicked the Save button PerTrac will ask if you want to save your data If you do not save your data before you exit the Investment Data window any changes you have made since your last save will be lost Adding Quarterly Performance Data To add quarterly investment data follow the instructions listed above but click YES when asked if you would like to enter quarterly data Editing Performance Data To edit data highlight the appropriate cell then click Enable Editing button After entering data in a cell you can move to the next cell by hitting the Tab key or by clicking on the desired cell You can clear the contents of any cell by right clicking and selecting Clear The right click menu can also be used for Cut Copy or Paste functions or for Inserting or Deleting Rows in the data table If you have entered a value in the Performance column and wish to recalculate the NAV highlight at least two cells to be recalculated in the NAV column and click the Calculate NAV button Conversely if you have entered a new N
146. and annual compound returns are calculated using the monthly compound return solution Standard Deviation This is the least squares Standard Deviation calculation Gain Deviation A variation on the standard deviation calculation that considers only positive return periods in calculating the mean gain mean and in computing the variation from this mean Loss Deviation A variation on the standard deviation calculation that considers only negative return periods in calculating the mean loss mean and in computing the variation from this mean Down Deviation Downside Deviation Measures the deviation of only those data points that fall below a minimum acceptable return MAR from the minimum acceptable return The statistic is calculated 93 PerTrac User Manual v 19 1 94 3 ways based on the different assumptions for MAR that are shown in parentheses The first MAR assumption can be changed by selecting Default Minimum Acceptable and Risk Free Returns from the Preferences menu The second MAR assumption uses the Sharpe risk free rate which can be changed at the same time as the minimum acceptable return The third MAR assumption is zero which shows the deviation of all losing rolling periods below zero Sharpe Ratio The arithmetic average return less the risk free return divided by the standard deviation Sortino Ratio The average period return less the Minimum Acceptable Return MAR divided by the downside dev
147. are tracking the dollars under management for the investment or a fund NAV you can enter the Dollars Managed and NAV in their respective columns If you do not know or do not care to track the Dollars Managed or the NAV you may leave those fields blank and PerTrac will fill in zeros when the data record is calculated Similarly PerTrac will automatically enter NO in any blank cells in the Estimate column 6 Continue to fill in the appropriate cells for each row that contains a date 33 PerTrac User Manual v 19 1 7 Once you have entered all the data click the Recalculate button at the bottom of the window to update the VAMI and Cumulative Return columns Since PerTrac recalculates the figures automatically when you use the Save option it is not mandatory that you click the Recalculate button However you may find it useful to use the Recalculate button to view the recalculations before saving 8 When you are finished click the Save button then the Disable Editing button If you click the Disable Editing button without having clicked the Save button PerTrac will ask if you want to save your data If you do not save your data before you exit the Investment Data window any changes you have made since your last save will be lost Adding Quarterly Performance Data To add quarterly investment data follow the instructions listed above but click YES when asked if you would like to enter quarterly data Editing Performance Data
148. areas to further refine your chart Creating a Universe Chart The following is a simplified list of the steps required to create a universe chart NOTE the Start Date and End Date that you entered in the Asset Allocation Window will define the time period used for a universe chart 138 Universe Multi Fund Analysis 1 Click the desired chart type from the list at the left of the window 2 Select the relevant chart options to suit your needs 3 Click OK to display the chart 4 Customize the chart using the Chart Designer Edit Chart Data or Wizard options from the pop up menu 5 You can also print copy or save the chart from the pop up menu Once a chart has been saved you may open it by selecting Load Chart from the File Menu If you chose to copy the chart it can be pasted into another application In Microsoft applications Paste Special and Paste the chart as a picture and paste will display the underlying data To create additional charts without closing an existing chart click the Charts button on the Tool Bar at the top of the screen Chart Options Geometric Statistic Charts The following options are associated with the chart types in the upper left corner of the window VAMI Cumulative Return Percent Rate of Return and Distribution of Returns Managers Portfolio Options Check one of these boxes to indicate whether you want to chart the performance of the individual managers the
149. arious PerTrac categories 5 Operator Equals does not equal greater than greater or equal to less than less than or equal to Applies to both Info and Stat search criteria 6 Value The requested value entered by the user Applies to both Info and Stat search criteria 7 From Enter the start date for the selected criteria You can search Start of Data Since Inception or enter a Month Year 8 To Enter the end date for the selected criteria You can search End Date Parameter a shortcut when running a saved search each month and you want the statistic run through the new month end date without having to change the end date each month End of Data or enter a Month Year 9 Benchmark This option applies when selecting correlation statistic criteria When a correlation statistic has been selected under the Criteria column the Benchmark column will light up for your benchmark selection Note When you click the down arrow to select a benchmark you will see a list of all your assigned benchmark universes By default the Correl unv is assigned to all funds in your database If you have not assigned additonal benchmark universes to your funds the Correl unv will be the only listed universe to choose from 10 Period The period options are Monthly or Quarterly Search Builder Tool Bar Options gt E pe Egt ye Bun Heke Sed Searches epe arch Sasthhkane Sample Search Universe Current Uneverst Allure 1
150. arts Click the down arrow to select your statistic and then enter the rolling period Rolling Correlations There are 5 rolling correlation charts Click Ho Fidea g i A AP Ti a ae Leche Looe F ike Bersih k tacih Ei Dhr of Fitar x Reg iot the down arrow to select your correlation statistic and then enter the rolling jr period e Gasca 4 The Risk Free Benchmark This selon will allow you to select a benchmark to represent the risk free rate when calculating the Sharpe Ratio This in lieu of entering an annualized risk free rate Volatility Bands Enter the moving average Distribution of Returns For the distribution of returns chart you can set both the Increments and Range for the graph Risk Return Scatter Plot Universe There is universe risk return scatter plot chart on the report s Library tab Use this option to select the universe you want to plot and the number of years to plot NOTE There is a Use box for each of the options The data for that option will not be exported if the box is left unchecked 6 Click the Generate Reports This will open the report in Excel The report will be a read only file You should save the file under a new name prior to building your template For example you could name the file Our Company Custom Report Template Harari Lee Ae Or lL nal fi ORE Preji Dap i ee Peet erry Locate i NOTE There a
151. asily toggle between the duplicate records from different data sources for the currently displayed investment if your data is grouped 2 Configure Data Vendor Priority If you have multiple databases from different data vendors and you wish to merge these databases and group duplicate investment records together you will have to set a priority on which ES data vendors record will display for a duplicated investment To set your data vendor priority click Preferences on the upper menu bar The first option is Configure Data Vendor Priority Place the data source you wish to give highest priority at the top of the list and on down so that the lowest priority source is at the bottom of the list Based on the example screen above if PerTrac identified duplicate records for the same investment from Hedgefund net and Stark the record from Hedgefund net would be displayed in the Home Current Universe window if the Group Duplicates checkbox was checked The record from Stark would be hidden by default This priority will also be used when creating universes with PerTracs new Search Builder search engine which can automatically remove duplicate records from your results FS Dasha dor de highest ponp vendor aaki well ba used Ey delal Puke Beeching and yesang rreedimeri riometion 3 Data Source Name In previous versions of PerTrac the data source name was shown in a box at the top of the Home window Now the data sour
152. ata Entry Form window any changes you have made since your last save will be lost 7 Exit the Monthly Data Entry Form Single Investment Analysis 2 07 Currency Conversion The Currency Conversion tool allows you to convert investment returns from one currency to another Currency conversion can be performed on a single fund or a universe of funds Single Fund Currency Conversion Select the investment you wish to convert then from the Tools menu select Currency Conversion There are three options Convert Investment to New Currency Convert Universe to New Currency and Edit Cross Rate Database Prior to converting the investment or universe to a new nr ney Catan detail ad toot Nd Cion tenen Ael currency the Cross Rate Database amp onan must be updated 3 wi 1 The Cross Rate Database 3 can be edited by selecting ul Edit Cross Rate Database from the Currency Conversion section of the ps Tools menu Click the Select Boi Database button on the lower Zoa left hand side of the window 7 When the file selection window appears select the file PerTracCrossRates cdb and click Open A list of currencies will now be listed in the window You can now Add Remove or Edit Currencies NOTE New currency rates must be entered each month The currencies that come pre loaded have not been updated since September 1999 However we now upat
153. ata Manager File Options Help gT Automated Data Update ne Quick Merge Pa Validate Database A Compact Es Error Log Validation is a data maintenance tool while Compacting is a file maintenance tool It is very important that you compact your database at least once a week if not more often This is even more important if you have a lot of users on a network The compacting process will keep the database file structure from becoming corrupt Step 1 Click Compact on the menu bar This will open the Compact Utility Select Database window Step 2 Click Locate to select a database to compact Step 3 Click Next The Compact Utility Finish window opens Click Finish to start the compact process NOTE Do not use Ctl Alt Del while the database compacting is in process This action will corrupt your database to the point that all data will be lost Let the process finish even if your task manager says it is not responding TIP For more technical preventive and repair measures have your IT department review this Microsoft Access Database site http support microsoft com default aspx scid kb en us Q306204 257 PerTrac User Manual v 19 1 Error Log Data Manager File Options Help gT Automated Data Update AE Quick Merge FL Validate Database a Compact Es Error Log The Error Log will keep a list of Data Manager errors that are encountered when using the utility File Tab Options GP Automated Data U
154. ate to open the file selection window The Custom Reports folder will open by default which contains the Master template MasterDailyReport xls file for creating your report from scratch and a pre built daily data report template Daily Report xls 5 Select Daily Report 1 xls and click Export Your report is now open as and Excel workbook Note The MasterDailyReport and DailyReport files can also be used for weekly data streams 112 Single Investment Analysis SQL Version 2 01 a Make Database Relational Make Database Relational Located on the Tools tab this option will scan the SQL database for Investment Manager Company Investment Fund relationships This feature also enables the sharing of investment information created with the Add New Investment button the new Set Company Fields and Create Dropdown List features Make Database Relational will also create a list of Manager Company Investment Fund relationships that can be viewed by clicking the new Show Managers button on the left hand side of the Home Window TIP Make Database Relational must be run prior to using the Set Company Fields Create Drop down List and Show Managers features NOTE The Related Funds feature available in both Access and SQL versions of PerTrac differs from the Make Database Relational feature available only in the SQL version of PerTrac The Related Funds feature will find all funds that have the identical first field the first
155. ation for the investment over its date range highlight the investment and click Investment Statistics at the Home window The return and standard deviation can be found in the Risk Table To view the correlations over the investment s date range click the Correlation Analysis tab on the universe statistis window The default date range will be the date range of this investment When the correlation analysis window opens the default setting is Correlation R Click OK Once you have the return standard deviation and correlation numbers enter them on the efficient frontier advanced setup window 5 Remove the investment from the universe Data Manager Most Frequently Asked Question FAQ We receive numerous calls regarding a message that appears after you update your data with the Updated Database feature The message Automated Data Update could not compact your database which could be because you have that database open in PerTrac or in MS Access Please compact your database on a regular basis through PerTrac If you have the database open in PerTrac then please reload your Master Universe to see the changes This message is not an error but a notification message that the database could not be compacted because it is open in PerTrac when the download is taking place The update has completed Close the message window down as well as the data manager window When you are back to the PerTrac home window click the Load Master Unive
156. available for the template Find the chart or charts you wish to include on the template and then cut and paste them in the appropriate place on your template NOTE The charts MUST be cut not copied If you copy and paste a chart the macros will not update when the report is generated in the future Statistics This tab contains over 1 000 statistics and performance measures If you want to include statistics from this page Copy the cell or range of cells and go back to the Template sheet Click into the cell s where the data will be located then click the Edit button on the menu bar click Paste Special then click the Paste Link Information Information 2 amp Categories These sheets contain the qualitative data from the Investment Information pages in PerTrac To include information from these pages you should Copy Paste Special amp Paste Link as above NOTE The Information 2 sheet contains the data being exported from the System and User Information pages If you export fields with a lot a text and you leave the Remove Textboxes option on the setup window unchecked the data will be exported to individual cell textboxes To add a text box to your template Cut it from the Information 2 sheet and paste it on your template 206 PerTrac Publisher Reports Tables The Tables sheet contains a variety performance and risk Statistics tables To add the tables to you template Copy the table s from the Tables sh
157. based on the performance 5 Calculate Performance If your daily or weekly data was entered in the NAV column use this option to calculate the daily or weekly performance in percent format Note if you copy or manually enter NAV data you must use 45 PerTrac User Manual v 19 1 the Calculate Performance option PerTrac calculates all statistics from the performance column 6 Fill Dates Daily This option will fill the Date column with daily dates 7 Fill Dates Weekly This option will fill the Date column with weekly dates Note the dates entered will always end on a Friday 8 Convert to Monthly This option only applies to daily data If you would like to use all of PerTrac s functionality to analyze your data you have the option of converting your daily data streams to monthly data streams This option will populate the monthly data sheet If selected your fund will not have two data sheets one with daily data the other with monthly Note If your fund has an existing monthly data sheet and you select this option on the daily data sheet a message will appear asking you if you want to replace your existing monthly data 9 Save When all data has been entered or edited click Save 10 Exit When your data has been saved exit the data sheet Daily Weekly Data Reports The daily weekly data module contains an export reporting function similar to PerTrac publisher report generation PerTrac exports the statistics table
158. bdirectory and start with the Custom Efficient Frontier prefix You may also select the MasterEfficientFrontie rReport xls file and create your own custom template For more detailed information on how to customize PerTrac Templates see the section on PerTrac Publisher An example of the one to ten portfolios template is shown to the right of this text 171 PerTrac User Manual v 19 1 3 13 Financial Planner and Simulation View the online tutorial simulate This tool allows you to determine whether your selected breakpoints portfolio s or interval points have a high or low probability of achieving a target value over a given time frame NOTE Any changes to the underlying inputs in the Efficient Frontier to create you portfolio will flow through to this module Portfolio Planning and Huria ol bbiin Cokes Hanea of hra Cohr S inki Pyra pjes irai Simulation window z ede ba niao Sedat br nition Biat Date ised O Belo Earedstion Foii opens There are e Fees Retirement nem aa oy nite nig Missions x x id no j 008 Taare io radye He 7 pol multiple inputs and ie pi _ h jd ve i oR Hieber cd redia Saher Faal restrictions that you can am es a __ _ apply to your analysis 00 oP ee Peros radon 1 Oe ft daresay Seleri Sarelstion Prato Let us first consider E S Pesta Simulation u iki ert E spice 115 008 _ Parameters mri ssi TT ts oe saree 1 005 150 000 Th Dept
159. ce name is located to the right of the fund name 4 New universe selection drop down menu Located at the top of the Home window is a new drop down menu containing the various universes saved in your default universe folder You can quickly switch the universe that is currently open with this menu PerTrac Version 6 0 19 New Feature Summary ll New splash screen for PerTrac announcements R EEA H PERTRAC Parir Fia wa bra l oai Dia Here Peart A big agp i 10 F A There is a new Messages button located on the lower left side of the Home window Clicking this button will launch the new splash screen Here you will find messages about PerTrac releases updates and other product news To hide the splash screen click Messages again lll Soft key Licensing PerTrac has started the transition from the physical hard key USB Parallel Port dongle license to an electronic soft key license Users who have a soft key license no longer need to plug any special hardware into their computers to run PerTrac Note This option is currently only available for the single user license The network concurrent softkey license will be available in the near future Your current hard keys USB Parallel Port will continue to work as well If you would like to take advantage of soft key licensing please follow these steps 1 Contact Amanda Sturgeon in the U S at 775 851 5880 ext 23 Once approved you will receive an email with your soft key licens
160. ch E a gy rearrested hed ii a on o amp 0 Ere ep fanned Search B Pram ge reie ad ab BLEN amp F Piri ga Ti l Eee amp Piped Sei Ei rm we Dipp eee od sk a A a So eit amp a ae fare amp Perel eect amp or igi irpiri hp h im Li oa ar inh far ine ham Gp ed earch pte gp mam hed ob Gb Gir Qi D Brean iG baited Tah amp Poa gg Preeti tad ob ait o en gi Fai T beig gh Fiii teach gy a gy eima bad ak yp ee Orin oan M pig amp Page Marchi E iar g reirei Fad ah e i mL g Y l ir Pitari Gear aF To nal ed a ga Cee ge a Ga Taj M Fair 2 Frari Search i Bin hie reer a D gl ii g 7 iE ie hath ternary kampie te Warnings 7 ema no A bra apre rag ET famh CrPera Liwri ET P Cit Rubus gaa at bmi Daa Por Ee erento Pe fy rapes Sarid Ce areata sara J Gid Mutya Europaen Thait irradficene Gate for Sterded Devs E dhi amsaidie Ce Parsat ap oh T hia uan a ea a Por ar Devel ee di forded ried Pe gt es The Search Summary Report lists all funds in the universe on which your search was run By default the report is sorted by the funds that passed your search criteria In the lower left corner you will find a summary table indicating how many funds passed and failed In this example the search was run on the All unv universe entire database and resulted in 60 of 11 145 passed and 11 085 of 11 145 failed This is a columnar report showing the search criteria as column labels and the values for all criteria for
161. ch losing return and the losing return average There are three downside deviation calculations 1 MAR Minimum Acceptable Return whichis entered on Preferences menu 2 the risk free rate you entered on the Preferences menu 3 zero Where K Return for period Where N Number of Periods Where R war Period Minimum Acceptable Return Where R FR war Cle Ri R mar lt J jor OIF R R war J h Downside Deviation L 2 N l 1 Semi Deviation Measures the variance of returns below the average mean return for a data series Where R Return for period Where M Number of Periods Where Ml Period Arithmetic Mean Where R MiIFR M lt Ojor O IFR M 0 Where Me Number of Periods where Ei MMe 0 M semi Deviation Ri X Lilt in 1 1 I 1 271 PerTrac User Manual v 19 1 Sharpe Ratio The Sharpe Ratio is a return per unit of risk measure developed by Villlam Sharpe Return numerator is defined as the incremental average return of an investment over the risk free rate Risk denominator is defined as the Standard deviation of the investment returns Where K Return for period Where Mp Mean of return set K Where N Number of Periods Where SD Period Standard Deviation Where E pp Period Risk Free Return p Mer ER N I 1 M sD 2 Ri MR N 1 1 sharpe Ratio Mr R RF SD Annualized Sharpe Ratio Annualized Sharpe Monthly Sharpe xi 12 2
162. chmark at any time once you have entered the style analysis module 5 03 Performing Single Investment Style Analysis View the online tutorial To launch the style module click the Style and Benchmark Analysis tab located on the lower left of the home window Ei Style Analysis Setup EG Select T Setup HF Compute bhi Charts Data Stat DataErd l Jerig Juzia Eki Date Sit DasEnd Start Dato End Date L iPS O Jaa J free Rustel Siy E E aa aa aa russel Top 200 Gaowth Iridex DAI Jerie Ju TRE Rusal Top 200 Vaha index DRI Jerie aN l a EEE O Russel 2000 Growth Indes ORI Jemig Jua Ruse 2000 Value Irex IDAN lnia Ja io T Inckaie Rik Fee Rate Rustel Midcap Growth Inde R JJei Jadi l H Russel Midcap Value index DA Jerie Jua Us Adecer Wigle 2 Jegi R invena Cumultive Performance Select Shae lirait a Select Investment Not Enough Data _Siyle Map Setup Euki Ste Catabace Pyet Berded mies Market Fides Site caah Diferential Performance Compute State Compute Style Not Enough Data Holing Sike eS TIP You may receive the following error message when the Style Analysis Setup window opens Error Reading Style Map Setup File Please set up the style map benchmarks Click OK Each Style Universe must have a corresponding Style Map Setup file that PerTrac uses when creating Style Map Dominant and Sty
163. chmarks option If you have not assigned benchmarks the two benchmarks shown in the select benchmark windows will apply to all funds in the universe Please refer to section 2 13 for instructions on assigning benchmarks 4 When generating the report on a universe of funds there are two options for outputting the reports Print which will send the reports to the printer and Save Reports in Folder which will save the reports in a folder 5 If you would like to overwrite existing reports select Overwrite Existing Files TIP If you elect to save the reports in a folder click Locate Folder to locate the folder where the reports will be saved The reports will be saved under the names of each of the funds in your universe 4 07 Style Analysis Report View the online tutorial The Style Analysis Report is a pre built three page report containing comparative performance and risk analysis of a fund versus a style benchmark and market benchmark followed by two pages containing the fund s style analysis output Page 1 The first page of the report is the Performance _ Measurement Report iiia J TE seen above CE N However in this Sre version of the report the two benchmarks for comparison are LLL the style blended Perfomance Statistics seie Allocation Style History benchmark and the market benchmark Page 2 Contains a bar chart showing the allocations of the style blended benchmark correlation statisti
164. click Enter 2 Highlight your fund then click E E ae on the left hand side of the Current Universe Window or by clicking the button labeled Daily Weekly bata from the Tool Bar 3 The Daily Weekly data window appears Getting Started Cre Pima a e E a P ae Coca Haka Chre Dii Cee be ele am chs E EE Te j Hii Corti te Hri e Date Contains daily or weekly dates Weekly dates must have a Friday ending date The Fill Dates Daily and Fill Dates Weekly options will populate this column for you e Performance Contains daily or weekly performance PerTrac statistics are calculated from this column of data You can use the performance data to calculate the NAV column Once the performance has been entered highlight the NAV column and click Calculate NAV from the command bar e NAV Contains net asset values PerTrac statistics are not calculated from this column of data However if you receive your daily or weekly data in NAV format you can enter those values and then use the Calculate Performance option to calculate the daily or weekly performance based on the change in NAV Once the NAV has been entered highlight the Performance column and click Calculate Performance from the command bar e Estimate Use this column indicate whether or not you returns are estimates Enter either Yes or No e Month To Date The Month To Date column is linked to the Performance column If you enter data directly to the performanc
165. clicking over an individual table allows you to copy only that table to the clipboard so that you may then paste the information into another program 99 PerTrac User Manual v 19 1 Displays and Charts The Investment Statistics Window offers a convenient set of statistical tools that allow you to further analyze the current investment Monthly Performance Table Clicking the Monthly Monthly Performance Tabie Sample Fund Performance button a 8 E F G H i K tL mM hi 1E 0S 100 Oe 13 210 150 T ar opens the Monthly EEEa sas iaoa ots anms faam aroni a oe aa game a Performance Table pee moaz iss aa hion isr p 1e ame ara ion inne which displays the Em EA eee a eee E E complete monthly EJS 8008 IIA M SHE 10 Harl ETS A aIr 37 performance history for the current investment For each year a row of data supplies the performance in percentage format from January to December followed by the value for the entire year This table can be copied to the clipboard by right clicking over the table then clicking Yes This will allow you to paste the table in another program Rolling Returns Summary Clicking the Rolling Returns button opens the Rolling Returns Summary which displays the rolling performance history for various time periods ranging from one month to ten years This table can also be copied to the clipboard using the same steps as above Quick Charts Clicking the Quick Charts button creates four conve
166. cs relative to the style and market benchmarks capture ratios relative to the style and market benchmarks a cumulative return chart and cumulative differential relative to the style and market benchmarks Page 3 A style history chart showing the style drift over time and rolling Beta Correlation R R squared Alpha and Tracking Error relative to the style benchmark 192 PerTrac Publisher Reports How do Generate the Style Analysis Report On A Single Fund 1 Select the investment for the report by highlighting the investment in the PerTrac Home window 2 Click the Reports button located on the upper menu bar and select PerTrac Publisher 3 The PerTrac Publisher report selection window will open On the left hand side you will see two gray buttons Benchmark Reports and Custom Reports Click the Benchmark Reports button There will be a report icon labeled Style Analysis Report 4 Torun the report double click your left mouse button on the icon A gray setup window will appear There are six sections of inputs that must be selected prior to generating the aL ola be Report The sections are numbered on the screenshot below Single on Hudig Aepaets amp Uire Investment se Mispe Fur m Since bepo 5 i l Species Dates i hee irrena rc Peili ec Wineverse us pat Cees Stating incepta ipd Era S O kopar CSFE Theenard Hedge Fur ince Erdira Lahr ie ar ali a Fiad Iraia IML Tmorth T Pils
167. ct New Universe Window You can also select a default universe by selecting Default Universe from the Preferences menu Default Data Source Each data source uses Its own set of field labels When using PerTrac Reports you can select which set of field labels you wish to use by selecting Default Data Source from the Preferences menu Risk Free Return amp Minimal Acceptable Return Certain statistics make use of variables that you can re define to best suit your needs Selecting Default Risk Free and Minimal Acceptable Return from the Preferences menu opens the Default Returns Window For the downside deviation and Sortino ratio calculations enter an annualized Minimal Acceptable Return Enter an annualized risk free rate for Sharpe ratio calculations 224 PerTrac Reports Universe Reports Step 2 Creating the MSSR Template _ PerTrac O aF k S Lae Ue te A Casar Mikra pian f eiye a ary a EE ah amp x s EE At Ges rm Reports uses templates to generate reports You select the qualitative or quantitative criteria for the report template column by column The selection ered process begins in column B in the empty cell to the right of the label Column Heading 1 Double left click in this empty cell The Column Selection window will appear i Cotumn Selection a jm x lrir Infotmastesn System and User Pages Sihatrtars Resend Fests ri Arrak Shabvbece Tene Windows l Comelabore Data Poling Statistic
168. ctor Universe selection window Upper Stat Lower Stat windows to select two correlation Statistics Min Max options for setting the chart scales Rolling Periods and Start Date End Date The analysis options are described below 1 Investments This is the first window on the upper left By default the investment shown is the first investment alphabetically in the universe being analyzed There is a drop down arrow at the end of the window to select a different fund You will also find spinner buttons up down arrows next to most windows to quickly toggle through your universe of funds 2 Factor Universe This window allows you to select a universe other than the investment universe for analysis By default the Upper and Lower charts will show selected correlation statistics of the fund shown in the Investments window relative to the other funds in the investment universe When a Factor universe is selected the correlation statistics shown for the fund in the Investments window will be relative to the Factor universe 3 Upper Stat Lower Stat Below the Investments window you will find Upper Stat and Lower Stat selection windows Click the down arrows to select your two statistics The upper stat will populate the upper chart the lower stat the lower chart The window to the right of the charts will contain the legend for both charts The legend will contain the names of the funds in the Investments or Factor universes depending o
169. d Ptualfropean State ireuifinent Gets hor Gtorelard intic Pee dhi Annuaire Seared De apg pog di CA Phi Duon Sate breeder Cet Poe Stared Ceru H ee Aree Seared ie a 12 PerTrac Version 6 0 19 New Feature Summary The Search Criteria Report provides a detailed breakdown of which funds passed or failed at the criterion level Each of the search criteria will be listed by row which can then be expanded to show a summary of the number of funds that passed or failed each individual criterion You can then expand the passed or failed options to view the list of funds Note There is a Warnings box located at the bottom of all three reports This window will list funds with bad or insufficient data In this example report window above the funds listed in the Warnings box did not have sufficient at least two months data to calculate the standard deviation search criterion TIP To create a universe of just the passed funds click the save option on the menu bar Save All Passed Funds to a universe This is helpful if you had not saved your passed funds as a universe prior to generating the report In addition the funds listed in all three reports will have check boxes in front of the fund name Use these check boxes to create a universe of just your checked funds When you have selected the funds to be included in the universe click File on the menu bar and select Create Universe from Checked Funds 4 Open Search Report in Excel This opti
170. d annualized returns covering various periods from the latest month through 120 months Time Windows Table The Time Windows Table is located below the Recent Returns Table and displays TE 516 17 44 16 7596 De4trioution 100 00 S5316 4663 10000 55 83 44 16 nine rows of Gail oss ProtbiLose 03 Ei 115 145 Doen Dev 15 0 2 2 0 3 64 3 09 3 00 6 64 4 oo 461 information for 055 Ii e 0 nao A each rolling time period A time windows statistic is derived by calculating the statistic for each rolling period The table displays statistics for 1 3 6 12 18 24 36 48 and 60 month rolling periods Soinu 1S OF 2 2 Oi There are three columns for each rolling period The first column shows the statistics for all rolling periods The Gain column shows the statistics for each rolling period in which the investment posted a gain The Loss column shows the statistics for each rolling period in which the investment posted a loss Some rows of data use these three columns in different ways depending on the nature of the statistic The Time Windows Table repeats these three columns for each rolling period length The following statistics are displayed in the Time Windows Table Count The number of rolling periods that fall within the Start Date and End Date Average Return The average arithmetic return for each rolling period Standard Deviation The standard deviation of the avera
171. d immediately below the Menu Bar and contains buttons that allow quick access to PerTrac s primary windows These buttons launch 63 PerTrac User Manual v 19 1 functions related to single investment analysis universe multi fund analysis and PerTrac s Advanced features Single Investment Functions fay Home Info 5 Monthly Data Daily Weekly Data RRS stats Gil Charts Home Displays the Current Universe Window Info Displays the qualitative information on the Investment Information Windows for the selected investment e Monthly Data Displays the Monthly Quarterly historical performance in the Investment Data Window for the selected investment Daily Weekly Data Displays the Daily Weekly historical performance in the Investment Data Window for the selected investment e Stats Displays the Investment Statistics Window for the selected investment Charts Investment Loads the Single Investment Charting Module for the selected investment Universe Functions Universe EER Statistics ga Charts 3 view ith Search Es Log Universe Reads investment returns for the current universe and displays the Asset Allocation Window e Statistics Universe Displays the Multi Investment Statistics Window for the current universe e Charts Universe Loads the Multi Investment Charting module for the current universe e View Allows you to select four qualitative fields from General tab on the Inve
172. dar year performance between the investment and the benchmarks Historical Standard Deviation Chart This chart contains the 1 3 5 7 amp 10 year annualized standard deviation for the investment and the benchmarks Historical Sharpe Ratio Chart This chart contains the 1 3 5 7 amp 10 year annualized Sharpe Ratio for the investment and the benchmarks Risk Return Scatterplot Chart This chart shows an annualized Risk Return scatterplot for the investment and benchmarks Combination Chart This chart shows the VAMI Value Added Monthly Index or Growth of 1 000 and the monthly returns for the investment only Correlation Table This table contains the correlation analysis statistics of the investment relative to the benchmarks Capture Ratio Table This table contains the capture ratios of the investment relative to the benchmarks How do Generate the Performance Measurement Report On A Single Fund 41 Select an investment by highlighting the investment in the PerTrac Home window 2 Click the Reports button located on the upper menu bar and select PerTrac Publisher 3 The PerTrac Publisher report selection window will open On the left hand side you will see two gray buttons labeled Benchmark Reports and Custom Reports Click F kemm Eiaeia i sim berm o i e err cae Se eed leks egr penal el x Benchmark Reports There will be a report icon labeled Performance Measurement Report
173. de The mvesmert secunbes we identified using jiaeheshed ciena Ihat inconpacshes fre undedeng companies Durdantial vik rile of grosh ond the Hea pattern of once enployed i aiaks both long and chet ula a porTObS vah ip ls rel ike eepocue The Sle Hake Heal Fund apia pirat a lea ick mho iq er Bue pall pelerdial Hine cinei metro agani fe aec of riaal AH Eee noman User egiie H e Se Irrvecd rerd Sample Hakai Haura Puraj Disi Dale 1411568 Hiramu Secr T0 raters Faik Dubhaig Pirili Gumwher ki Hurde Ale 1 Year meta Type Mor Reporting Sipke 175000000 Firm Annet No Hi Lege Clescnption ill Seuctue Lasi fuck Daie Olishare Yaa High Siena Lied Painesh Siaz Dalal Egy Haka Haka Liphaled RIT PZE E54 Sepa Lii Corrs tabi Sutdagi Dalet ferun Emag Haket Egui Haige EQ Haka Neutral Equity Morrlledge Evert Diver Freed Income Foran Exchange Final of Puree Haia NNE EENEN Hja Acoma A H Raidu Oy export Maka Teng hanger Arbarage Reta vun Aut Sector Shot Selling inder Option Pi arjan Fes F Fal High uah PA adh Wee itimat Hat of i Fes ERELU iaraa ISD D Eri FY Hade Aata E US jma Morel rreo All iesor M inda O Ure Allocations File Fubwes Moe CTA E Hedge Fund Equaly Hanaga RIA Guate Data aral iraa They are General CMS Notes Information Categories User Information User Categories and Memo 1 a Seneral _ The General Investme
174. de of the window under Chart Type 2 Select Managers and Portfolio under VAMI Chart Options 3 Select Monthly under Period 4 Click OK to display the chart Time Windows Suppose you want to view a chart showing average standard deviation for various time windows for each investment in the universe 1 Select the Time Windows option on the left side of the window under Chart Type 2 Select Avg Std Dev from the list of statistics under Time Windows Options 3 Click OK to display the chart Comparative Statistics Suppose you want to compare the quarterly Sharpe ratio between investments for a specified time period 1 Select the Comparative Statistics option on the left side of the window under Chart Type 141 PerTrac User Manual v 19 1 2 Select the Sharpe Ratio from the list of statistics in the Comparative Statistics Options frame 3 Select Quarterly under Period 4 Click OK to display the chart 3 15 Factor Analysis Factor analysis is a new feature added to the universe allocation window This module will give you the ability to track the historical and current correlation Statistics between the investments in a portfolio or universe or the correlation statistics between investments in a portfolio or universe with other investments or benchmarks not in the portfolio This feature will indicate whether or not your portfolio is indeed diversified or if your funds are becoming more correlated At the same time y
175. did not trade on dates not listed To edit the schedule click the Edit Markets to the right of the window and select U S A Holidays from the drop down menu You can now insert dates you did not trade or delete a closed date 6 Your daily or weekly data can be copied from Excel or entered manually lf your data is copied from Excel the dates have to be formatted with a valid Excel format If you enter the dates manually type the date of your first return in cell 1 Highlight any number of rows below row 1 and click Fill Dates Daily if you are entering daily data Select Fill Dates Weekly if you are entering weekly data NOTE Weekly data must have a Friday end date If you copy weekly data from Excel or enter your data manually and enter a date other than a Friday ending date an error message will appear indicating your date is not a Friday date The Fill Dates Weekly option will automatically enter Friday ending dates TIP If you copy and paste the performance data from Excel the return format has to be taken into account If your returns are in percent format in Excel check the option Enter Performance as a Decimal on the top of the data entry sheet If your returns are in number format in Excel check the option Enter Performance as Percent These options also apply when entering data manually If Enter Performance as a Decimal is checked you enter returns in decimal format i e 2 0 as 02 If the Enter Performanc
176. dow 1 Highlight the row in the Investment Table for the investment to be updated You will notice the name of the selected investment appear in the Current Investment box just above the portfolio Start Date 2 To the right of the each investment enter the minimum and maximum allocations desired 20 for example can be entered as 2 or 20 3 Click Enter Minimum Maximum Allocation 4 Repeat the steps above for each investment in the current universe 5 Clicking either the Reset Minimum button or the Reset Maximum button will reset all values in the relevant column to 0 or 100 respectively 6 If you want to enter the same minimum or maximum percentage allocation for all investments simultaneously enter the percentage in the appropriate box and click the Set Minimum or Set Maximum button located just below the reset buttons Selecting the Optimization Method The various portfolio allocations will be ranked according to the optimization method you select in the Optimization Method Window 1 Click the Select Optimization Method button located in the lower right of the window 2 From the Optimization Method Window click the button next to the method with which you wish to optimize the portfolio 3 Select a time period for which the selected statistic will be optimized 4 Click OK The dialog box will close and you will return to the Linear Optimization Setup Window TIP that the optimization method you selected is now displa
177. dow Checking this option will open the Search Report window in PerTrac for each of the searches in your batch run The Search Report window as mentioned above contains three reports Search Summary Report Pass Fail Report and Search 14 PerTrac Version 6 0 19 New Feature Summary Criteria Report A separate Search Report window will open for each saved search in your batch search 7 Batch Search Name When all selections have been made save the batch search as a file Type a name for your batch search in the Batch Search Name box on the upper menu bar Click Save icon to save your file 8 Saved Batches When you enter the batch search window click the down arrow on the Saved Batches drop down menu on the upper menu bar to select your previously saved batch search files 9 Run Batch Click Run Batch with the green arrow icon to begin the batch run When you run the batch search the following Batch Results window will appear iva el ol ah ir F ap U This window will indicate which search is running its percent completed progress and which searches are in the queue Note Located on the lower left side of the Batch Search window you will notice an option for Stat End Date Parameter Remember this is an option in the To field for the end date in the Search Builder window This option is a shortcut when running searches each month allowing the statistic to be calculated through the new month end date
178. dow will allow you to alter the Group Constraints Correlation Matrix Risk Return and individual investment constraints tables The Advanced Setup Window contains a tab for each of these f tables rT SUP ror heck Fure iren To define a Group Constraint start with the Group 1 U S Equity in the exhibit below column and place the number 1 to the right of each investment you would like to include in this group clicking on the cells will toggle the 1 on and off Next use the Upper Bound and Lower Bound rows to set the desired constraints for this group and enter any important information in the Comments row The column headings may be changed by clicking on the column label Once your groups have been set click the Display button to create the efficient frontier chart TIP You will notice that there is no Save button in this window The Save option is located on the efficient frontier chart that is created when you click the Display button from the Advanced Setup Window To retain the changes you have entered on the Group Constraints tab click the Save button on the efficient frontier chart immediately after the chart appears 160 Optimization amp Simulation a Lificient Freetier Advanced Setup Fram Jam 1999 tn Sep 2004 HR The Correlation soo a a Tam ge Snr SEE UEN OEE em TES aged Eesen feren ll petal gael prey ea aea etal pamela Matrix tab can Pl tes Dare ees Dera te n ni also be used to customi
179. e The allocation can then be loaded in the future by clicking Load Allocation NOTE The simulation module requires you to have at least 12 months of data for the portfolio or investment being simulated TIP If want to equally weight the portfolio don t enter any allocations Coe T mehna Ce When you click Simulate a window will appear asking you if you want to equally weight the portfolio 5 Using the buttons at the right specify whether you are using monthly or quarterly data 6 Enter a Risk Free Rate of Return and a Minimal Acceptable Return to use for calculating risk statistics 7 Enter the number of simulations you wish to generate Each simulation consists of a random data stream that represents just one possible future outcome Thousands of these simulations can be pooled together in what is similar to a peer group giving you an indication of the probability of various outcomes 8 Enter the number of years you wish to simulate This represents the length of each random data stream and must be at least one year 9 Select one of the four random simulation methods from the dropdown menu 10 Choose Monthly Quarterly Annually or None from the Re Balancing dropdown menu 250 Portfolio Simulation and Stress Testing 11 When checked the Use fixed random sequence checkbox will maintain a consistent randomness throughout several simulation setups 12 Once all settings have been
180. e column or calculate the performance from the NAV column the Month To Date column will update automatically Conversely if you enter a month to date value the performance will column will update based on the change in the month to date column e Note If you convert your daily data to monthly with the Convert To Monthly option from the command bar and you don t have a full 43 PerTrac User Manual v 19 1 44 month of data the return in the Month To Date column will be entered on the monthly data sheet 4 Click Enable Editing at the bottom of the Daily Weekly Data window Enabling editing allows additional functionality to become active some of the buttons at the bottom of the window will change from grayed out text inactive to black text active 5 Click the down arrow on the window next to the heading Market Closures Select U S A Holidays Note When entering daily data there will be numerous days throughout history when the US markets were closed i e holidays weather world or economic events etc The daily data sheet has to account for these day You can not skip days when entering data To account for those market closures we have included a Market Closures schedule that will allow you to skip those dates when entering your data The Market Closures schedule accounts for all US market closures back to January 1965 This schedule can be edited if you actually traded on any of these closed days or if you
181. e number at PERT RAG Analytic Platon 2 When you receive your 16 digit soft key Se eS S license number complete the License _ Configuration form To do so click eaten Preferences on the PerTrac upper menu ae bar About half way down click License m Dnem ia Configuration The form shown to the right will open 3 Key Type Select Software Activation from the drop down menu Under Software Activation Settings enter the Product Key your 16 digit number First Name Last Name Phone and Computer Description fields 4 Click Save Changes Exit PerTrac User Manual v 19 1 Note To configure specific proxy settings click Configure Proxy Settings on the lower left side of the window Once the License Configuration has been saved a Software License form will be created which is also located on the Preferences tab le form serves two main purposes ah a 1 The new soft key option requires an internet connection The license will work for two weeks each time you open PerTrac If you do not connect to the sp internet within two weeks the license will have to be reactivated To reactivate your license you will have to phone PerTrac technical support at 775 851 5880 to be issued a 25 digit Activation Key number Enter that number on this form in the Activation Key boxes Once the number has been entered click Renew Activation 2 This form will also be used to release a license In the past if multiple
182. e Cap ake H enpiri 5 Pee Group Ureveize P viaa fea Rikotun GPa aeai Langs Cag Vakie Pami cory Leche Poo Grup 3 Seaia Plot AAL E quy inert L ALEF Ji DE G bi ab Gene te Fepots cee Above AAMJOFA U S High Book to Market __ Generate Her ABH AHARD Wake H iz An matiran Daba 46H SMHRO TAHRO Large Cap wahre H w Cancel Benehenak Universe 6 Ic Pee T racire areri micen uri Benchmak 1 CSFE T remord HFI GCornrertible Arbitrage Ook HFF Convestibie Arbtrage Index Ej Berckenak 2 foes Mone Fiance Template Ss LY Pe i Prt 4 f Saxe Reports In F akiai C PeeT rac Lewebe Falja Leave Templisse Open Sies Investrerts On Overwnite Existing Files Expost Poor Statietics 1 Fund Selection The first step is to select a fund on which to generate the report If you are generating the report for one fund and you highlighted that fund on the home window prior to opening this setup window the fund will automatically be listed in the Use Investment window TIP If the fund is not listed in the Use Investment window click Locate Universe to open the universe that contains the fund If the universe contains numerous funds click Expand to see an expanded view of the universe When you find the fund that you want in this list double click on it and it will appear in the Use Investment window 2 Peer Group Universe Selection Click Locate Peer Group to select the peer un
183. e Return MAR Risk denominator is defined as the Downside Deviation below a Minimum Acceptable Return MAR Justas with the Downside Deviation there are three Sorting ratio calculations D MAR Minimum Acceptable Return which is entered on Preferences menu 2 the risk free rate you entered on the Preferences menu 3 ZETO Where R Return for period Where N Number of Periods Where E war Period Minimum Acceptable Return Where DOD warp Downside Deviation Where lb R y Rwar Cle Ri F omar lt J jor Jil E E war J M DD mar 2 Lz N A l 1 Sortino Ratio Compound Pernod Return K war E LID mar Annualized Sortino Ratio Annualized Sortino Monthly Sortino x 12 7 Annualized Sortino Quarterly Sortino x 4 2 Active Premium 4 measure of the Investment s annualized return minus the Benchmark s annualized return Active Premium Investment s annualized return Benchmark s annualized return Information Ratio The Information Ratio is the Active Premium divided by the Tracking Error This measure explicitly relates the degree by which an Investment has beaten the Benchmark to the consistency by which the Investment has beaten the Benchmark Information Ratio Active Premium Tracking Error 211 PerTrac User Manual v 19 1 Up Capture The Up Capture Ratio is a measure of the Investment s compound return when the Benchmark was up divided by the Benchmark s compound return when the Bench
184. e Set Company Fields window are linked to the data source des description file To change the labels for your user entered funds which will then change the labels in the Set Company Fields window highlight one of your funds in the PerTrac Home window Click the Investment Information button located on the left side of the Home window The General Information page will appear Click Enable Edit at the bottom of this window You may now change the labels in the first 19 fields starting in the upper left hand corner When the labels have been changed click Save and then Disable Edit 114 Single Investment Analysis SQL Version 2 04 a Create Dropdown Lists Create Dropdown Lists This E Create Dropdown Lists feature allows the user to add custom drop reee down lists to the System Information amp neice User Information pages on existing data nae ecadisiaiicths vendor databases However the real Sytem Iromaten Paga 1 benefit of this new feature is seen when Spitama klommen Page 3 adding your own user entered investments You can add drop down lists to the System Information pages as well as the User Information pages You can also import drop down lists Again this EE Unt iomaten Page may be used to expedite the sharing of iene investment information among multiple investments The following steps will walk you through adding a dropdown list to your User Information pages CI CI D Spem Infomat
185. e US markets were closed i e holidays weather world or economic events etc The daily data sheet has to account for these day You can not skip days when entering data To account for those market closures we have included a Market Closures schedule that will allow you to skip those dates when entering your data The Market Closures schedule accounts for all US market closures back to January 1965 This schedule can be edited if you actually traded on any of these closed days or if you did not trade on dates not listed To edit the schedule click the Edit Markets to the right of the window and select U S A Holidays from the drop down menu You can now insert dates you did not trade or delete a closed date 109 PerTrac User Manual v 19 1 6 Your daily or weekly data can be copied from Excel or entered manually lf your data is copied from Excel the dates have to be formatted with a valid Excel format If you enter the dates manually type the date of your first return in cell 1 Highlight any number of rows below row 1 and click Fill Dates Daily if you are entering daily data Select Fill Dates Weekly if you are entering weekly data NOTE Weekly data must have a Friday end date If you copy weekly data from Excel or enter your data manually and enter a date other than a Friday ending date an error message will appear indicating your date is not a Friday date The Fill Dates Weekly option will automatically enter
186. e Universe Click the Locate Universe button to select the universe of benchmarks for style analysis Style Universe 24 Rolling Period C PerTracku niverewAussel Style uns Locate Universe fin months ML 3 month T Billz Pa i Russell 2000 Growth Indes DAI po Include Fisk Free Ratein Russell 2000 Value Index DAI z style Universe Russell Midcap Growth Index DRI Russell Midcap Value Index DAI 5 Risk Free ROR Russell Top 200 Growth Index DRI v View each tab above to select the universe and benchmarks used for statistical analysis TIP Rather than using the Include Risk Free Rate option to represent cash you could add a cash investment i e ML 3 Month T Bills to the style universe to represent the cash component You do want to enter a risk free return in the Risk Free ROR which will be used for the Sharpe Ratio Sortino Ratio and Downside Deviation statistics 7 Style Benchmarks There will be two comparative benchmarks on this report The Style Benchmark which will be created as a result of the style analysis regression and a Market Benchmark To select the Market Benchmark click the Locate Benchmarks button in section three This could be the Correl unv universe or any universe of benchmarks you have created When the universe has been selected click the Down Arrow at the end of the Market Benchmark window to select the benchmark 212 PerTrac Publisher Reports Style Benchmark Univ
187. e abolas Dafra lpi Capers his reo pF 7 i m ah Lb Pate Dafra i E biia O M beraa Fund Lid EUA cea C Padget ari eee HF Create hiw Len 34 Geeneker Fund Lid USD cima B Padyak rei wi Crese Checked Bera Urve 3a Gital Geoeth Fund Listed MFP HERS k Y j JA badda Fig EUR cht C Protech peered eet Grea Thee peri a ais Fund USD cle E Pehl ead eel bes secrete Peiori iener sited M Apa Hedge Fund Pepsi ard Pati bed CMP bie Fund Lined EL Shure Me AR BB bt Pee tree dt CMP Hide Pure Lead US Shanes bree Pe Oh Fed Lad E eu active Wirt 780 Global Ara Alec ati Fur LTO Pech arect r PS Raps Fund Lid bajir ret A Ades Paces LP Pendigetiurd reef ial Set Peed LLC Pender Pal ee de Fura Pedy re P Paar i Pegas bimor ard Leti Llera Gigi Ajat ate dare Shae aed ehm Ara oe pmp insyn ta oir 1 Group Duplicates This is a new check box located on the upper right hand side of the Home window When Group Duplicates is checked all investment records for the same fund will be grouped by way of a new tree format located just to the left of the investment master names Plus and minus signs will show or hide the duplicate records When the Group Duplicates box is unchecked all investment records will be listed in the Home window without the new tree structure The black box containing the number of records in the Home window will change when the Group Duplicates box is checked When unchecked the total number of 20 Getting Started
188. e as Percent is checked enter your returns in number format i e 2 0 as 2 0 Getting Started The command buttons Statistics Fill Dates Daily Convert to Monthly Charts Fill Dates Weekly Save Exit 1 Enable Disable Editing Enable edit must be selected prior to adding or editing data on this sheet When data has been entered or edited click Disable Editing to exit and save your data 2 Statistics A Daily Statinticn Faily data aed SCT Sa MIFE Calculate HA Calculate Performance Disable Editing a ba Ph j Po Le Liters r ME lrei eree Lle daa ce fa fh iran A ager an M gager F See Aa a i O OO O a Tie Tror raa DEFY EELA 1 aad aa PE is re GH The daily statistics window Is similar to the Investment Statistics window for monthly data which will show the date range of your analysis number of days Risk Table Drawdown Consecutive Gain and Consecutive Loss tables daily and weekly correlation statistics daily and weekly capture ratios 3 Charts mier Chart Tape Tar Pay dais fond The daily and weekly chart window options NAV Cumulative Return Distribution of Returns A second Y Axis can also be generated on Percent Rate of Return and Drawdown One or Two benchmarks can be included on the NAV and Cumulative Return charts 4 Calculate NAV If your daily or weekly data was entered in the Performance column use this option to create a NAV stream
189. e geometric mean is the monthly geometric return that if applied each period would give you a final YAMI Growth of 1 000 index thatis equivalent to the actual final YAMI index for the return stream you are considering Perlrac calculates compound quarterly and annualized returns using the compound monthly return as a base Where N Number of periods Where YAMI go 1000 compound Quarterly ROR 1 Compound Monthly ROR Compound Annualized ROR 1 Campound Monthly ROR ae Standard Deviation Standard Deviation measures the dispersal or uncertainty ina random variable in this case investment returns It measures the degree of variation of returns around the mean average return The higher the volatility of the investment returns the higher the standard deviation willbe For this reason Standard deviation is often used as a measure of Investment risk Where K Return for period Where Mpe Mean of return set E Where NM Number of Periods M Mr 2 R N l 1 M Standard Deviation Ri Mr N 1 k l 1 Annualized Standard Deviation Annualized Standard Deviation Monthly Standard Deviation xi 12 a Annualized Standard Deviation Quarterly standard Deviation xi 4 va Quarterly Data 269 PerTrac User Manual v 19 1 210 Gain Deviation Similar to standard deviation except this statistic calculates an average mean return for only the periods with a positive return and then measur
190. e in the workstation installation will be selecting Install PerTrac vs Install PerTrac License Server You can follow the Single User Instructions from here Once PerTrac is successfully installed and launched a network configuration window will appear In Key Type select SuperPro Net key and type the IP Address of the machine hosting the key in the Contact Server Box and leave key timeout alone This will launch the PerTrac application 60 Single Investment Analysis 2 01 The Master Home Window The Master Home Window is the primary window in PerTrac and remains open at all times It contains the Tool and Menu bars at the top of the screen and the Status Bar at the bottom The large middle section contains a list of the investments in the database currently open A Per rac Analytical Platform lnvesiment Master 1 Current Universe GTO Pie Reports p Preferences Tools A Window P Hep Searches fatHore into Eff Monthy Data EH Oatyiveeky Daia stats chats QP uriverse fFfctatishcs Gchats Mhie Piste sin W Search Aew Fico eP Add Neve Investment A Remove Invecinert Cuplicate vesiment 8p Data Fund ORS Fieras restar 1 Month Liter Aata Peiras indexet 1794 Commode Fund LF HFRS 1794 Commodore Overseas Fund Lid HFRS vesiment Date Monthly artery 17th Street Fund LP HFRS Eq nursmert Data Dai eekdy Tsi Source Monogram Divi Equity MonmngstaE nhanced 1st Source Morograns Income MorengelaE nharvced
191. e right of the Allocation column and requires a ratio value Entering a 2 for example would cause the returns or that investment to be leveraged 2 to 1 You can also enter negative numbers in the leverage field to take a short position in an investment For example a leverage factor of 1 would mean you are short that particular return stream ata ratio of 1 1 or no leverage Clicking the Reset Lev button clears all values in the Leverage column If no leverage ratios are entered PerTrac assumes that the investments are not leveraged Portfolio Size To define the size of the portfolio enter the dollar amount in the Total Allocation box below the Total Allocation box In the Pro Forma table these values are used in conjunction with the values in the Allocation column to determine the actual dollar amount allocated to each investment unless you constructed your portfolio using the Allocation boxes in which case the total allocation will be automatically calculated Rebalance Periods selecting one of the rebalance options located below Total Allocation box allows you to maintain the intended allocation over time At the end of each month quarter or year PerTrac will divide the equity among the investments according to the allocation percentages The resulting equity additions and withdrawals will be reflected in the Pro Forma table discussed later Start Date amp End Date The Start Date and End Date boxes located to the left
192. e these check boxes to create a universe of just your checked funds When you have selected the funds to be included in the universe click File on the menu bar and select Create Universe from Checked Funds 4 Open Search Report in Excel This option will export the Search Summary Report to Excel lll Batch Searches This feature will allow you to batch run any number of saved search files created with the Search Builder For example perhaps you create 15 peer universes each month In the past you would have to possibly run numerous individual searches and then save each resulting universe With Search Builder you can now save each of the 15 peer searches as search files Using the new Batch Searches you can run all 15 saved searches at one time The Batch Search feature can be accessed with the Search button at the top of the PerTrac window or from the Tools menu in the menu bar Once selected the Batch Search window will appear 128 Universe Multi Fund Analysis fle fe Yew Eu Seeed Batches Sangin Batch Badh Search Aes Haapa fetch Batch intry 3 an 7 a f a Es ae per er Tath tere bhii bo faat iak himi ii ave Eir pii veel Reoort Racot wini Ser tate L Sage Search 7 Mahe reese Aue Sample Search 2 Taia ee ingle Search J Macher Universe Al urw Tampio Search J Senate Sep Sainpae Search 4 Magher Liisa air Tampi Search i Sangle Se 5 j j m
193. eadsheet Designer from the Start menu Workbook Designer m Famuli ee Workbook Thea etre Dlaeiea xii 1 S amp S ololo gt olalmraal a a r o A F mii p E TEE EI IB ooo ital 117 9 014618 g St Shr O01 tid 9 A 10a g oo es ID an 39 1 IE Be 10 153 502 pgi 254 1D So re 10 063 343 ii a es are ppn a 00181 147 B14 B16 9 ono Sag 9971 ard 8855 108 9 965 336 nO 262 229 M106 Sas hO 153 So DAI daa bd 060 376 1063 S43 Le es tO 552 B06 wi Bi hs Workbook Designer Functions Most of the functions in the workbook designer are very similar to functions in widely used spreadsheet programs Some of the more common functions are listed below 185 PerTrac User Manual v 19 1 Saving a Workbook Designer file Selecting Write from the File menu opens the Write File dialog box where you can name and specify the location of the new file When saving a worksheet you can choose a different file type such as Excel which will allow you to view the report in a different program later Opening a Previously Saved Workbook Designer File selecting Read from the File menu opens the Read File dialogue box where you can select a file you wish to view You will see a message warning that the contents of the existing workbook will be erased in order to read in the new workbook Clicking Yes allows you to proceed Cut Copy and Paste Highlight the range of cells you want to cut or copy
194. earch bounds to style indexes and define constraints for the sum of the style allocations 5 Build a style database Allows you to perform style Rolling Style analysis on multiple funds at one time This function will TEES be covered in the second style analysis tutorial E performing style analysis on multiple funds 6 Style Search A powerful PerTrac search engine that allows you to search for investments by style Once the style database has been built you can search the style database on a number of statistics and style criteria 7 Compute style Computes the style output for a single fund 8 Rolling style Computes the style characteristics over multiple rolling periods The number of rolling periods will be entered in the Rolling Period box 9 Cancel Exit 233 PerTrac User Manual v 19 1 5 04 Style Map Setup Each style universe must have a corresponding Style Map Setup file that PerTrac uses when creating style map charts While it is necessary to go through this procedure only once per style universe changing the name of or removing investments from your style universe will make it necessary to recreate the Style Map Setup file Click the Style Map Setup button from the Style Analysis Setup Window 1 When the Style Map Setup Form opens select either a 2x2 ora 3x3 map style Fe Med Cap Giorth Fe Smeal Cop Groth Lage Cap Value F Mid Cap Vistas Be Smal Cap Visiue 2 Each dropdown mB me
195. ed as a record in the database just as any other manager and or index Notice that there is a dropdown box for Data Source PerTrac s default Data Source is User which allows the client to enter qualitative and quantitative data that will never be erased or overwritten by a data download Once you enter a name for a new investment the window will disappear and put you back at the home window Find and highlight the investment name that you just entered and click the Investment Data Monthly Quarterly button if you are entering monthly or quarterly returns or the Investment Data Daily Weekly button if you are entering daily or weekly data You can also open the Investment Data Windows by clicking the buttons labeled Monthly Data or Daily Weekly Data from the Tool Bar Entering monthly quarterly daily or weekly data will be explained below 31 PerTrac User Manual v 19 1 The Investment Data Window allows you to view and edit the performance data for the current investment B mopar Pl gated Miri ug F arag Tapk Haba Haid i Sis Date dar Erding Cute iTS Harts d kria 10 Erin Feira n Peeri o Ernie Primen on lera hinf e dare dih Ions CH Dais Peman Funde bf oracped Pisi Erias well Cumina Heier B Fete i SAE id S CT if i H Jta 12 Gere BT ka Os Biel 500 O00 00 iat k 1 47 STS W apa 0 E 1 5 0 IEN HE 1 1 TEET E Wir my POD Oa Cunt i 72H53 230 os i Jago Te 10 ea aa
196. ed the G7 currency rates which can be updated monthly from the Utilities Documentation link on our Training amp Support hitp oertrac com site Each month you will Save the new PerTracCrossRates cdb file to your PerTrac main folder 2 Once the Currency Cross Rate Database has been enne gt MASATA updated click the Convert a enna Haa Investment to New Currency m HAY F Comet leds Seed Debs Siete jg option Select the currencies Of seanss ta metes both the current investment Bn a and the new investment The new investment name is listed lita aara e aur aa aara pinnam or T hkj sot be iod e Berea Peni be ae bg eer erecta me aes Seema Pare Shc ramar s uppi fn iiri iri HE a Pima Fimer ber ie sere y prepn aar aaaea cad cies err he rae e as a lb ied che mks one PerTrac User Manual v 19 1 under the New Investment Name label 3 Select a Data Source from the drop down list typically the data source will be User 4 Optional conversion check boxes are available to convert NAV and Funds Managed 5 Other record items can be duplicated by checking the corresponding boxes 6 Once all the settings have been made click the Convert button Universe Currency Conversion From the Tools menu select Currency Conversion Then select Convert Universe to New Currency Prior to converting the investment or universe to a new currency the Cross Rate Database must be updated See Note above 1 Once
197. ed will result in a de duplicated universe that contains only one record for each investment when you search is complete In the case of duplicate records for an investment PerTrac will choose which record to keep in the results universe based on your data vendor priority selected on the PerTrac Preferences tab iv Optimize Search This option when checked allows the search to process and evaluate criteria in the quickest order possible If turned on qualitative criteria will be evaluated before quantitative criteria regardless of the order listed in your search When unchecked your search will be run in the order you specify v Force Search Criteria to Check All Criteria This option when checked forces the search to find all specified criteria values for all investments This is useful for creating reports By default which is unchecked the search will process as few criteria as possible to determine if an investment passes or fails a search For a given fund depending on the logical structure of your search PerTrac may not need to evaluate all criteria For example if this option is unchecked and an investment fails the criterion specified in the first row of the search Builder table and the criterion in the second row is linked by the And operator PerTrac will not continue checking to see if the investment passes the criterion specified in the second row since an investment must pass both the first AND second crit
198. eet and Paste it on to your template TIP User Data and Leverage Data are available if you enter that information on the appropriate section of the Investment Data window in PerTrac Further explanation is available in the Instructions sheet in your template workbook Step 2 Format your report Now that your template has the data use Excel s formatting capabilities to format the report Add your company logo change the colors to reflect your company color schemes add headers add disclaimers and then Save the template Step 3 Generate the report Follow the instructions listed above to generate your report substituting your new template for the MasterChartLibrary xls template 207 PerTrac User Manual v 19 1 How do Generate My Custom Template on a Universe of Funds F PerTrac Custom Reports Investment Master p Singe ot Mutle Reports Sampie Fund i Since Inoepian C Specie Dates IC PerTrac Uneverse S ample LEV Funds uny Starting Inception L ge Cap Yale F ured A Lage Cap Value Fund B Ending End of Data Lage Cap Value Fund C u te Common Stait 5000k Risk Free ROR 1799 Cee Vale Fund D M and End Dates hoz Minimal Quartet Lies Acceptable Hide Worksheets Aetum MAR Remove Textboxss Speeds up repost generatorn C Perl rac WU nnverse Gunent Ices un Locate Benchmarks Generale Aepoit Benchmark 1 Bara StP SOD Cancel Select System and User Cee pages u with to ex
199. efault Folders Updates This will take you directly to the PerTrac main About PerTrac Support page Soha Home When the support site opens click the PerTrac Publisher BW Sears Download Software Templates link on the upper left navigation bar A form will Perlrac Publisher Templates appear prompting you to enter your name e mail address edad and license number New Features Utilities and Documentation Archive 219 PerTrac User Manual v 19 1 Please log in to continuie All felds must be completed In order to download the requested flee Name E mail License Number Tour licanse number may be found by selecting About Perlrac trom the Help menu in the PerTrac program Subrnit Form ResetForm TIP If you don t know your license number click the Help tab in PerTrac and select About PerTrac There will be an alpha numeric license number located on the left side of the window When all information has been entered click Submit Form The following window will appear TIP There are 5 rows of reports with 3 reports in each row To the left of each row you will find a brief description of the data contained in the reports in that row To view a full sized screenshot of a report click on the report thumbnail Step 1 Downloading the Reports Under each of the thumbnails you will see two links You should select Custom Report if you wish to generate the report with the PerTrac Publisher
200. ems Universes Group Checked breesinents Dk bith Chee iii Daily Date Farchmak HD ay Data Fura VTH Gommodore Fund LF HFA Ir r r r r TH Commodore Dvere Furi Ld HFA 17th Steset Fund LF 20 10 Futures Budz 201 0 Futures Flex 2480 Capta Fais HFA Management Lid 27 Equip Pme LF 2211 Smal aue Furd LF 3 bioth E uiy ie 3 Month Lite Fiabe JA Gera et Pied Lael EWA Glace C es era ee Fie Lael LIST da E 34 Global Greet Pura Lra HFA 8 A Wea Fund EUR das C 24 Wida Furd USD ders E A Alphs Hedge Fund SM OP Master Fund Lined EUR Shares Lai HFA HFRS UGES Bsd TA Esri CTA HF Ee Bisrcleeal TA HF Pre HFRS Perl rc a Pai rat rhea Feckyai mal ral hadya mnd rp HFR heckpef ned nei hesckpetand ra heschgetaned rast HP Ras x Ect Per Trac OM HF Master Fund Limited SD Shares HFRS Pe Chena Furs Lb hecgehuned met Active Pikas M 788 iba Asset Allocation Fund LTO hedgefund met i en Sie and Bardha Poio Siradlgton and nakas Urireeepe Shair Allocation Sirag Testing i Pei Group Anabar Coleainelicn 62 Single Investment Analysis Right Click Shortcuts Information Displays the Investment Information Window for the current investment Statistics Displays the Investment Statistics Window for the current investment Charts Investment Loads the Single Investment Charting Module for the current investment Data Displays the Investm
201. ensive list of all drawdowns in the historical performance record ranked from largest to smallest Gain to Loss Ratio This is a simple ratio of the average gain ina gain period divided by the average loss in alosind period Periods can be monthly or quarterly depending on the data frequency Gain iLoss Ratio ABS Average cainin Gain Period Average Loss in Loss Period Gain to Loss Ratio This is a simple ratio of the average gainin a gain period divided by the average lass in alosing period Periods can be monthly or quarterly depending on the data frequency Gain Loss Ratio ABS Average Gain in Gain Period Average Loss in Lass Period Profit to Loss Ratio This ratio combines the Gain to Loss Ratio with the ratio of the percentage of profitable periods to the percentage of losing periods since this ratio considers both the average size and the frequency of winning and lasing periods it tells you the historical ratio of dollars earned in the investment ta dollars last For example a Profit to Loss Ratio of 2 5 means that historically the investment earned 2 50 of profit for each 1 00 of risk taken ProfitiLoss Ratio Profitable Periods Losing Periods x Gain to Loss Ratio 273 PerTrac User Manual v 19 1 Correlation Analysis All of the following correlation related statistics use the following variables 274 Where RY the return of the independent variable for period Where RD the return of
202. ent Data Window for the current investment Open New Universe Opens a dialogue box allowing you to select a new universe Load Master Universe Scans the entire database and builds and displays the Master Universe file All unv The All unv universe is synonymous with the entire database Create New Universe Opens the Create New Universe Window where you can define a custom universe Create Checked Items Universe Opens the Create New Universe Window and places the investments you have checked in the new universe column List Related Funds The Related Funds feature will find all funds that have the identical first field the first upper left field values on the general investment information page Depending on the data vendor that field could be manager name company name eic Fo Fuad Listing prunes bod aa 4 Picea rei udad amp Poor s Artitnage indi Sereda b Poe Artes breke Pro Formal Paarid Pa e iita T eae ad a irda b Paone Drion aa Faki Fp Forrai Standard b Poors Evert Osen biden Dirai Faa i E viii Diyir baker Fri F oiia Tidd amp Poos Heka F unc lri mdd b Povi Help Fusi ires Pro Forma Sandbar E Piga i Miaa F ii rebe da amp Poors Hons Fubu raden Pro Formis Deti Lik b vee jur Aeh Uk te gree baieie bureds ot a Ureverie Tool Bar iHome Mio Fi monthty Data E Ooae Data Eoas fiona QPurnverse EBstatetice fFchets three Boye em seach Aver Mlo The Tool Bar is locate
203. ent s Investment Information Window e The Enable Edit Ee Edt button at the bottom of the window must be activated before any fields in the window can be edited Once you have edited the information for an investment you can use the Disable Edit button or the Save button to complete the editing process Single Investment Analysis e The Exit button in this window will the exit Investment Information Window It does not exit the PerTrac program e The Current Window Label gt General Information Exit jg shown between the Save and Exit buttons This indicates the information window you are currently viewing TIP Double clicking on the e mail address within a particular investment record will automatically launch an e mail to an individual company Likewise double clicking on the web site address within a record will launch your web browser to access that site Customizing Field Labels You can change the layout of both the System Information pages and User Information pages to suit your specific needs 1 Select Specify Information Page Layout from the Preferences menu option 2 When the Enter Preferences For Information Tables Window opens select the window you wish to alter from the drag down menu 3 Select either 1 or 2 columns keeping in mind that each column consists of a label column and an info column 4 In either the Left Column Width or Right Column Width box enter the width of the column as a percen
204. enter a name for your fund and click Enter 2 Highlight your fund then click nvesimeni Data Payee on the left hand side of the Current Universe Window or by clicking the button labeled Daily Mveekly Data from the Tool Bar 3 The Daily Weekly data window appears 35 PerTrac User Manual v 19 1 Cre Pima a e E a P ae Coca Haka Chre Dii Cee be ele am chs E EE Te j Hii Corti te Hri e Date Contains daily or weekly dates Weekly dates must have a Friday ending date The Fill Dates Daily and Fill Dates Weekly options will populate this column for you e Performance Contains daily or weekly performance PerTrac statistics are calculated from this column of data You can use the performance data to calculate the NAV column Once the performance has been entered highlight the NAV column and click Calculate NAV from the command bar e NAV Contains net asset values PerTrac statistics are not calculated from this column of data However if you receive your daily or weekly data in NAV format you can enter those values and then use the Calculate Performance option to calculate the daily or weekly performance based on the change in NAV Once the NAV has been entered highlight the Performance column and click Calculate Performance from the command bar e Estimate Use this column indicate whether or not you returns are estimates Enter either Yes or No e Month To Date The Month To Date column is linked to
205. ents m Search Aeru mAai 243 PH The IntelliStat bar from left to right will provide the name of the peer group being analyzed the number of funds in that peer database the number of funds that met your search criteria and the current date and time View Search Report The View Search Report option creates a detailed report of each of the funds that met your search criteria This report displays the statistics for each of the funds as well as the fund s ranking within the peer group for that Statistic IntelliStat will then average the rankings and sort your funds in an ascending order 243 PerTrac User Manual v 19 1 w me ra E A H E D E Jea Asnuihited fear Arahad Ratu Rank yrei SAaptShepi 37 oet_SharpeShaege Rie RankGMordth Aetun Ghienth Aa DukErggk Sekti Deuir Sirdegy 11 95 1 hes 17 45 Caveat Cikel Lange Cap Groreth 8 2s 20 416 ree NTECH INTECH Large Cap Gera i i 4 44 2 16 52 iMchoan Budders US Eouaty 531 3013 11670 Johesion Arii Legs Cop Core STFS 2 033 162 Hothem Capel Conie i Gi 113 415325 Tg Fundamental Large Cap S d dpe 5010 Bi aS Wingsa Oppetiarapie Gewh 3 Bn ooo B16 1 hrk Amies Cormeniraied Ag 7 54 i iS 1 arse Herren Maoir Lange Cap Cera TaS 4 O04 Cain Gunes CGI US Gad 14 11012 Howland and Aagoc Large Cap Ged aE ami ge Gaderer Lewis Lange Cap Core Gra 72 Kin Sands Cipal Lange Cap Growth 2 Siw B12 Capel hiig Large Cap C 1d HOR 1 Thamend Potinke Dies Equals
206. er the date range shown at top of the Investment Statistics window TIP To see the date range on which the statistics in blue are being calculated on use the Benchmark Analysis table scroll bar If you scroll to the right you will find two columns labeled Start and End indicating the date range 2 Universe Statistics Correlation Analysis The universe statistics window contains a number functions to analyze a universe of investments When utilizing these functions PerTrac by defaut will set the start and end dates to equal the common start and end dates for each of the investments However there may be instances where the user will change the start and end dates beyond the common date range When the date ranges are changed and the user then selects Convert Portfolio to Investment Statistics Charts Pro Forma Efficient Frontier Optimizer or Linear Optimizer a window appears prompting you to make a decision as to how you want PerTrac to handle the uneven date ranges TIP There is one tab Correlation Analysis which will calculate the statistics over any date range you select The Correlation Analysis will create a matrix such as a correlation matrix on many statistics To calculate these statistics a common date range between each of the investments must be used for the regression When the matrix has been generated the color blue is used to indicate the correlations are not being calculated over the date range show
207. erTrac s Data Manager contains an automated database update utility To access the database update utility click the Tools tab on the PerTrac menu bar and select the Update Database option This will open the Auto Update and Merge window which allows you to select up to five databases to download 263 PerTrac User Manual v 19 1 However when you click the down arrow at the end of each database window 42 database options appear in the list These are the complimentary and subscription databases available for download We have added an option to the Data Manager Options tab that allows you to customize the drop down list to show only the database s you download on a regular basis If you purchase additional databases at some time in the future those databases can easily be added to your list To access the new optionclick the Tools tab and select Update Database The Auto Data Update and Merge window will open Click the Options tab on the menu bar and click Data Manager Options Click on third tab to the right Automated Data Download This will open a window with a list of the 42 available databases for download Each database has a check box located to the left of the name Check the boxes for each of the databases you want in your custom list then click OK When you update your databases in the future the only database names in the drop down window will be the databases you selected in the options window Data Manager Help Tab T
208. erTrac is now open with a list of the benchmarks in the PerTrac Index Database PerTrac is now open with a list of the benchmarks in the PerTrac Index Database You have the ability to change or update this database at any time as well Soft key Licensing PerTrac has started the transition from the physical hard key USB Parallel Port dongle license to an electronic soft key license Users who have a soft key license no longer need to plug any special hardware into their computers to run PerTrac Note This option is currently only available for the single user license The network concurrent softkey license will be available in the near future Your current hard keys USB Parallel Port will continue to work as well If you would like to take advantage of soft key licensing please follow these steps 18 Getting Started 1 Contact Amanda Sturgeon in the U S at 775 851 5880 ext 23 Once approved you will receive an email with your eee soft key license number EEE Re 2 When you receive your 16 digit soft key agg arata license number complete the License Me p e Configuration form To do so click cae oe Preferences on the PerTrac upper menu SES DRC ETE eT bar About half way down click License lt Configuration The form shown to the right ma De ta i will open 3 Key Type Select Software Activation from the drop down menu Under Software Activation Settings enter the Product Key your 16 dig
209. erchmark Anais Peer Geoup Analysis eA Portfokeo Sdn ae Ste ia i 44 Load Mester Univers B Open Hew Uniwerse Ceenociate Checked reesiments 65 PerTrac User Manual v 19 1 NOTE the All unv always consists of each investment in the current database and can be rebuilt at any time by clicking the Load Master Universe button The Current Universe Window contains the following sections as shown in the screen capture above 1 2 3 Current Investment Box displays the source name of the current investment Current Universe Box displays the list of saved universes in your default universe folder Data Source displays the Data Source of the selected investment Number of Investments displays the total number of investments in the current universe Investment List Box displays alphabetic listing of each investment in the current universe Command Buttons initiate a variety of functions Group Duplicates This is a new check box located on the upper right hand side of the Home window When Group Duplicates is checked all identical funds will be grouped by way of a new tree format located just to the left of the fund names Plus and minus signs will expand and contract the duplicate funds When the Group Duplicates box is unchecked all funds will be listed in the Home window without the new tree structure The black box containing the number of funds in the Home window will change when the Group Duplicat
210. eria in order to make it into the results universe This allows the search to run as quickly as possible Note The one option that all users will generally wish to have checked on a regular basis is the Use PerTrac ID Fund Groupings and Data Vendor Priority to produce search universes that contain no duplicate funds 3 Errors This tab will list any errors generated when running your search Typically the errors will refer to selected criteria values entered or the logical order of your search criteria Grouping Nesting Your Criteria Search Builder allows for grouping your And statements or Or statements based on the logical order of your search criteria For example if you wanted to find all HFR market neutral funds or Hedgefund net market neutral funds prior to running your Stat criteria you would group together your Info criteria to find all market neutral funds first See the screen below 123 PerTrac User Manual v 19 1 Pee Trac Search lui lder Of Pie Edt Yew Bun Hep Steed Gegrchee Songi Seer Daaih hama Sane Seach Unrerse Currend Urse se Mum ane inoa Dista Sous Crier One shir Valu Fram Te Baraca Perc b Aii D info ji pa b Eq Maret hauia ina Seh oF wji its we hedgehurdinet Uy Market Metra guy Tru AACE ia SPU Triei Dre shor Vee Promi To Berater Period A i ET Fi Caer ira E Sy eet Cal Da Fe ew Cuda Coret Torop F L Fal Hints OF Options C E
211. erse B C PerTrac Universe Curent Indices unv Locate Benchmarks Market Benchmark E 00 x Barra S amp P 500 e A i aost Peer Universe Peer Benchmarks Stile Universe View each tab above to select the universe and benchmarks used for statistical analysis Benchmark Universe 8 Template Selection Click Open Mew Report Template Locate Template The custom Loins L Custam Pepe o reports folder will appear with a list 4 lt ce re pereen of template files There are two Ae oe ae eaa files for this report The ee ee ee MasterPublisherLibrary _ Sonera acne designed for funds with monthly ee Bpen yero ete Bia Daur y ai Mae re riar ar het return streams and the aP Macterteertieport ok aP Total Evasion Monichhy ahi MasterPublisherLibraryQuarterly 9 Siemremtesricsaters designed for funds with monthly or quarterly return streams There a are three output options in section 8 when generating the reports Print which will send the report directly to the printer Save Reports in Folder which will save the file in a folder of your choosing Leave Template Open Single Investments Only which will open the report in Excel TIP At this point no custom report has been created Select the Leave Template Open Single Investments Only option which will open the report in Excel when generated That is where you will start building your report 9 Date Range Selection
212. erse comprised of the original portfolio of funds and the investment you are adding The new allocations to your funds will be shown in parenthesis behind each of the fund names 6 Convert Universe To Investment Use this button to quickly create a new investment comprised of your original funds and the addition of your new fund Note To view your new fund click the Home button located on the PerTrac menu bar When the Home window opens click the Load Master Universe button located on the left side of the window 7 Left Stat Right Stat Below the Investment window you will find Left Stat and Right Stat selection windows Click the down arrows to select your two Statistics The Left Stat will populate the three charts on the left Portfolio with Investment Portfolio Differential the Right Stat will populate the three charts on the right Portfolio with Investment Portfolio Differential 8 Rolling Periods This option allows you to enter the rolling periods over which the correlation statistics will be calculated 9 Show Last Periods This option with set the scale on the X axis 10 Start Date End Date These windows contain the date range of your analysis The start date shown will be the common date range between the universe being analyzed the selected Investment and the selected Benchmark For example if your universe Investment and Benchmark have a common start date of Jan 1990 that will be the default start date If you
213. es box is checked When unchecked the total number of funds will be shown when checked the black box will show the number of unique funds no duplicates Selecting an Investment While working with single investments all operations are performed on the currently selected investment To selecta particular investment from the current universe click on the investment name in the Investment List Box or click in the Investment Box and type the first few letters of the investment name This is a shortcut that will move you down the list more quickly than simply scrolling Current Universe Window Command Buttons Available in all versions of Pertrac 66 The command buttons are located down the left hand side of the Current Universe Window Below you will find a brief description of each command F Add New Investment _ This function allows you to create your own funds managers indices or other investments When a new investment is created its name is added to the Master Universe of the active database Investment information and investment performance data Single Investment Analysis for the new investment can then be added by highlighting the new investment name and clicking either the Investment Information button or the Investment Data button o K Remove Investment _ Clicking the Remove Investment button from the Current Universe Window allows you to delete an investment and its related files from the Master Universe all un
214. es of charts that can be created One chart shows the ranges of outcomes for the annualized returns while the other is a wealth chart in which the Y axis will be in dollar terms rather than annualized percentage return 5 If you are running a wealth chart enter a starting amount Checkboxes are available to plot Cumulative Return or Annualized Statistics NOTE The Plot Cumulative Return amp Plot Annualized check boxes will only be visible when Annualized Return is selected from the drop down box If you select statistics other than Annualized Return these options will be grayed out 6 Select either the Line Chart or Bar Chart option TIP When plotting statistics from the drop down list the bar chart is the better option When creating the wealth chart described below the line chart looks better 7 Click Simulate and Plot to display the chart 252 Portfolio Simulation and Stress Testing Year Year Yaad Yemi Years Veard Year Yeard Yeh Year 10 Bes ee oe ee Creating the Wealth Chart 1 To create the Wealth Chart click Simulation Charts on the Beatie simulation setup window As mentioned above Annualized Return must be selected in the drop down box 2 Set your Upper and Lower Percentiles 3 Elect to plot the Median or not 4 Enter the Number of Years to Plot 5 Enter your starting dollar amount in the Starting Amount window 6 Uncheck both the Plot Cumulative and Plot Annu
215. es the variation of those returns fromthe gain mean This statistic measures the volatility of upside performance Where N Number of Periods Where K Return for period Where Mle Gain Mean Where GizRi ER 2 0 of OC IF VWwhere a gt O10 No Number of periads that R 0 p Me EG Ne l 1 pein OfIFR lt 0 h Gain Deviation GG 2 Ne 11 l 1 Loss Standard Deviation Similar to standard deviation except this statistic calculates an average mean return for only the periods with a loss and then measures the variation of those returns around the loss mean This statistic measures the volatility of downside performance Where N Number of Periods Where Ry Return for period Where WL Loss Mean Where R CIF Re Ojor OC IFR 0 Where LL Ri MLUIER lo O IFR 20 N Number of i that Ry lt 0 Mus Li M Loss Deviation LL N_ 1 l 1 p Statistics Definitions Downside Deviation Similar to the loss standard deviation except the downside deviation considers only returns that fall below a defined Minimum Acceptable Return MAR rather then the arithmetic mean For example if the MAR IS assumed to be 10 the downside deviation would measure the variation of each period that falls below 10 The loss standard deviation on the other hand would take only losing periods calculate an average return for the losing periods and then measure the variation between ea
216. estment Analysis The daily statistics window Is similar to the Investment Statistics window for monthly data which will show the date range of your analysis number of days Risk Table Drawdown Consecutive Gain and Consecutive Loss tables daily and weekly correlation statistics daily and weekly capture ratios The daily and weekly chart window options NAV Cumulative Return Distribution of Returns A second Y Axis can also be generated on Percent Rate of Return and Drawdown One or Two benchmarks can be included on the NAV and Cumulative Return charts 4 Calculate NAV If your daily or weekly data was entered in the Performance column use this option to create a NAV stream based on the performance 5 Calculate Performance If your daily or weekly data was entered in the NAV column use this option to calculate the daily or weekly performance in percent format Note if you copy or manually enter NAV data you must use the Calculate Performance option PerTrac calculates all statistics from the performance column 6 Fill Dates Daily This option will fill the Date column with daily dates 7 Fill Dates Weekly This option will fill the Date column with weekly dates Note the dates entered will always end on a Friday 8 Convert to Monthly This option only applies to daily data If you would like to use all of PerTrac s functionality to analyze your data you have the option of converting your daily data streams to mont
217. f you change any of the other options Upper Stat Lower Stat Min Max Display Investment Labels the charts will update automatically Risk Charts Omega Chart and Export Charts CSFE Tremort Hedge Fund indes gt Benchmark Bara SUP 500 DE Fisk Chats Omega Chan investment Allocation 10 00 Crue New Urtsa Lef Shel Aipha Seth 6 hs Show E Slat Dae Jarig E spout Chat ait ee rere te Leena i LU Convert Unene Ta lnivestmert Righi Tis Ezta imors iz ii Perinds fiz End Date Bii US Rehesh Chats The Risk Charts option contains a table and three chart options displaying the before after and differential statistics for the new portfolio which includes the investment you have added to the mix and the original portfolio The Risk Chart s four display options Risk Table Statistics Chart Month Statistics Chart Quarter Statistics Chart Annual 147 PerTrac User Manual v 19 1 oe _____ 1 Risk Table The table includes performance risk and correlation statistics The Statistics are calculated on a Month Quarter and Annual basis There are three columns of data for each period Portfolio with Investment Portfolio original and Difference P bnpari Armairua Bid Tahia Es azar ui hp ha T Am eaa rh Ti 7h 7h a Se 1 Ie 7 hy k i we 4 biy was wats a w OA IS w ah Kepri mE F The Statistics Chart Month represents the percent chan
218. f these fields Per Trac automatically recalculates all Statistics to reflect the new date range Annual Statistics Table The Annual Statistics Table is located at the top left of the window and contains the following six Annual Return 139 3 69 4h 250 rows of data 144i 1 064 361 1 058 1 156 1 144 Wear End Assets Mi 0 00 0 00 0 00 0 00 0 00 0 00 o 00 for each o 0 00 0 00 0 00 0 00 0 00 0 00 calendar year iMac Annual Runup 645 321 4 2944 1275 0 00 16 75 i Sania Maximum Annual Drawdown 245 13 07 25 57 EAW 90 Care 13 15 Return The total cumulative percent return for the year Year End VAMI The amount that 1000 invested the investment s at inception would be worth at the end of the calendar period Year End Assets Total Assets Under Management in millions in the investment at year end Cumulative Dollar Profit The total profit loss in dollars in millions from the investment s inception to the end of the calendar year Maximum Annual Runup The maximum percentage increase from an equity low to an equity high during the calendar year 90 Single Investment Analysis Maximum Annual Drawdown The maximum percentage decrease from an equity high to an equity low during the calendar year Recent Returns Table The Recent Returns Table is located just below the Annual Statistics Table on the left side of the window This table contains the cumulative an
219. f you receive your daily or weekly data in NAV format you can enter those values and then use the Calculate Performance option to calculate the daily or weekly performance based on the change in NAV Once the NAV has been entered highlight the Performance column and click Calculate Performance from the command bar e Estimate Use this column indicate whether or not you returns are estimates Enter either Yes or No e Month To Date The Month To Date column is linked to the Performance column If you enter data directly to the performance column or calculate the performance from the NAV column the Month To Date column will update automatically Conversely if you enter a month to date value the performance will column will update based on the change in the month to date column e Note If you convert your daily data to monthly with the Convert To Monthly option from the command bar and you don t have a full month of data the return in the Month To Date column will be entered on the monthly data sheet 4 Click Enable Editing at the bottom of the Daily Weekly Data window Enabling editing allows additional functionality to become active some of the buttons at the bottom of the window will change from grayed out text inactive to black text active 5 Click the down arrow on the window next to the heading Market Closures Select U S A Holidays Note When entering daily data there will be numerous days throughout history when th
220. fercien Wish fete HFAI iarras 5 ag mier Ickes Se ect a eer U NIVE rse Alperes C H alari HFAI E miga Hite T clad i Sure Hius Pard Irek rce HFAI E merg Hiei abi bree and then cl ick Open msna idma Lig Cap Voue AHA HPAI E quy Heig breien limaran florea Lg Lap aa lra AFAI E qay Hauta Haura rax lg Amarican Auch arbage Lg Cage hoe Flas HFAI E iird irai irai ha 3 Click Select Market Universe and select a Sed Market lirie Shep 2 eis Pea rsang Step 1 universe of benchmarks e m R i r umber of sare Back Open Erisin Freer eo that you wish to USE In M Gonpute YTD and immun petiorance daremitnerd doat hare full penod data ae the peer group analysis Aad Hiba Peet ra Intel lat Search Peet Group Chat and Reports 4 Enter a date range by Canced E nd Find Better Funds View Peer Gimn Dats filling in the End Date anaE 2PM and Number of Years Back boxes 5 Select whether to use Monthly or Quarterly periods 6 Decide whether to compute year to date and annual performance data for investments that do not have the full period data 7 Click the Build Peer Group button 8 When the Save Window opens the Save in box defaults to the peer folder and the Save as type box defaults to pdb for Peer Database Keep these seitings and enter a name for your peer database Click Save The Step box and Progress box at the bottom of the Build Peer Group Database Window will allow you to monitor the progress of e
221. for a single fund with the following exceptions F Por Trac a Reports Investment Master Single of Multiple Flepents Use Investment Sample Fund 5 Fick Free ROR T Since Inception Ta T a meea 3 C Specie Dam Ci Pelicon ul biT Fem ur i aa eA ipe eia a aail ar alao yia aaia iani EEE Starting incapion Auai Corrects Sabinas Cn Find F Adwent Convertible Agha age inte Ending Ered of Dota Adae Corret Sabet age Fine Alesuendes Giba Hase Fund Lid virkini Agma Lapta Faire LEF Aubsten breeds L reii M narta Angent Epeen S hang tS aecaere Bj Ager Cirt Dormarhiis Ari Fired E eraa 44 s T Argent Clasac Corwertbis Arbh FurgE emais r C j Trieme rnc Bigeni Cane Dorwerhihle biie Fured I LF i ye Benchmak Urreta CAPe Tra Ure Caren Indice urr Locate Benchmarks Gereras oportis Benchmark 1 Eara SLP S00 j Eshaal POO se Runnel 1000 Va Indes DF Benchmark 2 E ie Hone E PeT toc Eurom Reports MastePedomance Repo Locate Template te i EI T Br E Perf een Laie Fokje Lere Template Upan Sra eeens r M Overenie Existing Files 191 PerTrac User Manual v 19 1 1 In section 1 of the setup window select Use Universe 2 Click the Locate Universe button to select the universe of funds 3 If the universe contains funds with different strategies or asset classes and you have assigned specific benchmarks to the funds in the universe check the Use Assigned Ben
222. formation the Generate Combination Report also contains style analysis charts that also require a setup prior to running the report 221 PerTrac User Manual v 19 1 When you double click the publisher report icon to run either the Generate Custom Report or the Generate Combination Report a gray inout window appears where the user selects the fund s and benchmarks for the report This sheet also contains two options for the Custom Report three for the Combination Report that are often overlooked prior to running the report The Custom Report input sheet contains two buttons at the lower right Select Information Pages and Set Charting Options The Combination Report input sheet contains those two options and a third button labeled Style Map Setup We frequently receive calls indicating that the client s report contains no qualitative data or that some of the charts are blank TIP Prior to running the reports click on each of these options to select the data you wish to have exported The Select Investment Pages button will allow you to select the System and User qualitative information to be exported The Set Charting Options tab contains a number of selections for charts on the Library tab which include rolling statistics rolling correlations the selection of a Risk Free benchmark for the Sharpe calculation found on the template Statistics tab Volatility Bands Distribution of Return s chart increments and range and
223. functionality to become active Some of the buttons at the bottom of the window will change from grayed out text inactive to black text active Also you will notice a formula bar appears just above the data table which displays the contents of the current cell 2 If you are adding a new row to an existing data record PerTrac will automatically fill in the next date Otherwise you can enter the date by typing it in month year format For example January 1990 can be entered as either 1 90 or 1 90 If you would like to enter dates for several rows at a time enter a date in one cell then use your mouse to drag and highlight from the dated row to the end of the cells you wish to date then click Fill Dates Also the month year date format assumes that the date is the first of the month If you want all the data to reflect the last day of the month highlight all the dates that you would like to alter then click Dates End of Month While the day of the month will not be displayed in the cell itself the change can be viewed in the Cell Contents Field just above the data table 3 Move to the Percent Return column either by hitting the Tab key or by clicking on the appropriate cell Enter the percent return in percent format For example 2 54 could be entered as 0254 or as 2 54 4 Alternatively you can copy an entire series of data from a spreadsheet and paste it into the date and performance columns 5 If you
224. g the Save as new investment to add the new record your te al L E A lj laimi emn Fo japing r Umma birar eh Jpm rimmar gp raene ee Pa Pm lao PEF Drapa m EH jem hana age fo or mis D l a Pl els men rpt TF eH E h a et e aa e E wel 7 ak ae oe el be ee dewey imme ly ae O PALAA T FE ening OF eee im wher ahad pra ARDEI Thi r T Lica Bacia iraa Hem bvecdhennt Hame Date touca E Firarisi piiril ULE scs ora CAFE T eon Hodge Fired Uaa Select hom To Dupe ate E Gea intometon Fiske N T ptan nioa Paces Panj T Hoi Daia T Uae inian Paga C hia Doa Spin Category Pai Um Casy Pages F Trian Hec Pam A Cancel Spe Daa Apoda j Motes CONVERT M User Mens Page l User Daa Arcod hnibiuciari Tipp he maimai mame ithe abcd bod ba The dha T d T k not ba eed ri fhe rame Please be sure to enter they conect Data bounos name IT pou we dugke ating Fi rebima whose rigmor g supplies by an miei warded une Data Sous Hise citer Per fhe verde ho aid cancia rupiaa Wises rhe pet CONVERT Thee peter rrei rusia reall bey aches bo Ghee mapie uneven pe 83 PerTrac User Manual v 19 1 a select the Data Source By default the data source is User We recommend that you keep this setting Check the boxes that correspond to the qualitative data you wish to duplicate in the new record Select the period Monthly Data or Quarterly Data Click Convert 2 10 Investment Data Window Command Butto
225. g the options on the Show drop down menu Show Grid Lines Show Tick Marks Show Point Selected Marker Show Breakpoints and Show Legend are all available displays for the graph Additionally supplementary tables and pie charts are available These are labeled Show Allocation Pie Chart Show Tracking Error Pie Chart and Show Risk Table Simulate and Export These two options will be discussed later after the Supplementary Tables and Pie Charts are explained Display All Windows If you minimize any of the available windows or tables associated with the Efficient Frontier Plot this button will allow you to display them again in their assigned areas Plot Statistic and Plot Universe PerTrac allows you to add supplementary statistics and displays to the Efficient Frontier Chart These can be added by selecting the appropriate statistic from the dropdown menu bar in the Efficient Frontier Plot and selecting Plot Statistic Plot Universe or both 164 Optimization amp Simulation Efficient Fronter From Jan 1999 to Jul 004 HEREN ll Tote SFB Tremor Hedge Fumd inden Fa HL Smonth T Bills The graph above shows a combination of available plots The green line represents drawdown for each portfolio plotted on the efficient frontier blue line from January 1999 to July 2004 To add this line Drawdown was selected from the dropdown menu followed by Plot Statistic The green triangles represent each asset s standard dev
226. ge arithmetic return for each rolling period Sharpe Ratio The average arithmetic return less the arithmetic risk free return annual risk free rate displayed in parentheses divided by average arithmetic standard deviation 91 PerTrac User Manual v 19 1 92 Best Worst Periods Displays the best arithmetic return for the particular rolling period in the Gain column and the worst arithmetic return in the Loss column Distribution The number of gaining or losing rolling periods divided by the total number of rolling periods Percentages in the Gain and Loss columns will total 100 Gain Loss Profit Loss The first column shows the ratio of average gain period to average loss period The second column shows the ratio of Average Gain x Gain Distribution divided by Average Loss x Loss Distribution Down Deviation Downside Deviation Measures the deviation of only those data points that fall below a certain return The statistic is calculated on three possible returns Minimum Acceptable Return MAR Risk Free rate of return and Zero The Minimum Acceptable Return MAR can be changed on the Tools tab under Default Minimum Acceptable and Risk Free Returns The Risk Free return which is used for the calculation of Downside Deviation Sortino Ratio and Sharpe Ratio can also be changed under Default Minimum Acceptable and Risk Free Returns The Zero return calculation is a default and can not be changed
227. ge for each measure between the new portfolio and the original portfolio on a monthly basis 3 Statistics Chart Quarter 1 kraai malpois Sak Tabia Dipi iue a e E Eri aeria rreri i Erer kgg i I I The Statistics Chart Quarter represents the percent change for each measure between the new portfolio and the original portfolio on a quarterly basis 148 Universe Multi Fund Analysis 4 Statistics Chart Annual hh he he E T M E E amp i ee a i a a ggg R E a E Ti Ta 7 he g t ei 4 ht hy a i oy 1 Ba x Ta J Ry The Statistics Chart Annual represents the percent change for each measure between the new portfolio and the original portfolio on an annual basis Omega Chart AT DEA 0 DNA Oe ee IS ES Lee 2 IA Rehas Thae aL wT 1 The upper Omega chart This chart will show the Omega ratios for the both the new portfolio and the original portfolio at numerous return thresholds The Omega ratio can be seen on the Y axis the Returns Threshold on the X axis 2 The lower Omega chart This chart will show the differential between the two portfolios 3 Chart Settings Below the lower chart are additional chart settings Curve This will set the shape of the lines to either Smooth or Discrete Y Axis Scale This will allow you to set the Y Axis scale to Linear or Logarithmic Omega Threshold This will set the Y Axis scale range 149 PerTrac User Manual
228. he Column Selection Window represent a series of data that consist of more than one value and therefore require more than one column in which to be displayed For this reason all data series must have their own worksheet within a report template Once you have added a worksheet as explained above use Column B to display the investment name and Column C to display the data series the series will extend to the right as needed Sorting Data within a Report Each column in PerTrac Reports contains a Sort Key Number which allows you to assign a sorting level to the field Entering 1 for a column s Sort Key Number designates that column as the primary sort column 2 designates a secondary sort column 3 designates a tertiary sort column etc Keep in mind that Sort Key Numbers are not required to run a report Also if you place negative sign in front of the Sort Key Number the sort will be performed in ascending order Otherwise the sort will be performed in descending order When your template is complete select Save Template As from the File menu When the Save as Window opens select a name for your new template ensuring it ends with a tpl extension Step 3 Running the Report Now that you have a template you can create single use or consistent periodic reports using various universes or various databases Per Trac Reports Investment Master File Edt Foma View Preferences Universe Window Help Oe IS
229. he fund s peer ranking for a 1 3 5 7 amp 10 year Sharpe ratio as well as a peer universe Risk Return scatterplot Pages 3 through 6 These pages provide additional measures of the fund s performance relative to its peer group Parkai Peer Performance Year Sharpe Ratio Yearly Standard Deviation How do Generate the Peer Group Report Step 1 Select the investment for the report by highlighting the investment at the PerTrac Home window Step 2 Click the Reports button located on the upper menu bar and select PerTrac Publisher Step 3 The PerTrac Publisher report selection window will open On the left hand side you will see two gray buttons Benchmark Reports and Custom Reports Click the Benchmark Reporis button There will be a report icon labeled Peer Group Report Step 4 To run the report double click on the icon A gray setup window will appear 197 PerTrac User Manual v 19 1 There are six sections of inputs that must be selected prior to generating the Peer Group Report The sections are numbered on the screenshot below fi Perlrac Poor Reports Investment Master Sirat ce Milde Mapai z a E Une biegt E arpe Fund Bx Fisk Free ROR Siame lan 1337 Use Unva lc PesT rac Uinewerse Lange Cap Yake Peer uny Locate Linever pe Eredineg Aug H pad AAL Egey eare Zu ey Use Comeron Stat E SAM DPA US Hegri ook be Hmket re and Erma Dates ARH AMA Walusa H ARH AMRO TAMRO Lang
230. he help tab contains one option About Data Manager This window will indicate the current version of Data Manager It also contains a link to the Data Manager online tutorials 264 PerTrac Online Tutorials PerTrac Online Tutorials PerTrac 6 0 Upgrade PerTrac 6 0 Please Review Our New Features 28 29 Section 1 Getting Started 1 Setting Your Default Folders 2 07 2 Updating Your Software Software Upgrades 3 41 3 How to Create a Master Database 3 47 4 Updating Your Data Automated Update 9 27 5 Merging Data with Data Manager 7 45 6 How Do Add an Investment Monthly Data Streams 3 28 7 How Do Add an Investment Quarterly Data Streams 7 18 8 How Do Update Investments Have Added Monthly Data Entry Form 3 30 9 Database Maintenance Compacting and Validating 7 06 10 Data Manager 6 0 Overview 3 20 Section 2 Single Investment Analysis Tools 1 Single Investment Analysis Tools amp Reports Overview 3 33 2 Single Investment Information 6 55 3 Single Investment Data 6 00 4 Single Investment Statistics 12 40 5 Single Investment Charts 7 15 Section 2a Single Investment Reports 6 Investment Summary Reports 4 13 7 PerTrac Publisher Overview 4 39 8 PerTrac Publisher Performance Measurement Report 6 47 Section 3 Universe Multiple Investment Analysis Tools 265 PerTrac User Manual v 19 1 Universe Analysis Tools and Reporting Overview 3 18 How
231. he return and standard deviation for the investment You could enter the return and standard deviation the investment actually achieved over its short data range or enter a return and standard deviation that more closely represents the strategy or asset class over a longer term date range Next click the Correlation Matrix tab to change the correlations between the investment and the other investments in the universe 286 PerTrac Tips amp Tricks Tip To locate the actual return and standard deviation for the investment over its date range highlight the investment and click Investment Statistics at the Home window The return and standard deviation can be found in the Risk Table To view the correlations over the investment s date range click the Correlation Analysis tab on the universe statistis window The default date range will be the date range of this investment When the correlation analysis window opens the default setting is Correlation R Click OK Once you have the return standard deviation and correlation numbers enter them on the efficient frontier advanced setup window 5 Remove the investment from the universe PerTrac Reports Peer Group Analysis The Advanced version of PerTrac contains a very robust peer group analysis module for analyzing and ranking funds relative to their peers and benchmarks The Standard version of PerTrac does not include the peer analysis module however that does not necessarily
232. hich allows you to simultaneously create a report for an investment universe and each item ina selected benchmark universe h Create a template in PerTrac Reports 2 Select either Multiple Benchmarks Standard or Multiple Benchmarks Excel from the Generate Report menu 3 You will be asked to verify that the current universe 4 When the Select Benchmark Universe window opens click Select Universe locate an existing benchmark universe and click Open 5 When the Select Benchmark Universe window displays the items in the benchmark universe click OK In the future unless you want to switch benchmark universes step 4 may be skipped 6 In addition to the original report an identical report will be created for each benchmark using the same date range per row as in the original report 230 Style Analysis Single Fund 5 01 Selecting Your Default Style Universe The style analysis model is a performance returns based multiple regression The single investment represents the dependent variable and a universe of appropriate benchmarks represent the independent variables Prior to entering the style analysis module you must select two default settings A default style universe and a default market benchmark for comparative analysis To select a default style universe you must first create a style universe or universes The goal is to select benchmarks that will best explain the style of the investment being ana
233. his table displays Actual Portfolio Risk Table statistics associated with the portfolio that you have selected from the efficient frontier The first time you f try to display the efficient frontier chart a dialog box will open and instruct you to Select a Benchmark Pepe 288 n Down Crew aie Ot iaman aso Ob 0613 caine Prete DEFE Select Benchmark You can select a benchmark from a custom universe using the Load Universe button or you may select a benchmark from All unv with the Load Master Universe i mmm button Highlight your preferred benchmark and click aed 201 Grothe 8 OK From then on all of your future efficient frontier comparison statistics will be measured against the ve Madcap Gets nde DE selected benchmark until you change the benchmark Pst 2e csn nas pai 0 200 aba bebe DR Lori liee Load Hater Lewes f Explain The Explain button gives a detailed description of how the Efficient Frontier Plot and the Actual Portfolio Risk Table were generated All of the statistics displayed within the risk table correspond to the portfolio that is currently highlighted on the Efficient Frontier Plot These statistics were generated using the asset allocations in the Portfolio Allocations table with no rebalancing for the time period being measured The Efficient Frontier Plot display the blue line with risk on the X axis and return on the Y axis was drawn using the Markowitz Efficient Frontier methodology A
234. hly data streams This option will populate the monthly data sheet If selected your fund will not have two data sheets one with daily data the other with monthly Note If your fund has an existing monthly data sheet and you select this option on the daily data sheet a message will appear asking you if you want to replace your existing monthly data 9 Save When all data has been entered or edited click Save 10 Exit When your data has been saved exit the data sheet 111 PerTrac User Manual v 19 1 Daily Weekly Data Reports The daily weekly data module contains an export reporting function similar to PerTrac publisher report generation PerTrac exports the statistics tables and charts to an Excel workbook You can then create custom reports from scratch or use one of the templates installed on your computer The following steps will walk you through generating daily weekly data reports 1 Open the Daily Weekly Investment Data Window by clicking the i aaa Se command button from the left hand side of the Current Universe Window or by clicking the button labeled 207 Y Data from the Tool Bar 2 Click Statistics on the command bar This will open the daily weekly data investment statistics page 3 The daily weekly data statistics page contains a Generate Report button on the upper right corner Click Generate Report to open the Daily Report window Tanpa Para n Repon Mastek epas miian Dons 4 Click Loc
235. hmark names to select the allocations to each benchmark 4 Template Selection Click the Locate Template button The custom reports folder will appear with a list of template files There are two pre built files for this report that should be used Open New Report Template initially The Lak ir C Cuon Repoti MasterPeerReport designed by Eep Presevtateors 1 449 Lj Pubbher Testes Om baat ort ws for funds with monthly return My Recent Acustom Eiere Frontier 1 te 10th ts Sate ee custom Eion Frontier 2 Portfolios ids streams and the a oustom Effient Frontier 4 Porto i MasterPeerReportQuarterly cme occ 2coee designed for funds with either S areata monthly or quarterly return MyDecimerts eee ee streams Js A My Cosas D Ba Potuit Planes NOTE when the Save Reports in Folder option is selected you must click the Locate Folder button to select the folder the report will be saved to You also have the option just below the folder window to Overwrite Existing Files When the report is saved to a folder the name of the file will be the name of the fund This report has an additional option in section 4 Export Peer Statistics If this is checked the Peer Group Data tab in the report will show the fund names in the peer universe and their values for each performance and risk measure shown in the report To access this data when the report is generated click For
236. hted that fund on the home window prior to opening this setup window the fund will be automatically listed in the Use Investment window TIP If the fund is not listed in the Use Investment window click Locate Universe to open the universe that contains the fund If the universe contains numerous funds click Expand on the left to see an expanded view of the universe When you find the fund that you want in this list double click on it and it will appear in the Use Investment window NOTE Next to the fund name is a box that contains the risk free rate of return for the Sharpe ratio Downside Deviation and Sortino ratio calculations You may change the risk free return to reflect the value most appropriate for the time period being reported This risk free return setting is independent from the one used on the Investment Statistics page back in PerTrac 2 Benchmark Selection One or two benchmarks may be selected for this report Click Locate Benchmarks to locate the universe that contains your benchmarks This could be the Correl unv universe or any universe of benchmarks you have created When the benchmark universe has been selected click the Down Arrow at the end of the Benchmark 1 window to select 189 PerTrac User Manual v 19 1 the first benchmark Then click the Down Arrow at the end of the Benchmark 2 window and select the second benchmark NOTE The second benchmark can be a composite of two benchmarks Click both D
237. iation and mean return To show these statistics Standard Deviation was selected from the dropdown menu and then clicking Plot Universe Additionally any investment s name may be displayed by clicking on any green triangle The investment names may be mover around with your cursor and displayed with the click of the mouse The supplemental statistics on the drop down menu can be a useful portfolio planning tool For example A high net worth individual or retirement plan policy constraint may require a diversified portfolio mix that has a minimal drawdown The drawdown Statistic can help pinpoint this optimal allocation for you TIP The green arrows to the left of Plot Statistic will move you one portfolio up or down on the efficient frontier Save This feature allows you to save your Efficient Frontier Plot as a chart with an efc extension The chart can be reloaded from the Efficient Frontier Setup window in the future As with all charts in PerTrac complete chart formatting is available by selecting Chart Designer from the right click menu Using the Supplementary Tables and Pie Charts selecting a allocation on the Efficient Frontier Plot marks that point with a green box and opens the Actual Portfolio Risk Table Portfolio Allocations 165 PerTrac User Manual v 19 1 Table Portfolio Allocation Pie Portfolio Allocation Table and Tracking Error Pie all of which you can use to assist your analysis Actual Portfolio Risk Table T
238. iation from the Minimum Acceptable Return MAR Just as with the Down Deviation calculation the Sortino Ratio is calculated on the three assumptions for the Minimum Acceptable Return MAR listed above Skewness The degree of asymmetry of a distribution around its mean Kurtosis The relative peakedness or flatness of a distribution compared with the normal distribution Below the Risk Table are three additional return risk measures Sterling Ratio The average annual return for the latest 36 months divided by the average of the maximum drawdown during each of the latest three 12 month periods plus 10 If 36 months of data are not available this statistic is not shown Calmar Ratio The average annual return for the latest 36 months divided by the maximum drawdown during the latest 36 months If 36 months of data are not available this statistic is calculated using the data available Losing Streak The percent change between the maximum equity high high water mark and the latest month s equity If the latest month s equity is a high water mark then 0 is displayed Single Investment Analysis Correlation Analysis Table The Correlation Table is located at the bottom right of the Investment Statistics i Benchmark Analysis Alpha Annualized A Beta R RD Wi ndow and Barra S amp P 500 0 00 0 00 1 000 1 000 1 000 provides a CSE Tremani Hedge Fund Index 016 1 E 0 999 0 492 0 170 HERI Fund of Furs Commos
239. ibe Index 0 22 255 305 0 488 0 238 Lae i of the Lehman Aggregate Bond Index 1 03 1311 1 035 0 226 0 052 relationship ML 3 month T Bilis 0 60 745 0441 0015 0 000 between the MSCI EAFE Net 0 02 0 26 0 076 0 839 0 704 Nasdaq Composite index 0 15 1 82 0 419 0 614 0 663 current Russel 1000 Growth index DRI 025 306 0 732 0 937 0 878 investment and Russel 1000 Value Index DRT 0 13 1 54 0 942 0 684 OFT one or more eleh M A 0 A MRatios A G Ratios A M Up A M Dov 4 benchmark investments Correlation statistics are divided among 8 tabs M Q M Ratios Q Ratios M Up M Down Q Up and Q Down The M Q M Up M Down Q Up and Q Down tabs display the following correlation statistics Alpha The Y intercept of the regression line Annualized A Calculated by annualizing the Alpha for the period Beta The slope of the regression line R The correlation coefficient Pearson Product Moment Correlation 4 R The coefficient of determination T Error Tracking Error is measured by taking the square root of the average of the squared deviations between the investment s returns and the benchmark s returns Treynor Treynor Ratio is similar to the Sharpe Ratio except it the risk measure in the denominator is Beta versus standard deviation for the Sharpe Ratio Jensen A Jensen Alpha quantifies the extent to which an investment has added value relative to a benchmark The Jense
240. igner This opens the Write File dialog box allowing you to name and determine the location of the saved file You can even save the table as an Excel file by selecting xls in the Save as type pull down menu Command Buttons Print Prints the pro forma table Print Preview Allows you to preview the pro forma table before printing Print Setup Provides options for setting the printer parameters before printing Page Setup Provides formatting options for the pro forma table Print Titles Allows you to format the titles of a pro forma table before printing Pro Forma Displays the Pro Forma Performance Table Re balancing Displays the Re balancing Table Summary Displays the Summary Table 133 PerTrac User Manual v 19 1 3 07 Universe Statistics View the online tutorial The Universe Statistics Window allows you to display a variety of statistics for each investment in the current universe To open the Universe Statistics Window click the Statistics button from the Universe Stats Allocation and Optimization option or click Statistics on the PerTrac Navigation Bar ee fiat ee re eee s a fee ul a i beri a meere m i i J H ear hr JE on ia Be ReH ir if m mr Wi P im pte n s E in E i leek bs a ae ert TS ae m veaieet Ssh mP sirri F A o_o a a pa hij arrar r TEE e a zm irer f 5 T kima a mm ber i z
241. ill be used and your comparison will be distorted ae Cash Flow Options Cash flows can be incorporated mac s waer USING the additions and withdrawals columns You can enter up to four columns of annual additions and four columns of annual withdrawals The number of rows displayed here represents an individual year within the analysis If you select 20 years you will see 20 rows Each addition or withdrawal column can have a custom name The default names will appear unless you change them Please refer to the Workbook 173 PerTrac User Manual v 19 1 Designer section for more information on customizing the column names If you want your cash flows to Adjust for Inflation use the appropriate check box and enter a desired annual inflation rate 174 Portfolio Construction 3 04 Portfolio Construction Universe Allocation Window View the online tutorial The Asset Allocation Window allows you to define the allocations and leverage for each investment in a portfolio You can open the Asset Allocation Window by clicking the Universe Statistics Charts Asset Allocation and Optimization button from the Current Universe Window or by clicking the Universe button on the Tool Bar The top of the window contains a table with the name of each investment in the current universe along with columns titled Allocation Allocation Leverage Start Date and End Date The start and end dates are for informational purpo
242. imum allocation amount A breakpoint is essentially where the shape or slope of the curve changes 1 oon 1 m E a w Go Eria Pct Shee Baie pon pe All Wied The allocations of the breakpoints and the sical intermediate points can be E eee 162 Optimization amp Simulation printed by selecting Breakpoints or Intermediate Points from the Print menu Selecting Portfolios from the Print menu allows you to print the custom allocations you may have added which do not necessarily lie on the efficient frontier line Selecting any of these options will create a table in soreadsheet format that you can print format edit or save depending on your needs Overlay Menu selecting Save Efficient Frontier From tos 1999 to Jul 20 Berens hebi Mint Stems Biao Dopet Daph All Wii Frontier from the Overlay menu allows you to save the current plot as an efo file Efficient Frontier Overlay file which can be superimposed on a later plot by selecting Load Efficient Frontier from the Overlay menu This option is useful to illustrate how the efficient frontier line would change by adding or removing investments from the universe of assets being optimized NOTE When you load a previously saved efficient frontier black line represents the saved efficient frontier and is not active The blue line is the current efficient frontier including all asset inputs and is the active line Remove Overlays This option will
243. ion Page J D Spttes Infomation Page 4 E System Infomation Page 5 ml Spiem riyna Fs 6 Step 1 Click the Preferences tab on the upper menu bar Select Create Dropdown List Step 2 Click on the Data i Gereral 3 Motes E intormation Categories Eu Source label Now click Add Company Name Strategic Financial Solutions located on the menu bar to Addiess 1 select the Data Source for rea Sars which you wish to create a 7p Code Country dropdown list Once you ve Fund Manages Phone Mumbe Fax gag Emal Address _ Fund Manager 2 Contact Number Fax Administ ator Phone Humbe Far Custodian Web Site clicked Add a window will appear prompting you to choose a data vendor file with the extension des For user entered funds click he User des file Remember that you can t Jedit the System Information Pages if the data source is set to anything other than User If you select Hedgefund net Morningstar or any other data vendor for instance you will only be able to add dropdown lists to the User Information Pages If you add dropdown lists to the System Information Pages the data will be overwritten the next time you update the data vendor database a rae pi i i i i F i i P Pi Hi T mi 5 ty Hi ry SS ee eee eerie 3 2 oF T m ee es se ee e P a e y a a a P 115 PerTrac User Manual v 19 1 Step 3 Click the plus sign next to the System or User Information Page to which you are adding the dropdown list
244. ion makes a random draw from these 66 dates to produce the first month of the simulated results To create one three year simulation there would be 36 such draws In this example this process would then be repeated until 1000 three year track records had been created The advantages of the bootstrapping approach are its simplicity and implicit assumption about the distribution of returns The disadvantage of this approach is if your data has some skewed data points that you don t necessarily believe will likely occur again the random draw could pick them and again skew the result Normal The normal method takes its random draws from a normal distribution fitted to the actual return time series This method is similar to the Bootstrap except it redraws the sample based on a normal distribution For example If your portfolio distribution is negatively skewed and peaked at the mean this method will smooth out the distribution of returns This normal distribution essentially limited the skewness and peaked distribution to a normal fit The advantage of the normal approach is allowing you to limit the impact of data displaying significant skewness and or kurtosis however this could be viewed as a disadvantage since few investments display normal distributions over time 248 Portfolio Simulation and Stress Testing Mod Normal Lognormal The mod normal method takes its random draws from a normal distribution calculated from
245. istributions from the 99 Percentile down to the 1 Percentile There is a 1 chance of achieving the 99 Percentile outcome and a 99 chance of achieving the 1 percentile outcome 7 04 Simulation Charts View the online tutorial In addition to the Simulation Report shown above you may also create simulation Charts Simulation Reports allow you to simulate on only one period at a time i e 3 year The Simulation Charts on the other hand will allow you 251 PerTrac User Manual v 19 1 simulate on multiple time periods i e 1 year through 10 years Follow the steps below to create simulation charts Click Simulation Charts in the PerTrac Portfolio Simulation Wealth C E B Simulation window lAwudedfieum cry Ugga Penceribe 1 When the Simulation Wealth Charts window h gp este opens select a statistic from the dropdown menu WF Pit Median 2 Set the upper and lower percentiles from the fc et oe corresponding menus Fa Number of Years to Plot 3 If applicable check the Minimum Acceptable Tr Return checkbox and enter a value W Pio Cumulate Feum 4 Enter the number of years to plot In this example g susma we are plotting 10 years If you are running 1 000 simulations a total of 10 000 simulations will take place 1 000 simulations on a 1 2 3 4 5 6 7 8 9 10 basis Shatng Amon Lire Chat Blan Chose NOTE When Annualized Return is selected from the drop down box there are two typ
246. it number First Name Last Name Phone and Computer Description fields 4 Click Save Changes Exit Note To configure specific proxy settings click Configure Proxy Settings on the lower left side of the window Once the License Configuration has been saved a Software License form will be created which is also located on the Pelee nc uals ital form serves two iea een main purposes 1 The new soft key option requires an internet connection The license will work for two weeks each time you open PerTrac If you do not connect to the mis internet within two weeks the license will e have to be reactivated To reactivate your license you will have to phone Per Trac technical support at 775 851 5880 to be issued a 25 digit Activation Key number Enter that number on this form in the Activation Key boxes Once the number has been entered click Renew Activation 2 This form will also be used to release a license In the past if multiple users shared a license the associated hard key would have to be physically moved from computer to computer The new soft key allows the current user to release the license so that it can be activated by another user To release your license click Release Activation at which point you will be logged out of PerTrac If someone else is using the license you will not have access to PerTrac until they release it 19 PerTrac User Manual v 19 1 PerTrac ID Investment Grouping
247. it did not Es appear Select Grant access or Deny access for the ip Steen om ota group with the radio button Select the newly Date created database with the dropdown menu and keep ae the language as Default OE ee Step 4 Click on the Tab labeled Database Access Select each database and select their permission levels NOTE In order for users to have FULL functionality in PerTrac they must have DB Owner permissions If you would like to have separate groups with limited permissions for table access etc please call our technical support number at 775 851 5880 x31 for proper settings Step 5 Repeat these steps for each group that will access the database 1 4 a Merging Data into the SQL Database Data can be merged into PerTrac using the Data Manager SQL option in the PerTrac program group Make sure you launch Data Manager through the PerTrac program group and not the PerTrac application itself Data Manager 51 PerTrac User Manual v 19 1 SQL can be found by going to Start All Programs PerTrac 6 0 Data Manager SQL The Data Manager will open a window with many available options Option 1 This option is for new PerTrac users that do not have an existing Microsoft Access Database Please see the instructions listed under Updating Your SQL Databases Automated Update below Option 2 This option is ideal for PerTrac Users that are merging a Microsoft Access Database and or merging data not available through Aut
248. ivates the Statistics options allowing you to select the particular statistic to display Correlations Selecting Correlation Matrix from the Display Type options activates the Correlations options allowing you to select the type of correlation to be used Period Certain display types allow you to select a time period monthly quarterly or yearly for which statistics are calculated Increment amp Range The Distribution of Returns option requires the selection of the increments at which the returns are grouped as well as a range above and below zero for which data is displayed Hide Portfolio Checking this box hides the row that displays the Statistics for the portfolio as a whole so that only statistics for the individual investments remain Not checking Hide Portfolio allows you to quickly view the aggregate portfolio s statistics without having to Convert Portfolio to Investment Once you have selected all the necessary options clicking Display shows the results 135 PerTrac User Manual v 19 1 Ranking Investments Once you have displayed a table of statistics you can rank the investments according to a particular statistic by highlighting that column and clicking either Rank Maximum or Rank Minimum This is particularly useful when working with a large portfolio Clicking the Percentile button will change the numerical rank column on the far left to a percentile rank column Once the investments a
249. iverse of benchmarks for style analysis 3 To the left of the benchmark names you will find a Rolling Period in Months window The rolling periods selected here will be used to create the Style History and Rolling Beta Correlation R R Squared Alpha and Tracking Error charts Below the Rolling Period window is an option to Include Risk Free Rate in Style Universe Enter the appropriate risk free rate in the Risk Free ROR window TIP Rather than using the Include Risk Free Rate option to represent cash you could add a cash investment i e ML 3 Month T Bills to the style universe to represent the cash component You should also enter a risk free return in the Risk Free ROR which will be used for the Sharpe Ratio Sortino Ratio and Downside Deviation statistics 4 Benchmark Selection There will be two comparative benchmarks on this report The Style Benchmark which will be created as a result of the style analysis regression and a Market Benchmark To select the Market Benchmark click the Locate Benchmarks button in section three This could be the Correl unv universe or any universe of benchmarks you have created When the universe has been selected click the Down Arrow at the end of the Market Benchmark window to select the benchmark NOTE The Market Benchmark can be a composite of two benchmarks Click both Down Arrows at the end of the window to select the two benchmarks and then click the Down Arrows in the windows t
250. iverse to which your fund will be compared To the left of the peer universe window you will find two options for the universe Risk Return Scatter Plot date range The default option is set to Use Investment Date Range This can be changed by clicking the down arrow on the Years for Risk Return Scatter Plot window giving you the option of producing the chart on a 1 2 3 5 7 or 10 year basis NOTE If you select a specific year for the chart versus Use Investment Date Range you must also click Use Above just below the year selection window 198 PerTrac Publisher Reports 3 Benchmark Selection This report requires the user to select two comparative benchmarks If you select only one benchmark you will receive an error message when the report is generated that two benchmarks must be selected Click the Locate Benchmarks button in the third section to locate the universe that contains your benchmarks This could be the Correl unv universe or any universe of benchmarks that you have created When the universe has been selected click the Down Arrow at the end of the Benchmark 1 window to select the first benchmark Then click the Down Arrow at the end of the Benchmark 2 window and select the second benchmark NOTE The second benchmark can be a composite of two benchmarks Click both Down Arrows at the end of each benchmark window to select the two benchmarks and then click the Down Arrows in the windows to the left of the benc
251. k Validate Database on the menu 0 0 4M bar This will open the Data Manager AA A Validate Database window Step 2 Locate the Source Database click Add to select the database to validate Lomair Sanm ia aham TIP Once a database has been added click the down arrow in the Source Database window to select a previously validated database Step 3 Check Box Fix Duplicate Dates in Performance Stream Options Backup source database before fixing duplicate dates Delete Orphaned Records Fix Duplicate Dates in the Performance Stream This feature will allow you to automatically delete duplicate dates in the database For example if an investment has two performance entries for April 2000 PerTrac will display an error message that states the investment has either duplicate dates or dates missing from the performance steam Backup Source database Before Fixing Duplicate Dates This check box will allow Data Manager to back up the original database prior to the validation with the same name in the same folder adding backup to the file name It will also compact the database to fix any data corruption issues 256 Data Manager Delete Orphaned Records lf data has been deleted from the Master Name or Information database tables orphaned records could be created which might lead to errors This option will delete all orphaned records Step 4 Click Finish 8 05 Compacting Your Database D
252. k over the chart and select Copy To paste the data right click over a cell in Excel and select Paste 3 To paste the chart right click in Excel and select Paste Special select Picture and then click OK Creating Chart Templates All charts in PerTrac have a basic format when generated If you want to change your chart formats i e fonts colors titles you can format the chart and save it as a template Using your template will eliminate the need for you to re format the chart each time you create it For example you could make your formatting changes and save the chart as a template by right clicking on the chart and selecting Save By saving the chart you are actually saving the formats You would name your chart say MyVamiChartTemplate vtc If necessary you can create a different chart template different formatting for each type of chart you use The next time you create the chart our basic chart formats will appear To access you saved template click the Copy to Template button at the top left of the chart window and select the desired chart template from your personal gallery Investment Chart Examples Percent Rate of Return Chart Example Suppose you want to create a chart showing an investment s quarterly returns over the past three years 1 From the Investment Charts Window click the button labeled Percent Rate of Return on the left side of the window under Chart Type 2 If you want a second axis displayed check
253. l activity in PerTrac When PerTrac is launched the Current Universe Window automatically appears within the Master Window with All unv as the current universe Current Universe add Mery lreeetment FA Remers investment reesi i snok Haket Mera Fure C Duat San Francisco Smal Cap Fund L F HFAS8 78 Rename investment San Francisca Small Cap Offshore Fund Lid Clits A e M Samchun Fred income Furd Class B USD sive e een T Sandalwood Dabi Fund A LF HFAS8 g HFRS ivesinent Dala Monihiy auarieriy Sandalwood Dabl Fund B LF HFRS vesiment Deia Chewy Pines Sandalwood Long Shot Fund LP HFR33 Sarda irria HFRS HFA38 Sarda Camel Structure Opportunies Fund LF hedgelund net Bi vastnet Charts Sarda Capa Structure Opportunites Fund Lid hedgelund ret ED kreesinent Statistics Sarde Offshoe Fund HFA SS Sanda Capel LP HERA Sandpiper Equity Partrers LP HFRS HFRS Eh Save Universe As M Sangamon Interrsational 1 5 Bada TA Et crea Maree Universe Sangamon Intermaliqnal 2 Bada CTA z Sangamon Paine Barclay TA 2 Sangamon Patner 1 54 BanchayT Group Checked investments Samasmon Treading 1 53 Pada TA Sangamon Treading 2 Barclay TA Sangamon Trading Standard Hacda CTA BB bt Pertrac l Sangi Focus Fund LF HFA Spro Fori LF HFR Active Windows M Sarna Powe Lid HFA Santa Barbers Hobdiege Lid Elst A HFRS E ee ee paan ISA Lied cds is arias T HEE _ Sil ord B
254. l be running the report on a smaller universe than the entire database When you click No the Universe selection window will open so you may select a different universe Select your universe by clicking Open Universe and then click OK 2 Ues Cilea ira rr ure es ure a Urr na TIP When you select the universe prior to clicking OK you can sort the investments in the universe if you wish to send the data to Excel in a certain order 4 When you have selected your universe click Generate Report Select Excel to export the report to Excel The Generate Report window will reappear with the name of the universe you just selected Click Yes and an Excel Export Setup window will appear Select Empty Excel Workbook Leave Excel Open and Format Output Click Generate Report 5 When you click Generate Report an Excel workbook will open that contains the report output Use Excel functions to format save or print the report 229 PerTrac User Manual v 19 1 NOTE All reports created in PerTrac Reports not exported to Excel contain standard formatting editing and printing options Selecting Save Report As from the File menu allows you to save the report for future use You can edit a report with the Workbook Designer by clicking the Designer button at the top right of your screen See Using the PerTrac Workbook Designer for more information Multiple Benchmark Reports PerTrac Reports features a Multiple Benchmark option w
255. lation CD and require installation procedures please visit the following website http PerTrac PerTracnet com per0020 web me get WEB websections show amp PERO 020 992 This site contains thorough installation instructions and PerTrac tutorials Call technical support 800 851 5880 x5 for help regarding installation 1 2 Starting PerTrac Click Start at the lower left hand corner on your menu bar select Programs then select PerTrac then i e PerTrac PerTrac Network or PerTrac SQL The file will have the yellow PerTrac logo icon to the left of the file name PerTrac will open to the Home or Current Universe Window as seen here 17 PerTrac User Manual v 19 1 B PerTrac Analytical Platform invesiment Master 1 Current Universe i Pile f Reports Br Preferences r a Tools ited window E Help Seanches le xi fajHome irto Fe Monthy Data EH Geiyiveeky Daba Bastais chats QP universe FFffstatisics Gchats WhhPeer PRistyie E Sm W Search view A SF Add Mer Inveshment BE Remove invectrert Aa OoOo ooo O BE Group Gupheales HDaily Data Benchmark Lj HL PT L S15 Geren tet Duplicate investment ORR Pere maien nvestment internation Investnent Data Monthhyanetesty EN rvrsmernt Data Dahn iemdy EB rvesmert Statistics Mi tvestment Charts 4 Load Master Universe LS Open Mes LIP er he 4 Save Universe As GY Create Mew Universa HDaly Data Fund 1 Month Liber Fiabe 1794 Commodue Fund LF M 1734
256. ld be selected on the upper left If you are generating the report for one fund and you highlight that fund on the home window prior to opening this setup window the fund will be automatically listed in the Use Investment window 210 PerTrac Publisher Reports TIP If the fund you want to run the report on is not listed in the Use Investment window click Locate Universe to open the universe that contains the fund If the universe contains numerous funds click the Expand button on the left to see an expanded view of the universe When you find the fund that you want in this list double click on it and it will appear in the Use Investment window 2 Benchmark Selection One or two benchmarks may be selected for this report Click the Locate Benchmarks bution in the second section to locate the universe containing your benchmarks This could be the Correl unv universe or any universe of benchmarks you have created When the universe has been selected click the Down Arrow at the end of the Benchmark 1 window to select the first benchmark Then click the Down Arrow at the end of the Benchmark 2 window and select the second benchmark NOTE The second benchmark can be a composite of two benchmarks Click both Down Arrows at the end of each benchmark s selection windows to select the two benchmarks and then click the Down Arrows in the windows to the left of the benchmark names to select the allocations to each benchmark 3
257. le Map Traditional charts This file is created from the Style Analysis Setup Window Please refer to section 5 05 below Starting in the upper left of the screenshot above you will find the name of the selected investment the name of the selected market benchmark the benchmarks in your style universe 232 Style Analysis Single Fund To the right of the investment and benchmark names you will see the start and end dates for the investment and benchmarks Moving to the upper right you will see the start and end dates for the style analysis Because we will be performing a multiple regression the date range will have to be the common date range for the investment and the benchmarks You can run style analysis on a monthly quarterly or annual basis You can also enter the number of rolling periods to create the rolling style charts You may elect to include a risk free rate to represent a cash component The alternative to using a risk free rate would be to include an index representing a cash investment There are a number of buttons down the right hand side of the window universe Select Investment 2 Select Investment Allows you to select a different investment for style analysis Stile Map Setup 3 Style map setup Pertains to the style map dominant s Sdvanced Setup charts and must be setup prior to creating those charts Build Style Database 4 Advanced setup Allows you to apply upper and lower Style S
258. les from the Investment Statistics page b One Page with Charts This one page report contains the qualitative information from the General Investment Information page and a few of the tables from the Investment Statistics page c Two Page with Charts This two page report is the most comprehensive of the three report options and it contains the qualitative data from the General Investment Information page and all of the tables and quick charts from the Investment Statistics page Print Statistics Sample Fund January 1997 to August 2004 Piru Preview Pink Setup Page Setup Select Infomation Previous Net 182 PerTrac Investment Summary Reports NOTE The report will be displayed in the Summary Report Window where you will have several options for editing printing and page layout Double right clicking over the report opens the Workbook Designer where you will have more advanced editing capabilities The file can also be saved as an Excel file using the Save As button which can then be edited in Excel 4 02 Print Multiple Investment Summary Reports Investment Summary Reports can also 2 f 1 Thit be printed for each item in a universe aS sss uies a batch CAPeT ana HF DF iar Locate Hr Saa Sekora omc 1 From the Reports menu select Efte nF Ea Wais Naws Print Multiple Investment CFI rersort HFI Fiond incurre Adsioge Reports or foci eon 2 When the Print Universe window ope
259. ll not be overwritten when you update the data vendor database 4 Ellinformation _ The Information tab lists six windows with 50 fields cells in each window These windows and fields contain a variety of investment qualitative information supplied by the data vendor Each window can be customized by selecting Set Information and Category Page Names to rename each window or Specify Information Page Layout to change the layout of the columns and rows Both of these options are located on the menu bar Preferences tab NOTE If you change the information page field labels or values for an investment that is part of a data vendor database your changes will be overwritten when you download and update this particular data vendor database TIP For both the Information and User Information windows the cells in the first 4 windows will hold a maximum of 256 characters Information windows 5 and 6 will hold 1 gigabyte of information If the information you are attaching to an investment has a large amount of text use the cells on information windows 5 and 6 5 M categories _ The Categories tab lists six Category Windows which can be viewed either by repeatedly clicking the Categories button or by clicking the drag down portion of the Categories button and selecting a specific window There are 4 columns of check boxes on each Category Window that are defined by the data vendor Each column contains 30 check boxes To add or remove a check
260. lution igs i karear Fj oboe Porky Woe z Fae LP a n e a r ee l art en 1 1 1 E ae Optimization ia J iT Elie ie Tite TAMA Ta Lie do 5a ime Ei ire eam Fia fe Er OSE amg E he Dam Ao Wy i Res ts et EO e uir ri 11 DLT 1c aw Uu a gl UOT i i i u as a Tou ana CLE Ste Boe woe Se Soe MEH ror Lie be Jit Fma SOG bepa a hes ge ey tad wA Hiki ii mm Gee i r DE EE TEE Jwr W LES EN pa i Once you have set up the Linear Optimization click Execute to begin the f calculation process When PerTrac has L finished optimizing a confirmation will be displayed that states optimization complete Click OK The results are displayed in the Optimization Table Window This Optimization Table Window displays the top 100 allocations for the defined optimization ranked from left to right according to the optimization method you selected The top row of the table shows the value of the statistic for which the optimization was calculated The second row shows the Compound Annual Rate of Return ROR that was generated by that particular allocation Subsequent rows list the resulting percent allocated to each investment You can print this table by clicking Print at the bottom right of this window Clicking the Allocations Setup button at the bottom of this window will bring you back to the Asset Allocation Window while the Optimization Setup button will bring you back to the Linear Optimization Setup Window Also while back i
261. ly traded on any of these closed days or if you did not trade on dates not listed To edit the schedule click the Edit Markets to the right of the window and select U S A Holidays from the drop down menu You can now insert dates you did not trade or delete a closed date 6 Your daily or weekly data can be copied from Excel or entered manually lf your data is copied from Excel the dates have to be formatted with a valid Excel format If you enter the dates manually type the date of your first return in cell 1 Highlight any number of rows below row 1 and click Fill Dates Daily if you are entering daily data Select Fill Dates Weekly if you are entering weekly data NOTE Weekly data must have a Friday end date If you copy weekly data from Excel or enter your data manually and enter a date other than a Friday ending date an error message will appear indicating your date is not a Friday date The Fill Dates Weekly option will automatically enter Friday ending dates TIP If you copy and paste the performance data from Excel the return format has to be taken into account If your returns are in percent format in Excel check the option Enter Performance as a Decimal on the top of the data entry sheet If your returns are in number format in Excel check the option Enter Performance as Percent These options also apply when entering data manually If Enter Performance as a Decimal is checked you enter returns in decimal fo
262. lyzed For instance if you perform style analysis on a U S equity manager you might want to create a style universe of Russell Wilshire or Barra indices that would include small mid and large cap value and small mid and large cap growth It is also a good idea to add a cash benchmark to your style universe such as the Merrill Lynch 3 month T bill If you perform style analysis on hedge funds you should select an appropriate universe of hedge fund benchmarks such as the CSFB Tremont or HFRI indices Again the goal is to create a style universe that best explains the style of the investment being analyzed 1 Once you have created a Style Universe click the Preferences tab on the menu bar click Style Analysis Options and select Default Style Universe 2 When the Select Default Style Universe Window opens locate the desired universe and click Open 5 02 Selecting Your Default Market Benchmark 1 Add the Market Benchmark you wish to use to your correlations universe correl unv 2 Click the Preferences tab select Style Analysis Options and select Default Market Benchmark 3 When the Select Market Benchmark Window opens select the on gece from the dropdown Default Style Universe C Perlrac Universe Russel Style unv haeste menu and Click OK Default Market Benchmark eean de E OF Cancel 231 PerTrac User Manual v 19 1 NOTE Although you are required to set a default benchmark you may change that ben
263. mark was up Where K Return for period Where RD Benchmark Return for period Where N Number of Periods Where Li Ri iF RO O or OIF RD lt 0 Where LD Rp IF RD 0 or 0 IF RD 0 T 1 Lo x 14L1 x 14h 1 TD 1 LDp x 14 LDy x x 14LDy 1 Up Capture T TD Down Capture The Down Capture Ratio is a measure of the Investment s compound return when the Benchmark was down divided by the Benchmark s compound return when the Benchmark was down Where Ei Return for period Where RD Benchmark Return for period Where NM Number of Periods Where lL RLF RD 0 or OTF RD 0 Where LD RD HIF RO G ord iF RD 0 T 1 Lo x 1 4 x x CI 1 TD 1 LDo x 1 LD1 x x 14LDy 1 Down Capture T TD 218 Statistics Definitions Up The Up Number Ratio is a measure of the number of periods that the Investment was up when the Benchmark was up divided by the number of periods that the Benchmark was up Where Ri Return for period where RD Benchmark Return for period Where N Number of Feriods Where L 1 IF Ri 20 AND RD 0 ELSE 0 Where LD 1_iF RD 0 ELSE 0 h T z 4 I 1 h TBs ZLD l 1 Up Number Ratio T TD Down The Down Number Ratio is a measure of the number of periods that the Investment was down when the Benchmark was down divided by the number of periods that the Benchmark was down Where Ry Return for
264. mat Sheet unhide on the Excel menu bar Then select Peer Group Data to unhide this sheet 199 PerTrac User Manual v 19 1 5 Date Range Selection set your report Starting and Ending date range Since Inception to End of Data is the default setting provided the data series does not exceed 10 years This report is has a 10 year maximum date range There is a Use Common Start and End Dates option that will run the report over a common date range between the fund and the benchmarks There is also a Quarterly check box if you are running the report on funds with quarterly data streams or if you want to run funds with monthly data streams on a quarterly basis NOTE If you change the start date to reflect a date range longer than 10 years Publisher will automatically adjust the date range to a 10 year date range TIP If you elect to run the report Quarterly by checking that option you must select the MasterStyleReportQuarterly Excel template 6 The last step is to click the Generate Reports button This will open the report in Excel The report will be a read only file which means you will have to save the generated report with a different name For example you might want to save the file with the report date in the file name TIP You may make formatting changes to the report prior to saving You can add your logo to the report change the colors or format the report in any way using Excel s formatting functions You would then sa
265. ming Information and Category Pages Customizing the names of the 24 Information and Category pages can help you more quickly identify the location of the information in a record 1 Select Set Information and Category Page Names from the Preferences menu The 0 N i Data Sewer Woe rE nhon Woes File Hit iim Data Source box will display yder risma Peg Leto lism irismen Fag Labai the source of the current Sb investment metas iae t 2 Replace page names as oon aaa ea ese desired Placing an PR ea ese ampersand amp before a e oS letter allows you to use that 3 prat letter to select the page 5 eau eea w while the menu IS displayed 6 iE Campos Wink EE Ura Category Winder eae 3 Click OK 76 Single Investment Analysis 2 04 Investment Data View the online tutorial The Investment Data Window allows you to view and edit the performance data for the current investment You can open the Investment Data Window by clicking the Investment Data command button from the Current Universe Window or by clicking the button labeled San Data ote Pelimaca Fuada biana Phs Er E B L umuisie Haira from the Tool Bar ii Peai TTIE ii HO 1a TA ET blag Se is HH S50 OC ia H a Fi Mm Ape oe fl alt m A On tl oa H Aia Investment Data Window At the top of the window are fields showing the manager name investment name start ss seus and end dates and the number of monthly periods in the data
266. n Currency Denomination to JUNTED STATES DOLLAR Eura Hem Ineectmnnt Mamry be converted and then select the New Currency 7 Cet MAV F Coment Funde Managed Denomination to be Seled lhe To Dupe converted to l E Gensel iniaa Feij o leeden Pelumas Records 4 Elect to Convert NAV if your Smin inumainPags f Use Inomaton Page Mo Suen Category Peps lip Catagory Pages fund data sheet contains NAV a Seske Psgs F bom Hen Pace o vaules that you would like to 5sspiness EIEIO CONVERT convert to the new currency Canes Convert Funds Managed if you want this data also converted to the new currency or to Override Data Source 5 Select the qualitative information to be duplicated under the Select Items To Duplicate section 6 Once all the settings have been made click the Convert button 7 The new investments have been added to your database The default name for the new funds will be the old name with the new currency in parenthesis behind the name 154 Optimization amp Simulation Optimization amp Simulation 3 10 Linear Optimization View the online tutorial PerTrac includes both a Linear Optimizer and a Markowitz Efficient Frontier Optimizer These optimizers allow you to define criteria for optimizing a portfolio The Linear Optimizer displays optimal portfolio allocations ranked from best to worst targeting a specific statistic The Efficient Frontier Optimizer displays an Efficient Frontier Plot along
267. n the Linear Optimization Setup Window clicking Show Table allows you to return to the Optimization Table Window 157 PerTrac User Manual v 19 1 Optimization Scatter Plot Clicking the Optimization Scatter Plot button at the bottom of the Optimization Table opens the Optimization Scatter Plot as well as its corresponding Allocation List Box The scatter plot is a graph that plots the Compound Annual Rate of Return on the y axis and the statistic by which the allocation is optimized on the x axis Like all other PerTrac charts and graphs the Optimization Scatter Plot can be edited saved or printed as described in previous sections For more information see Editing a Chart under Investment Charts ab keke ale ey ee Optimization Scatter Plot Sed Allocation List Des ea Po inwesiment Allocation Barra SAP s00 0 00 CSFB Tremont Hedge Fund index 25 00 Lehman Aggregate Bond index 25 00 Lehman High Yield Creda Bond Index 10 00 ML 3 nmvanth T Bills 15 00 MSCI EAFE Net 0 00 MSCI EMF Emerging Markets Free Net 0 00 MAREM All Total 25 00 Russell 2000 Index DRN 0 00 Wilshire Mid Cap 500 Index 0 00 Total 100 00 Max Sharpe Raio Monthly 0 21 Compound Annual ROR EEFE honthly Average Relum 0 71 Monthly Standand Deviation 1 45 htonthly Sharpe Ratio 500 0 21 Max Sharpe Ratio Monthly Naximum Grawdown 5 96 ee85553 ER d d oe E E or T E af a 3 a G T Cop
268. n 1 BS l Gay paper O f akai OD arira aoa a Temi bumnay Sane e Warning a pone ae ano a Poured Wirang Pente T E Search Crie Pairi nee Cid Metua European Satisi neufioent Data Por Sharetard Deviaba HERS i Aerated Sharda be Urram se Ad ue Od Ptualfropean State ireuifinent Gets hor Gtorelard intic Pee dhi Annuaire Seared De apg pog 2 0a Auta Doen Sete Poe a Poe Bid Daruba P a rrain Sard ie 5 Ard z ki 127 PerTrac User Manual v 19 1 The Search Criteria Report provides a detailed breakdown of which funds passed or failed at the criterion level Each of the search criteria will be listed by row which can then be expanded to show a summary of the number of funds that passed or failed each individual criterion You can then expand the passed or failed options to view the list of funds Note There is a Warnings box located at the bottom of all three reports This window will list funds with bad or insufficient data In this example report window above the funds listed in the Warnings box did not have sufficient at least two months data to calculate the standard deviation search criterion TIP To create a universe of just the passed funds click the save option on the menu bar Save All Passed Funds to a universe This is helpful if you had not saved your passed funds as a universe prior to generating the report In addition the funds listed in all three reports will have check boxes in front of the fund name Us
269. n Alpha is equal to the investment s average return in excess of the risk free rate minus the Beta times the benchmark s average return in excess of the risk free rate Active Premium A measure of the investment s annualized return minus the benchmark s annualized return Information Ratio The Information Ratio is the Active Premium divided by the Tracking Error This measure explicitly relates the degree by which an investment has beaten the benchmark to the consistency by which the investment has beaten the benchmark 95 PerTrac User Manual v 19 1 96 a Start The earliest month taken into consideration for the benchmark In order for correlation statistics to be accurate the benchmark data must coincide with that of the current investment Therefore the Start Date for the current investment must not fall before that of any of the benchmarks If this is the case the data for the benchmarks will appear in blue indicating that there is insufficient data to perform a proper correlation analysis To display more accurate correlation Statistics you may change the Start Date of the current investment so that it does not predate the benchmark data End The latest month taken into consideration for the benchmark investment Accurate correlation statistics require that the End Date for the current investment must be after that of any of the benchmarks lf this is the case the data will be displayed in blue as above
270. n investments that are no longer used within your current allocation 3 Once the universe is open the first column in the spreadsheet will be labeled Date and the last column in the spreadsheet will be labeled Total Allocation Between these columns will be a column for each item in your universe you may need to use the scrollbars to view the entire spreadsheet Enter the date on which you would like your portfolio to begin in Row 1 of the Date column 4 Enter the desired allocations using either percentage or decimal numbers i e 15 and 15 are interchangeable It is not necessary to enter an allocation if you wish to exclude an item from the portfolio As you enter your allocations the Total Allocation column will display the sum of the current month s allocation 5 Your allocations can be ce ae SS ET ne er Bows a ee te entered on a monthly basis if aii E a you know the allocations at the end of each month Your other option would be to allocate only when you wish to rebalance the portfolio For example if you begin with Jan 1990 on Row 1 and 178 Portfolio Construction want to either rebalance back to that allocation or change the allocation for May 1990 it is not necessary to enter allocation values for February March and April The February March and April allocations will change based on what the asset performance basically no rebalancing In this case the date for Row
271. n on the universe allocation page but the common date range between the pairs of investments being correlated How do optimize funds with short performance histories An issue that arises frequently with PerTrac users is that of optimizing a universe of investments that contain funds with a short date range The Efficient Frontier Optimizer requires a common start and end for the investments being optimized 282 Frequently Asked Questions FAQ When your universe contains new funds with short date ranges your optimization period will be restricted to the shorter date range For example if you hada universe of ten funds nine of which have five years of data and one with six months of data the optimization period will be restricted to six months If you wish to proceed with the optimization you will have to make a decision regarding this issue There are five possible solutions to this situation 1 Replace the investment restricting the date range with an appropriate benchmark proxy that has a longer data history 2 Back fill the investment data stream with a benchmark s data This option would keep the short history of data for the investment and back fill the remaining history with an appropriate highly correlated benchmark Note To back fill the investment data make a duplicate of the original click Investment Data to open the investment s data sheet insert rows above the investment s first data point and then enter
272. n tame tara ban eo as aan a select Display Universe Only iroi the Universe menu and open the seid universe paras At any time you can open the Workbook Designer which will transfer all the current data to a worksheet that can be formatted and edited This is done by either double right clicking over the worksheet or by selecting Open Workbook Designer from the File Menu 239 Peer Group Analysis 6 01 Building a Peer Group Database 1 Once you have created the peer universe click Peer Group Analysis i i het located on the bottom of P T leik LCV pees AEJ Inwesinents Curent indices So Benchanarks the Home window AE Funde Test Velen Edy GST almas 00 E AS Furi Tu ales E qui aSa CSF H T mara Hedga Furi Irika AE Furi Trust Value Egay GS6 CF B T rmat HF Coraatibie Abiye 2 When the Build Peer in imho vse n CSFD Tremont HF Dedicated Short Bias G D t b ABH AHR TAHAD Lage Cap Yake H CSFH T reant HF Ermenging blerkels rou p a a ase Acckib E TEES CSF A T marat HA Egi Hk Ait Peace Was Pay oF H I neceont HH Ewer Dirar 4 z ora Vake A CSFD mmort HF Eve Orreer Diresse Window ope Ns click AM Bane Yaa CSFH T remont HF Feed become Achaia n Al IL M Caps B kht Yai beret CSFR T ives HA Glew H Select Peer Universe TO AM Luge Cap Basic vaie knw CSEB T remont HFI Long Short Equity p Alliencetlemsten Groth amp Income fide HPAL Correertibie Arbitrage Iride Alien e
273. n the peer module all files will be saved to this folder 7 Style Folder When creating style databases for analysis in the style module all files will be saved to this folder 8 Simulation Folder When creating and saving simulation table and chart files all files will be saved to this folder 9 Reports Folder All PerTrac Reports tpl files will be saved to this folder 10 Search Folder All saved search files created in the Search Builder will be saved to this folder 11 Description Files Folder By default all data vendor description files will be located in this folder typically the same as the application folder Description Files A database may contain items from several different sources data vendor or user entered data Each data source has its own collection of field labels to accompany records In the example above for instance the Data Source is User as indicated in the Source field just above the second column of check boxes By the time the Investment Information window opens PerTrac has identified the data source for the current investment and supplies the appropriate labels for each text box and check box These labels are initially stored and accessed from your C PerTrac folder or another directory where you ve installed program The example above shows the General page of the Investment Information window which is just 1 of the 25 pages that use description files and displays the labels f
274. n which one you have selected 4 Min Max The Min and Max options will allow you to set the Y axis scales on the upper and lower charts 5 Rolling Periods This option allows you to enter the rolling periods over which the correlation statistics will be calculated 6 Show Last Periods This option with set the scale on the X axis 7 Start Date End Date These windows show the date range of your analysis The start date shown will be the common date range of the funds in either the Investments or Factor universes For example if your Investments universe has a common date range of Jan 1990 that will be the 143 PerTrac User Manual v 19 1 default start date If you then select a Factor universe with a common start date of Jan 2000 the start date will adjust accordingly Note The start date will only change when you select a Factor universe You can not manually change the start date You can however change the end date 8 Display Investment Labels Each investment in the chart legend is assigned a number Click Display Investment Labels to add the investment number to the chart This will help distinguish the investments on the chart 9 Refresh Charts Click the Refresh Charts button when you change any of the following options Rolling Periods Show Last Periods or End Date If you change any of the other options Upper Stat Lower Stat Min Max Display Investment Labels the charts will update automatically Chart Fo
275. n you merge the database whose investments have assigned benchmark universes this option will also merge your assigned benchmarks Data Manager NOTE This option should only be selected if all potential users who will be merging data and want to merge benchmarks are on the same network There are files associated with assigning benchmark universes and for this option to work between users they must be sharing and mapped to the same network folders Proxy Firewall When updating your Merge 7 Validation Proxy Firewall Automated Data Download database with the Automated Data Please contact pour System Administrator for Proxp Firewall informatpon Update feature the RE Use Frewad Setting IY Ure Proxy Settings Data Manager will Pade Por Padte T access your server ss Ron woe OSR Uie Nenel See prior to downloading Paseet Ct Pesto Pot the data from our website You may receive a Data Gace ok Manager error that will prevent the process from completion due to your Firewall Security Settings or Proxy Settings If you receive an error message have your System Administrator enter the Firewall and or Proxy Settings in this options window Automated Data Download P Altvest E Barclay CTA z Check All Barclay Hedge CISDM Evestment Enhanced Monthly Evestment Enhanced Quarterly SEEREN Evestment Standard Monthly Evestment Standard Quarterly HedgeF und Met Full wt Cancel OF P
276. nient charts pertaining to the current investment Each chart VAMI Chart Benchmark Chart Rolling Statistics Chart and Distribution of Returns Chart provides a quick visual representation of f the data and also contains a multitude of layout and print options Clicking the Chart Options button will provide you with several customization features Of course this is just a hint of what you will be able to accomplish through the Investment Charts Window explained in section 2 15 below 100 Single Investment Analysis 2 15 Investment Charts View the online tutorial PerTrac gives you the ability to quickly create edit and save a wide variety of charts created in the Investment Charts Window by clicking the Investment Charts command button from the Current Universe Window or by clicking the button labeled Charts from the Tool Bar Enter Chart Type For Sample Fund M Chat Type Second r C Hore M Viokatity Bard Mowing Average C Dolas Under Managenerd C Peacen Rate of Return Mowing Average l s l CS C Fecen Rate of Rebum Cumndstiwe Dolla Proft M MovingAverage Cumulative Dole Profit C Dollars Under Management Linear Flegression Momentum Index WA C MAM t MAW M indek C Distribution of Retume Holing Statshes Roling Statishes Options re f Compound Rebum Downside Deviation M amp A M Anmualize Statistic k hemara Standard Deviation M Downside Deviation RF Show Rate of Retuin Bars
277. niverse Window the Allocation and Leverage values will be displayed in brackets following the name of the investment When you open the Asset Allocation Window for this universe the Allocation and Leverage fields will automatically contain the saved values Converting a Portfolio to an nve st me nt Convert Portfolio To Investment There are two areas in PerTrac to Enter New Investment Name construct allocated portfolios Here Sampie Irvvesireen using the Convert Portfolio to Investment option and the next section Enw _Gercel_ DataSource Ure 3 05 Portfolio Builder Examples of allocated single investments would be a fund of hedge funds a diversified portfolio of investments or a policy benchmark comprised of allocated benchmarks Clicking the Convert Portfolio to Investment button will open a window to name your composite investment Note that the data source is User which means your new fund is not associated with any data vendor investment All portfolios that are converted to an investment will appear in the investment list in the Current Universe Window and can be treated in the same way as any other investment This is therefore an ideal method of creating an index with which to make a comparative analysis TIP It may be a good idea to label both your investment and universe with the same name You may not recall how you created the investment unless you have a saved universe file with the allocation per asset
278. nor Ratio developed by Jack Treynor is similar to the Sharpe Ratio except that it uses Beta as the volatility measurement Return numerator is defined as the incremental average return of an investment over the risk free rate Risk denominator is defined as the Beta of the investment returns relative to a benchmark In PerTrac 2000 the user enters the value for the risk free rate Where We Annualized Return of Investment Where R pee Annualized Risk Free Return Treynor Ratio M R RRF Beta Jensen Alpha The Jensen Alpha developed by Michael Jensen quantifies the extent ta which an investment has added value relative to a benchmark The Jensen Alpha is equal ta the Investments average return in excess of the risk free rate minus the Beta times the Benchmarks average return in excess of tne risk free rate In PerlTrac 2000 the user enters the value for the risk free rate Where R Benchmark Return for period Where RD Return for period Where Mp Mean of return set R Benchmark Where Ml eo Mean of return set RD Where N Number of Periods Where R pp Penrod Risk Free Return i MegA 2 Ri N M Map ERD N l 1 Jensen Alpha Mro F rr Beta x Me Rer 2 6 Statistics Definitions Sortino Ratio The Sortino ratio is another return per unit of risk measure developed by Frank sorting Return numerator is defined as the incremental compound average period return over a Minimum Acceptabl
279. notice an option for Stat End Date Parameter Remember this is an option in the To field for the end date in the Search Builder window This option is a shortcut when running searches each month allowing the statistic to be calculated through the new month end date It saves you from having to enter the new end date each month Check the Stat End Date Parameter box on the Batch Search window if any of your searches contain statistics criteria with End Date Parameter 130 Universe Multi Fund Analysis 3 06 Pro Forma Table The Pro Forma tables allow you to view a variety of historical performance and r summary data based on the z555 allocation settings for the current universe To open the Pro Forma Window click the Pro Forma button from the se Asset Allocation Window 5S 4 monies ee At the top of the window you eel ana ee will see the Pro Forma zn Wf we eee Rebalancing and Summary buttons These allow you to quickly baa among the three tables contained in this window When the Pro Forma Window is first opened the Pro Forma Performance Table appears Pro Forma Table This table provides monthly or quarterly data depending on your selection in the Asset Allocation Window The pull down menu in the top right corner of the window contains a list of each investment in the portfolio allowing you to view the data for an individual investment The list also contains a Portf
280. ns 84 Previous Displays the data for the previous investment in the current universe list Next Displays the next investment in the current universe list Statistics Displays the Investment Statistics Window for the current investment Information Displays the Investment Information Window for the current investment Export Copies the current data record including column headings to the clipboard Import Pastes contents of the clipboard into the current Investment Data Window after checking for formatting or other errors Calculate NAV Uses the values in the Performance column to calculate a NAV for the same month the appropriate cells in the NAV column must be highlighted Calculate Performance Uses the values in the NAV column to calculate the performance for the same month the appropriate cells in the Performance column must be highlighted Enable Editing Allows users to edit the Investment Data Table Disable Editing Prevents users from editing the Investment Data Table Recalculate Updates the VAMI and Return to Date columns of the Investment Data Table based on the values in the Performance column Fill Dates Uses the last highlighted date as a reference to fill any blank highlighted cells with dates Dates End of Month Converts all highlighted dates to reflect the last day of the month Single Investment Analysis e User Data Displays the User Data Table see below
281. ns click Locate to selectthe sua nu ATERS aie desired universe Dr Fpi Dalii w Pigion a Daia Era of Dita Chew Psy rth Chs C Feedba Fis Gate j 3 Choose the type of report you wish to create 4 Using the Start Date and End Date boxes designate a fixed or specify that the report should cover the full history of each fund 5 Ifthe date range of an investment is less than the fixed date range you can select either to exclude it from the reports or print the report using the available data 6 Click Print to finish Tee Page vs Date Prd Fagon Chat Ophea Weare siec ophore snd prasy Prd Conceal E You do not have to format charts every time you print a new report You can store your chart settings by clicking Chart Options from any of the Investment Reports setup windows This will allow you to use the Chart Designer to edit the chart to your liking When finished click the Save Settings button NOTE There is only one option to produce the universe reports Print Report which will spool the reports to the printer 183 PerTrac User Manual v 19 1 4 03 Print Investment Information amp Statistical Tables You can also create single investment reports that include only the information or statistical tables that you select over a time frame that you specify Selecting Print Investment Information and Statistical Tables from the Reports menu opens the Investment Tables Setup Window The Investment Tables
282. ns that contain formulas will initially show a value of zero since they are referencing cells that are either initially blank or initially contain zeros Other formulas will initially return an error message that indicates that the formula is attempting to divide by zero These zeros and error messages will be replaced with actual numbers as you enter the investment data on which the formulas make their calculations The following columns contain formulas 85 PerTrac User Manual v 19 1 e Beginning Equity Except for the first row which requires a value to be entered beginning equity for any month is equal to the ending equity from the prior month e Change Unrealized Unrealized P L for the current month Unrealized P L for the prior month e Total P L Realized P L Change in Unrealized P amp L e Ending Equity Beginning Equity Additions Withdrawals Total P L Interest Income Management Fees Incentive Fees Expenses e Monthly Return Ending Equity Beginning Equity Additions Withdrawals 1 e VAMI Prior Month VAMI 1 Monthly Return In the first month the formula is 1000 1 Monthly Return Clicking the Previous and Next buttons allows users to navigate through the User Data Tables for other investments within the current universe The Copy button allows you to copy data in the same way as you would from the Investment Data Window Entering or Editing Data in the User Data Table The User Da
283. nt Information is automatically displayed when you open the Investment Information Window and includes fields such as company name address and phone numbers as well as investment specific information such as start date minimum account and fees If you purchase data the database vendor supplies the Single Investment Analysis information in these fields and field names User files can be programmed as desired Clicking the Enable Edit button allows you to edit or add information For information on editing information field labels see Customizing Field Labels later in this section The Investment Strategy Description box is located at the middle left of the General display of the Investment Information Window This field is used for vendor supplied descriptions of investment managers or for any other relevant information that is supplied by the data vendor and not found in the investment information fields above The scroll bar allows you to view of the entire field The contents of this field can be copied to another application by using the right click functions to copy and paste NOTE If you edit the General Information page by changing the field labels or values for an investment that is part of a data vendor database your changes will be overwritten when you subsequently download and update that data vendor database The user entered Strategy Description box is located directly below the Program Description box Unlike the
284. ntain no duplicate funds 3 Errors This tab will list any errors generated when running your search Typically the errors will refer to selected criteria values entered or the logical order of your search criteria PerTrac Version 6 0 19 New Feature Summary Grouping Nesting Your Criteria Search Builder allows for grouping your And statements or Or statements based on the logical order of your search criteria For example if you wanted to find all HFR market neutral funds or Hedgefund net market neutral funds prior to running your Stat criteria you would group together your Info criteria to find all market neutral funds first See the screen below Pur Trac Search tuilder e ames gai Fie Eji ye un Helo Saed Sagres Sampie Search Saarnch hia Sample Search Liner ae Curent Untverce Al umi om ARCYCS miota Caa Source Cribari Omer ator ET Fra To Benchenarh Pemodd b x Buri fpo wjn b Eq Maret hauia n sero oF w i its hedgefurdinet Uy Market Metra guy hue AACE infofStet Daa BUDE Triei Dre or Veh Pram Te Bench Ai CometToaGou F i Value Hints OF Option E Errors In addition you could highlight the Stat criteria rows and click Convert To Group on the lower left to create a group of your And criteria Note You can group funds from the Edit button on the menu bar by right clicking on a row or by way of the Convert to Group button that appears when you highlight
285. nth year format For example January 1990 can be entered as either 1 90 or 1 90 If you would like to enter dates for several rows at a time drag a selection which encompasses both the most recently entered date and all the cells in which you would like to enter dates then click Fill Dates Also since the month year date format assumes that the date is the first of the month you may want all the dates to indicate the last day of the month To do this highlight all the dates that you would like to alter then click Dates End of Month While the day of the month 40 Getting Started will not be displayed in the cell itself the change can be viewed in the Cell Contents Field just above the data table 6 Move to the Performance column either by hitting the Tab key or by clicking on the appropriate cell You may enter percent or decimal format by selecting ether Enter Performance as Percent for example 2 5 entered as 2 5 or Enter Performance as Decimal for example 2 5 as 025 Enter Performance as Percent ie Enter Performance as oS button just above the formula bar 7 Alternatively you can copy an entire series of data from a spreadsheet and paste it into the date and performance columns 8 If you are tracking the dollars under management for the investment or a fund NAV you can enter the Dollars Managed and NAV in their respective columns If you do not know or do not care to track the Dollars Managed or the N
286. nu contains a list of the indexes in your style Style Map Setup fom E Lange Cop Growth Aine Top 300 Grows Indes AI Fi bal hijap Greh indes DAI Fiere SOD rh lke COA Fiul Top 200 Vike bracken DAI Fiene icc age Vadis Becks ORI Foei AO aka brez DAI Mag Style Cox BF Dae Coe m Eni universe Depending on your map dimensions select two to three value indexes for the x axis and two to three growth indexes for the y axis 3 Click Save 4 When the Save Window opens keep the default file name and click Save PerTrac will store these settings in your Universe folder with an smf extension With the exception of the extension the file name must be identical to that of your style universe so it can be recognized by PerTrac 5 05 Style Analysis Advanced Setup The Advanced Setup allows you to apply upper and lower bounds to your indexes as well as define constraints for the sum of the style allocations 1 Click Advanced Setup from the Style Analysis Setup Window 2 When the Advanced Style Analysis Setup Window opens adjust the upper and lower bounds for each index as needed You can assign a value to all the indexes at once by entering a percentage IN either the susarsa m Equa f Grasi Set Minimum or Set Maximum boxes Adem red H yie Aunaby eis Gebup Ruse Top SOO Geren indar OFT Rupee Top J00 Yale index ah Rutee 2000 Ginn inees An Rice
287. nvestment you wish to convert then from the Tools menu select Currency Conversion There are three options Convert Investment to New Currency Convert Universe to New Currency and Edit Cross Rate Database Prior to converting the sila or universe to a new currenc the Cross Rate Database must be KASASAR updated h ee S 1 The Cross Rate Database can be edited by selecting Edit Cross Rate Database from the Currency Conversion section of the nuro Tools menu Click the Select a or a Database button on the lower Sewwa l left hand side of the window SS e When the file selection window appears select the file PerTracCrossRates cdb and click Open A list of currencies will now be listed in the window You can now Add Remove or Edit Currencies ri L E EPEE mi i i mt ve Tue ht are rry z o E m gP os i te TF iT m F Las F K Li NOTE New currency rates must be entered each month The currencies that come pre loaded have not been updated since September 1999 However we now upated the G7 currency rates which can be updated monthly from the Utilities Documentation link on our Training amp Support http pertrac com site Each month you will Save the new PerTracCrossRates cdb file to your PerTrac main folder 2 Once the Currency Cross Rate Database has been updated click the Convert Investment to New Currency option
288. o C Annualized Alpha C Trema Aati C Down Capture Aaltio C Beta l Jensen Alpha C Up Number Ratio Up Conelaton Fil C Active Premium C Down Number Fatio Down C R Squared Information Raba C Up Periods Outperform Aatio Up 4 C Covearance C Down Periods Oupedo Ratio Dove C Percent Gain Ralio 4 Gan i Compute with common period data if full data is not available Meith utterly ox Cancel 1 From the Statistics Correlation Matrix Options Window select a Statistic for the Correlation Matrix 2 If you would like to build a correlation matrix even though some investments have insufficient data check the box in the lower left corner 3 Select whether to use either monthly or quarterly calculations 4 Click OK Correlation Matrix fo Print Statiethces Correlation Tables Bret Print Preview PartSetup FageSeup PrvTies Saves A a i wi E F iG H ll K Correlation Coefhcient Jan T379 to Juhaa Barra CSFB Lehman Lehrnan MLS MSc SCI WAREIT Russel Wilshire S amp P S00 Trement Aggregate High Yield morh T EAE EMF All Tolal 2000 8 Wid Cap Hedge Band Gradi Bilg Hsi Emerging Indios SLU index Furig Index Bond DRI index indeys Bama S amp P S00 ae 4 2719 0 453 08s Fi 0682 CSFE Tremont Hedge Fund Index BS 4 1 0 359 O45 5 D71 Lehman Aggregate Bond Index 218 r l1 Dir gt 105 40 143 Lehrman High Yeeld Credit Bored leche 1 000 0 467 ML 3 mionth T Bills 0 174 0 141 MSCI EAF
289. o move the selected row up in the Search Builder table Marat 5 Click Add Row Below to insert a row below the highlighted row 6 Click Delete Row to delete the highlighted row Value Hints Options amp Errors i Value Hints Options FJ Errors These tabs appear at the bottom of the Search Button window Information related to these tabs is displayed in the area just above them Value Hints This option applies to statistical criteria and will display a definition of the selected statistic and hints related to values the user could enter for that statistic 2 Options There five available options View Criteria By option to view your Criteria selection list by category or alphabetically Automatically Launch Search Report Window This option will automatically launch the search report when the search is PerTrac User Manual v 19 1 complete Note Depending on the size of your database the search report could take some time to run You may want to uncheck this box You will always have the option to manually run the search report when your searches have run Use PerTrac ID Fund Groupings and Data Vendor Priority This option when checked will result in a de duplicated universe that contains only one record for each investment when you search is complete In the case of duplicate records for an investment PerTrac will choose which record to keep in the results universe based on your data vendor priority selected
290. o the left of the Benchmark names to select the allocations to each benchmark 5 Template Selection Click the _ Locate Template button and the PAISATA custom reports folder will appear 3 a ao m with a list of Excel template files E rir Brasaretene Bet at There are two pre built files for this nemem Sets icere Prines 1 to to Porttciossis Sataartlarirnngiepo sa report that should be used initially Di o a ea The MasterStyleReport designed i aie for funds with monthly return streams and the MasterStyleReportQuarterly designed for funds with monthly or quarterly return streams 194 PerTrac Publisher Reports NOTE when the Save Reports in Folder option is selected you must click the Locate Folder button to select the folder in which the reports will be saved NOTE You also have the option just below the folder window to Overwrite Existing Files When the report is saved to a folder the name of the file will be the name of the fund if you choose this option 6 Date Range Selection Set your report Starting and Ending date range Since Inception to End of Data are the default settings When the Specific Dates option is selected you can type a start and end date in the Starting and Ending date boxes Under the date range option you can elect to Use Common Start and End Dates the common start and end dates for the fund s and benchmark s to run the report Quarterly or Limit report to the last 10 years of data T
291. oc Clears all values in the Allocation column EF Reset Lev Clears all values in the Leverage column Cancel Closes the Asset Allocation Window E Convert Portfolio to Investment Allows you to convert a portfolio of investments or benchmarks into a single investment Save Settings Allows you to save the investment names allocation percentages and leverage values as a separate universe NOTE The following buttons initiate commands that will be discussed later Statistics Opens the Universe Statistics Window allowing you to display a variety of statistics for each investment in your portfolio Correlation Analysis Allows you to create correlation analysis tables providing an indication of the diversification of your portfolio Charts Opens the Universe Charts Window allowing you to quickly create edit and save a wide variety of charts for the current portfolio and the underlying investments Pro Forma Opens the Pro Forma Window allowing you to view a variety of historical performance and summary data based on the allocation settings for your portfolio Efficient Frontier Optimizer Opens the Efficient Frontier Setup Window displaying an Efficient Frontier Plot along with a 180 Portfolio Construction corresponding Risk Table Allocation Table Allocation pie chart and tracking error pie chart that displays a Markowitz risk return optimization Linear Optimizer Opens
292. of the upper menu bar and then select Excel The Generate Report window will appear verifiying the universe you just selected Click Yes The Peer Group Analysis window will open which contains the Enter 287 PerTrac User Manual v 19 1 Universe Name for Comparative Investments universe selection This is the universe of investments that will be plotted on the bar chart Click Locate on the upper right to select your universe Now locate the default chart file The window below the Enter Chart Template for Comparative Investment Plot should contain the path to the default chart file If the window is blank click the Locate button at the end of the window The correct file path is C PerTrac PeerGroup lemplate Defalut vtc The last option is to Enter Percentile Chart Preference The options include Decile Quintile Quartile and Quartile 95 5 which will determine how the bar chart is formatted When all selections have been made click OK Step 6 Generate the report After clicking OK in Step 5 the Excel Export Setup window will appear Select Empty Excel Workbook Leave Excel Open and check the Fomat Output option Then click Generate Report An Excel spreadsheet will open which will contain the output for each fund in the two universes In addition to the Excel spreadsheet a Peer Analysis bar chart plotting your investments relative to the peer universe will also be created What do statistics shown in the col
293. ohject id W dbo bR_cCeEeT_ PERFOR i procedure dho DH_GET_PERFORHMANCE HONTH COUNT Success uly beadad query file C liPherTraciDatebase PerTrac_Blark SOM 6 Ouse Eo bine Dobie 49 PerTrac User Manual v 19 1 step 7 Click the PLAY RUN Icon see above on the tool bar This will execute the selected script Warning errors are nomal during this process Close the query window Query HY CE Master Ol St S RENOOF FRE Hyos Hand C Wer Irac Walahar Per Irac Blok SO G Oeni 1i ewiata rpi PA G vyba GF bel mete g laat 1 ECO Geo wale tee Es where 18 Shite Lait fae on DEL PEAPORRAEE Arep preqedure dba DE BEL FPERFORBAHCE Bn IE ghisi pelect Erop dbo ayribjmata where id abject tai o PN PEST FEAD INTO Hcop piocedure dbo PN_PEJI_FREAR IHF select Erom dbo sgysobjects where id ebject_ id i dbo EA_FiH MARE ORIECTRPRGFEPTT id HT irop procedure dbo PR _F IND_AMABE a E COTAL row sine 10739 for rable Tatoreation eceeds thE akim miber of bytes pee row 8060 Rowe chat nA The ror l cow asire 10739 for trable Information ekgeeds the mak imm meber of byrtres pee cae 5040 Rowe chan Eers tee DT DE im i Cai 1 3 a Setting up Users The User setup process depends on whether you use Windows NT Authentication or SQL Server Authentication The most secure method is Windows NT Authentication and the process is displayed below PerTrac SQL supports both Giving U
294. olio selection that will re display the data for the entire portfolio The Pro Forma Performance Table includes the following columns 131 PerTrac User Manual v 19 1 1 2 3 4 5 E 7 E g 3 Pro Forma fa 3 C D E Portfolio o July 2004 10 044 663 9 O00 325 10 080 681 10 624 Seo 10 576 422 10 340 468 10 821 162 10 726 890 10 601 763 10 7932 054 17 145 358 11 918 S34 11733 495 12 229 670 Dien I 235 737 281 S66 534 078 g 508 926 10 090 891 10 624 S69 10 578 422 10 940 455 10 821 162 10 725 890 10 601 763 10 792 054 11 145 358 11 318 934 11 733 496 12 229 670 12 340 938 Sunmnary Powthodio F 12 340 535 11 901 761 p Date For monthly data this will display the month and year of the data in that row For quarterly data the date will be the last month in the relevant quarter Beginning Equity The first value for this column is the dollar amount that was originally entered in the Total Allocation box or for individual investments the corresponding percentage of that dollar amount Additions Withdrawals This column shows the equity added or withdrawn from each investment during re balancing On the portfolio table this column will be blank because the re balancing assumptions only affect the individual investments 4 Profit Loss The calculated dollar profit or loss for the month or quarter Ending Equity beginning equity plus additions and withdrawals and
295. omated Update Please see the instructions listed under Updating Your SQL Databases Quick Merge below NOTE Most index and third party databases are available to download using Automated Data Update See that selection for more details 1 5 a Updating Your SQL Databases Automated Update 2 Data Manager File Options Help ey Automated Data Update Each of the databases being analyzed within PerTrac should to be updated either monthly or quarterly depending on whether the database is provided ona monthly or quarterly basis This will insure that you have the most current investment data in the database or databases you are analyzing Periodically you will receive an email from Strategic Financial Solutions LLC informing you that one or more of the databases available for download with the automated update feature have been updated 3 Quick Merge Validate Database A Compact E Error Log Aulo Data Update and Merae Pla Options Step 1 Select Automated Data eee ates Fam Update from the menu and the Auto Data update and Merge window appears Database 1 H aa 3 Daaba a Database wy r Database 4 Sai Database l Download only Dieweoad Fotder M SOL Server Destinator License Mo M Delte Downloaded Zip File Delete Uncipped Database Synchronize Perfomance misero Seesama Cosota Youle Ea Le Performance me 2 r Investments OOO
296. on Databases The update may take time Data Manager by default backs up your database prior to updating TIP If at any time in the future you wish to view a tutorial further illustrating the use of the Automated Update feature click on this link http support PerTrac2000 com tutorials asp 1 7 Merging Databases Manually View the online tutorial The Automated Update feature allows you to download and merge any database available on our support site However you may subscribe to data vendors that do not provide downloads from our support site i e TASS Eurekahedge etc that you want to merge with your Master Database To perform this task we have created a program called Data Manager To access the Data Manager from the Home window click on the Tools tab then select the Data Manager option The following window will appear Selec Source and Destination Databases and dick Merge When the Data Manager program pease setoct a Source dntabane opens select Quick Merge from ae the options located onthe upper C CO tool bar The following screen will queens wr Meee A Winer Sieger Indepth Duta bers appear Tinio Pido Firace alod a Destnaton dalabasce trom the lest PerTrac User Manual v 19 1 To merge databases together only two steps are required Click on the Source Database button A file window will open allowing you to select the database you want to merge Select your dat
297. on Command button from the Current Universe Window e Clicking the button labeled 2 from the Tool Bar e Double clicking on the investment name for which you wish to view information information Sample Market Neutral Fund Ej Gerard oo ces By Moles G intonation Categories FE eer information F U Categories GR vem te a Sampe Mikel Hayka Fund 11713 Hanaga Fee T0 bearta hii Bica High 4 aber Hink Guata Hundiks Fiats 1 Tea leveestor Tyce Hon Recon She Irearhnsri pia Daia Bieta Dea Subscngion Rieecdereptice Lecter bog Redenmpion Nooce Sampe Makai Hadia Fund 200 Marn Siea 11ih Hii Radons Toi Fas Het of Al Fes ly prape com Brace Gland p Fa Cite 5 ehir Bee bb Fi High Sera Acoociader LTO hice fa pers Oo Marketing Conis Peron Humba Serer alin Pi Sagit Bake Haura Fud i diag bo Gali HHE n polenta from maka pina p Higa wile peber aia TF gioko Hrabiny ct deag bo pees siaa ana gi iha ponit cia mG ependenl of ihe pefoiaree of fee ppa makai The S4rple Markel Hadia Fiar ias bolh aaa ane Quanklalrne wre med pecs thal sopip a collector of une ace Popielay actet Managemen diaga ho 4 dreetohed potioks ol jaccets The medmeti process begins mih the selection of baih buks finn ard basah hhl oppoturiies based on cure prognelary nveciment models The wmesiment puiet aa ed using jtmetected cima that ncopotates the undedying companies Tundamenhal value cate of poih and the secuies
298. on will export the Search Summary Report to Excel VI Batch Searches This feature will allow you to batch run any number of saved search files created with the Search Builder For example perhaps you create 15 peer universes each month In the past you would have to possibly run numerous individual searches and then save each resulting universe With Search Builder you can now save each of the 15 peer searches as search files Using the new Batch Searches you can run all 15 saved searches at one time The Batch Search feature can be accessed with the Search button at the top of the PerTrac window or from the Tools menu in the menu bar Once selected the Batch Search window will appear 13 PerTrac User Manual v 19 1 _ E r 7 T a r Z Beoh Search AX fle fe Yew Eu Seeed Batches bangi Batch Batch Search Meee engin fetch Batch intry 3 gt z Tar E ni J 1 Det ol Search tere Unni bo arch Bint iannis fave Excel Figari ae ee l S J ii etal Rapai faai wWiredows Ban Bardu b i E Sample Search 2 Maher esa Allure Sameie Search I Sample Se uenpie bort J Masher Universe Al ure Jampie Seach J Sanaa Sop w Cape h ai 7 Hihi Unteer ae Air Samgie Search 4 l Cane Se i z Blo re tier 1 j wr j f B i z ball I Acid B s Abus al ail a aadi Aij Piz E Cee Homa R Gatch freee go Batch Bens Cipri ar a Sta
299. options will open the new PerTrac Search Builder window Pe Lg ae Bu Hep See Sec u foes Pee nee Ue Uae ier a BED oe nthe Lat Date Lauer Trims rE Yai a Proa To Bera hinari aT p i U a Bun i arr A Fira Ea kii Rice Hire deel EF Prim a Search Builder Table Options PAD OR PvojStat Data Source Crtena Operator Vane From To Benchmark Period 1 And Or These options control the logical order in which the search will be run 2 Info Stat Select Info to choose from Investment Information search criteria or Stat to choose from quantitative criteria 3 Data Source Allows you to select which data source to use when searching on information fields Different data sources contain somewhat different information fields the information fields listed in the Criteria column will depend on which data source is chosen Multiple data sources can be included in a search by selecting different data sources on different rows in the Search Builder 4 Criteria This is where you will select the actual information or statistic field to be included in the search Note The available statistics are currently the same as those available in the statistics search function of 120 Universe Multi Fund Analysis earlier versions of PerTrac However more statistical search criteria will be added in the future The available Info or Stats fields can be viewed either in one long alphabetically ordered list or grouped into v
300. or blue signify The color blue is somewhat of a red flag Statistics and performance measures shown in blue indicate a situation the user must be made aware of There are two areas in PerTrac where you might find statistics in blue Investment Statistics and Universe Statistics 1 Investment Statistics There are two tables located in the Investment Statistics window where you will frequently see statistics in blue a Date Return Vami and To Date table located in the upper right The color blue in this table indicates that the monthly return s are coded as estimates b Benchmark Analysis table on the lower right The Benchmark Analysis table contains correlation statistics and capture ratios relative to selected benchmarks The color blue in this table indicates the statistics are not being calculated over the date range shown at top of the Investment Statistics window TIP To see the date range on which the statistics in blue are being calculated on use the Benchmark Analysis table scroll bar If you scroll to the right you will find two columns labeled Start and End indicating the date range 2 Universe Statistics Correlation Analysis The universe statistics window contains a number functions to analyze a universe of investments When utilizing these functions PerTrac by defaut will set the start and end dates to equal the common start and end dates for each of the investments However the
301. orrelation Preferences This will open a two box window The box on the left will list all of the investments in your current database which will include over 1 000 indices if you download the free PerTrac Index database Remember PerTrac provides more than 1 300 indexes to choose from in the Index Database or you may enter your own data Use the scroll bar in this window to locate the benchmarks you wish to add to the Correl unv file Highlight the benchmark then click ADD on the menu bar This will add the benchmark to the box on the right When you have added all the benchmarks you want click the Save Correlation Universe button 25 PerTrac User Manual v 19 1 1 6 Updating Your Databases Automated Update View the online tutorial Any database to which you subscribe and PerTrac s free index databases should be updated monthly This will insure that you have the most current investment data in the database s We have added an Automated Update function to the Tools tab in PerTrac to facilitate updating database information in PerTrac The following instructions will explain the process for updating your data with the Automated Update feature step 1 From the PerTrac Home Current Universe window click on the Tools tab located next to Preferences on your icon bar Select Update Database If the Auto Data Update and Merge v window de does not automatically come up T select it on the tool bar An input box will a
302. ort There are only three Excel functions you need to know to build your template cut copy paste amp copy paste special paste link You have access to 15 pre built templates that can be downloaded from our website and populated with your fund data or used as the basis for a custom report NOTE The custom report options are designed for a single investment compared to one or two benchmarks only How do Create a Combination Report o aes ik EW Select a fund you want to use while building your E Prine ievestinent Summary Reports oe ae r E emplate by highlighting the investment in the PerTrac Fy err SSeS A Tables Home window A reta Reports 2 Click the Reports button located on the upper Li PerTrac Pubisher lt j menu bar and select PerTrac Publisher MD es Tene Putin bes rit m 3 The PerTrac Publisher report selection window will open On the left hand side you will see two gray 209 View emerabed ai eian Master tbe dbase da fies Peete eet a ceed cel ey bel are eget he porleeeece Spl praj pem es bo ee ogee ee ee PerTrac User Manual v 19 1 buttons Benchmark Reports and Custom Reports Click the Generate Combination Report button There will be a report icon labeled Generate Custom Report F PerTrac Custom Reports Investment Master i L J Single of Multiple Fleports Uee lrerectnerd 1 Sample Fured Since Incephon O Specii Dates C Une Ureverse CAPT racines ample
303. ou can select an investment from your portfolio and view the correlation statistics relative to a Factor Universe to determine your risk exposure The Factor Universe can be any saved universe of investments Statistics for analysis include Aloha Beta Correlation R R Squared Information Ratio Tracking Error and Beta T Stat Note The maximum number of investments allowed in the Investments universe or Factor universe is 100 The first step to performing factor analysis is to open the universe of investments atthe Pertrac Home 0 rae window On the left f i akr ae hand side of the Home santa window click Open New Universe to select your universe Then click PT at 4 9 cay GTI TEE ERE amp amp amp amp i t h A ARERR EE ES EI GI LI hE mi fi ra peen e IAT Ar Tath ies OT dare i Jar Jarr is E J p E i PE BEE a Universe Stats cates lee Baas metic pene Taian Allocation and FF Une Lake Sisi Dake FF Use Earle Esd Date Disney Dada anon Optimization at the Ges comae comain Sb Epeen food waa E hea A t bottom of the Home aee a O OO i Heir oat window to access the universe analysis tools which now include Factor Analysis When the universe allocation window appears click Factor Analysis 142 Universe Multi Fund Analysis The top section of the window will contain an Investments selection window Fa
304. ould also include the entire database The View Universe option will allow you to export a total four information fields from the Investment Information General tab To export the information fields open the universe at the PerTrac Home window Click View on the menu bar and select View Universe The Universe View window contains four boxes with a drop dwon arrow at the end of each window Click the down arrow to select the information fields Once your selections have been made double right click on the table The workbook designer window will open Highlight the table copy it and paste it to Excel Tip The View Universe option will allow you to export one to four information fields only If you wish to export more than four information page fields on a universe of funds create and export a PerTrac Reports template to Excel Note The View Database option will allow you to view all of the fields on the Investment Information General tab in a Microsoft Access table for your entire database However unlike the View Universe option which can be exported to Excel the View Database option is just that a table for viewing only You do not have the ability export this data to Excel Increased Speed The Linear Optimization module has been completely rewritten for increased efficiency and will now complete the optimization ina fraction of the time it took in previous versions of PerTrac In the past if you were optimizing seven or more assets a
305. ound in User des The following is a complete list of file extensions associated with pages in the Investment Information window Investment Information Page Description File General DataSource des Information Windows 1 6 DataSource ilf Categories Windows 1 6 DataSource clf User Information Windows1 6 User ulf User Categories Windows 1 6 User ucf TIP If you move your default folders or create default folders to your shared drive click the locate button at the end of each path to re map your default folders 23 PerTrac User Manual v 19 1 1 4 Understanding Databases PerTrac is an application that queries data within a Microsoft database formatted for PerTrac Prior to performing any analysis with PerTrac the User must first select a Database of investments When opening PerTrac for the first time most users open the PerTrac Index Database see Section 1 2 However the PerTrac Index Database that comes pre loaded on the CD ROM should be updated as soon as possible There are also numerous data vendor databases that provide investment information that can be analyzed within PerTrac All of the databases listed below needs to be updated monthly or quarterly to ensure you have access to the most current investment data Instructions on how to update your data can be found in section 1 6 In addition each of these data vendor databases can be viewed separately in PerTrac or can be merged to create a larger Ma
306. ow Search Builder generates three detailed search reports each of which is discussed in the section below This option however will open the reports in the Search Builder c Open Search Report in Excel This will export the search report and open it as an Excel spreadsheet d Save Search Report as an Excel File This option saves the report as an xls file that can later be opened in Excel TIP SS Once you have created and saved your searches you can access them quickly from the Home window upper toolbar We have added a Searches drop down menu This will allow you to select a saved search which will then automatically open the search window 10 PerTrac Version 6 0 19 New Feature Summary V Search Reports PerTrac Search Builder has the ability to generate three detailed search reports Search Summary Report Pass Fail Report and Search Criteria Report 1 Search Summary Report Search Megat Sampie Search LAREDO 2 3004 Pan ope Ba yee fed a Pte Puree to ira a earch Sunes Dept G Dinh al Piir Te brr reer ay beraa ed Pawel heard Hehe Gea gute Tee fq Bae feed Se Cod Ered Ba dawai ated Bac S phi orn diaidh g Moa reward g gi ors TARA qo i I iii iG Dii iah g hoeg eann i i A LE a gi an g imi Po aimn fj Pra Search fy tee gp pime tad a Ls 08 Qo ot ee ate Peer earch ey ee gah Prep hoe alk Ga lh rn ar or ar E ieee e a Search E Pee ge Preceded a LEB G Lane giil m iye amp Piristi Seer
307. own Arrows at the end of the window to select the two benchmarks then click the Down Arrows in the windows to the left of the Benchmark names to select the allocations to each benchmark 4 Template Selection Click the Locate Template button The custom reports folder will appear with a list of Excel template files There are two pre built files for this report that should be used initially The MasterPerformanceReport is designed for funds with monthly return streams and the MasterPerformanceReportQuarterly is designed for funds with monthly or quarterly return streams NOTE when the Save Reports in Folder option is selected you must click the Locate Folder button to select the folder in which the reports will be saved NOTE You also have the option just below the folder window to Overwrite Existing Files When the report is saved to a folder the name of the file will be the name of the fund if you choose this option 4 Date Range Selection Set your report Starting and Ending date range Inception to End of Data is the default setting When the Specific Dates option is selected you can type a start and end date in the Starting and Ending date boxes Under the date range option you can elect to Use Common Start and End Dates the common start and end dates for the fund s and benchmark s to run the report Quarterly or to Limit report to the last 10 years of data TIP If you elect to run the report Quarterly yo
308. own as measured by the VAMI index If the drawdown is only one month long the start and end dates will be identical The Consec Gain and Consec Loss tabs show all periods of consecutive gains or losses ranked by the magnitude of the percent change In addition to the change in percentage the tables also display the length start date and end date of each period Monthly Performance Table The Monthly Performance Table is located at the top right of the Statistics Window The Start Date and End Date for the investment are shown at the top left of the table and the total number of months in the data record is shown at top right Below this is a three column table showing the percent return for each month the VAMI index and the cumulative return since inception The arrows to the right of the table can be used to scroll through the monthly returns Estimated figures are displayed in blue Risk Table The Risk Table is located on the right side of the window below the Monthly Performance Table It displays monthly quarterly and annual Statistics for a variety of return and risk measures see the Appendix for statistical formulas The following statistics are included Compound Return This is the compound geometric mean The geometric mean is the monthly average that assumes we have an equivalent rate of return for each month to arrive at the same compound growth rate as we do using the actual month to month return data The quarterly
309. ows you to test breakpoints interval points a or portfolios against your assumptions and constraints If you pees __ Jare testing more than one portfolio this will give you an Shorttal E indication of which one s are more likely to achieve your severest financial goals The Probability of Shortfall allows you to select a specific percentile in the simulation distribution Pestioko Simulation indicating the probability of a shortfall PerTrac gives you the Seles Simusion Potto Option of targeting anywhere from the 95 to the 5 percentile Hirech gt For example targeting the 5 percentile is very conservative Eee ened essentially 95 of all other outcomes are better than the chosen target If you were to target the 95 percentile only 5 of Potica Rot outcomes are more favorable Once you have selected your Simulation Points and Probability of Shortfall click Solver Report This will send your results to the specified template Key pages from a Solver Report are displayed below 169 PerTrac User Manual v 19 1 THT tL i k i Hi Egl i ii i f ki g an F l i i fe si k MT Tb Titi TF Er mol s O A Portfolio Report is used to test one portfolio against your Sekei Sanulation Ports a assumptions and constraints This is generally one of the last GA steps in your asset allocation testing After you have found a portfolio that meets your criteria using the Sol
310. ox to chart the standard deviation for the period Show Benchmark Check this box to chart the standard deviation for the period Display Options Toggles between Annualize Returns and Normalize Returns Periods To Display Allows you to select or de select particular periods Universe Risk Return Options Use Risk Free Rate When plotting the CAPM Capital Asset Pricing Model line select this option if you want to use the risk free rate of return that was set in the Default Minimum and Risk Free Returns window located on the Preferences tab Risk Free Asset When plotting the CAPM Capital Asset Pricing Model do not check Use Risk Free Rate as above but click the drop down menu to select a Risk Free benchmark rather than the risk free rate Risk Asset When plotting the CAPM Capital Asset Pricing Model click the down arrow to select the risk asset for the CAPM line Period Select the period Monthly Quarterly or Yearly check the box to Annualize Returns if you want annualized risk and return Single Investment Analysis numbers elect to Plot CAPM Line elect to Plot Cross Hairs which will plot the cross hairs through the selected benchmark Scatter Correlation amp Efficient Frontier Two investments or indices must be specified for these comparative charts amp X Axis Investment Investment or benchmark to be used as the X Axis for Scatter Correlation amp Efficient Frontier
311. page If you have merged the databases and don t want to have individual databases as well check this box to delete the uncompressed database after it has been merged If you leave it unchecked you will have one Master Database with all the merged data and individual databases as well 6 The third checkbox allows you to Synchronize Performance This checkbox should rarely be checked Once checked PerTrac will take each item in the source database and make an exact duplicate in your destination This will take considerable time It is useful however if you want to clean up your data to match the vendor download For example a manager may have been supplying 20 years of data to the database vendor when he decides he would only like to start displaying 10 years and remove the pro forma history PerTrac will not remove the history without the Synchronize Performance button checked PerTrac will only look at the supplied data from the vendor and update your local database with the checkbox off 7 Now that you have made your selections you can save your settings for the next time you update data Click the Save Settings button When the Save As box appears name your settings file then click Save The next time you download data click the Load Settings button at the lower left to load your saved selection criteria 8 Click the Go button to start the update process When the update is complete Done will appear in the bottom left corne
312. pdate Refer to the section Updating Your Database Automated Update c3 Quick Merge Refer to the section Merging Your Data Quick Merge Advanced Merge Refer to the section Merging Your Data Quick Merge However there is one main difference between the Quick Merge and Advanced Merge Quick Merge will not merge User data located on the User Information User Category or User Memo investment information pages To merge your user data while performing the Quick Merge check the box Merge All User Description Please select a Source database Information Checks Data Source Ic Wer rac Datebase nvestment Master mdb i Memo Merge By Universe Ww Hege Al User Dencrption Information Checks Data Hemal Synchronize Perfomance Selecting Import from the File menu starts the Import Wizard which allows you to import your previously exported data into a blank PerTrac database When you install PerTrac a blank database PerTrac Database PerTrac Blank v3 0 mdb is installed which acts as a template for this operation Before you import make a copy of this blank database and save it witha new name so that you may re use the original blank database in the future 1 In Windows Explorer open the PerTrac Database folder and make a copy of PerTrac Blank mdb 2 Re name copy of the blank database so you will remember it later 258 Data Manager 3 Back in the Import Wizard if you have perfo
313. pdf with more details on this type of analysis is available upon request 3 Portfolio Allocations E Portfolio Allocations This table has 3 Create Universe multiple functions Its primary function Plot Actual 51 Auto Recs 100 000 is to display the investments assets a CSF B Trement Hedge Fund biex that comprise the selected portfolio on the Efficient Frontier Plot The investments assets will be displayed in order from the largest allocation to the MAREM AN Tote Lehman Aggregate Bond kiez Barra S amp P 500 Lehman High Yield Credi Bond troche ML J man T Ealle MSCIEAFE Me MSC EMF Emerging Markets Free Net Russel 2000 index DRT Wikshine bid Cap S00 fidez i i E eee E amp 166 Optimization amp Simulation smallest allocation Additionally you can type any allocation that you wish for each of the assets and the resulting portfolio will be displayed This is an ideal way to type in your current portfolio allocation and display its location on the graph Please see the section Auto Recalc for additional options Copy Allocation Any portfolio selected on the Efficient Frontier Line can be converted to a portfolio by pressing the Copy Allocation button marked as 1 in the screen capture above Once you click the button the Asset Allocation window is launched Refer to the section Convert Portfolio to an Investment for more details TIP It is a good idea to save your allocation
314. performance of the portfolio only or both Period Period may be monthly quarterly or yearly Rolling Returns amp Recent Returns Charts Manager Portfolio Options Same as above Display Options Select Annualize Returns Normalize Returns or Total Return Periods to Display You can select rolling return periods from 1 to 60 months and recent return periods from 1 month to 10 years Rolling Statistics Manager Portfolio Options Same as above 139 PerTrac User Manual v 19 1 Display Options Compound return standard deviation Sharpe Ratio Sterling Ratio Calmar Ratio maximum drawdown downside deviation MAR RF 0 Sortino Ratio MAR RF 0 Rolling Periods Select the Number of Rolling Months and whether or not to annualize the statistic Periods to Display The rolling statistics charts can be generated on a monthly or quarterly basis Rolling Correlations Manager Portfolio Options Same as above Display Options Alpha Beta Correlation R R Squared Tracking Error Beta T Stat and Information Ratio Benchmark Selection Select the benchmark on which the correlation statistics will be calculated By default PerTrac will list the benchmarks in your Correl unv correlation universe Rolling Periods Select the Number of Rolling Months and whether or not to annualize the statistic Periods to Display The rolling statistics charts can be generated on a monthly
315. ppear Auto Data Update and Merge Database 1 Pei Tye Irei Step 2 Select the appropriate gt database s to download This window will allow you to Download Only or Download amp asr Merge up to five databases from ____ our website Click the arrow at a the end of Database 1 line This Ez r list contains both the pr e e complimentary and subscription databases available in PerTrac _tssetno _ SaveSerings Creste Datsbase Yewlog Ed Go Performance Investments Dalokane 3 Dabare 4 p I ownosd Only E Dea Doewioaded Fin fi E Deke Unapped Disha l Spnchonce Petomance Pitate Delact at loatt ome databace select a database Proceed with Database 2 3 4 amp 5 if applicable For example if you subscribe to HFR and would also like to update your index database select the HFR database for Database 1 and the PerTrac Indices for Database 2 Please NOTE that if you select a subscription database you must enter your User Name and Password in the box to the right of the selection step 3 Elect to download the database only or download the database and merge it with other databases You must select a download path even if you are merging databases We recommend that you set the download path to the local drive regardless of your database destination If you chose a network path the download may take too long and time out
316. r data provider may change the name of an investment in your database If your data provider lhas changed one of the Master Names you will receive specific prompts during he merge process Once the merge is complete however you will want to _jupdate the corresponding universes to lreflect the changes 1 Select Rename Investment in Universe Files from the File menu this option is also available in the Tools menu in PerTrac 2 Once open this window will display the contents of InvestmentRenameLog txt The log file will create a list in the left hand window showing the investment s Old Name New Name 3 Select the corresponding universes located in the right hand window 4 Click Rename Investment in Selected Universes to update the name in the selected universes 5 When finished it is a good idea to remove the updated Old Name New Name investments from the log unless you think you might need them later To do so highlight the names located in the left hand window and click Delete Selected Investments validate Database Refer to the section Validate Database a Delete Faces Invesiments Delete Excess Investments The maximum number of investments you can place in a PerTrac database is 32 766 If your database exceeds this limit you will receive the following error message error in database list subscript out of range Exceeding the 32 766 limit does not happen often however if you merge numerou
317. r of the window In addition an Error Log will be generated If your destination database is open the log will display a message stating it could not compact the database This is normal and you may compact the database at another time Clear the log and Exit Every sixth time you exit PerTrac you will be given the opportunity to compact the database We recommend that you compact the database often at least once a week See Database Maintenance for further discussion on this topic When the download process is complete the updated database s can be opened in PerTrac If you selected Download Only the updated database s will be located in the folder that you selected prior to downloading In PerTrac click on File Open New Database and select the database If you elected to Download amp Merge your database s with an existing Master Database using the Destination button and that database was Getting Started open in PerTrac simply click on the Load Master Database button on the left side of the Home window to update reset the Master Database If you elected to Download amp Merge and the Master Database was not open in PerTrac click File Open New Database and select the Master Database NOTE Updating databases may take time Data Manager backs up your database prior to updating You can disable the automatic backup by clicking on the Data Manager Options tab and uncheck the option Always Back up the Destinati
318. r the first time you will be prompted as you were with PerTrac to select an active database TIP This is a universe level report generator As such the database in which the universe was created must be opened If you have a database open in PerTrac Reports and attempt to generate a report on a universe of investments not in that database PerTrac Reports will indicate that you have made an error To open the correct database click on File and select Open New Database When PerTrac Reports is first opened the Main Window appears 223 PerTrac User Manual v 19 1 P PorTrac Reports investment Master File Edt Fomati yew Preferences Universe Winder Do Hg Ge Mer BL el oe Cole Mui Mansgai Wn 3 Deriye Linens Genenate Report Arial lt 07 BTU ESAR EA Ha Ar Se From gt FS Repon Type Column Separator Report Tithe Stan and End Dates From To Column Heading i Column Heading f Column Heading 3 Data Font and Format Son Key Number a ey Sheed t es ee Preliminary Settings Selecting a Database Selecting Open New Database from the File menu opens the Select Active Database Window where you can find the database you wish to use Selecting Default Database from the Preferences menu also opens the Select Active Database Window and allows you to choose which database opens automatically when PerTrac Reports starts Selecting a Universe selecting Change Universe from the Universe menu opens the Sele
319. rPro Server Service it did not get installed properly you will have to manually install by going to your Start Menu Programs Files PerTrac Network Server Install SuperPro Service A window will appear called Super Pro Service Loader select install service If you get the following error Could not start the SuperProServer service on the Local Computer Error 1067 The process terminated unexpectedly You will also need to install the sentinel drivers To do this go to the following folder PerTrac Drivers and run setupdr exe You will want to make sure the USB key is not plugged in when installing the drivers Then go back and make sure it says started under the Services if it does not then manually start it 59 PerTrac User Manual v 19 1 Now that you have successfully installed the License Server Setup you will need to install the client side on each individual workstation s NOTE If you did not receive the PerTrac installallation CD and require installation procedures please visit the following website http PerTrac PerTracnet com per0020 web me get WEB websections show amp PERO 020 992 This site contains thorough installation instructions and PerTrac tutorials Call technical support 800 851 5880 x 5 for any additional help regarding installation 1 9 a Installing PerTrac on the Individual Workstations The individual station setup uses the same PerTrac installation CD ROM The only differenc
320. raing Tres Siani Date End Date Jun 2uod Jun 2004 Jun 2004 Chicago Equity Large Cap srowth Extended Jun AU0d ABN AMRO Assel Mgmt Large Cap Growth Equity Jun 2004 Advanced investments MaxCap Growih Jun 2004 AlN AIM Weingarten Fund Junaid AllianceBemstein Alliance Disciplined Growth Jun 2004 AdliancaBernstein Alliance Large Cap Growth Jun 2004 Alta Capital Alta Growth al Reasonable Price Equity Postfolio Jur A Amencan Century Core Growth Jun 2004 Ameican Century Lage Cap Aggressne Growth Jun 2004 Aumencan Century Large Cap Growth Jun 2004 Amencan Express Lange Cap Growth Equity Growth Spectrum Advisors Jun 204 Amencap LARGE CAP GROWTH Mars 2004 AmSouth AmSouth Large Cap Growth Jun 2004 ApexCh Equity Jun 2004 The dropdown menu at the top left of the window contains a list of each available table There are three options for each chart type 1 Statistics Data These spreadsheets contain the actual values for the selected statistic for each of the investments in the universe 2 Ranking Statistics Ranking These spreadsheets contain the ranking for the selected statistic for each of the investments in the universe 3 Statistics Ranking Statistics_Ranking_Stats These spreadsheets contain the rankings for the universe broken down by deciles for the selected Statistic TIP Once the table is loaded you can use the File Print and Edit menus for basic saving printing and editing functions For more advanced
321. rated Step 3 If the universe contains funds with different strategies or asset classes and you have assigned specific benchmarks to the funds in the universe check the Use Assigned Benchmarks option If you have not assigned benchmarks the two benchmarks shown in the select benchmark windows will apply to all funds in the universe Please refer to section 2 13 for instructions on assigning benchmarks Step 4 When generating the report on a universe of funds there are two options for outputting the reports Print which will send the reports to the printer and Save Reports in Folder which will save the reports in a designated folder Step 5 If you have previously saved files from a prior period you can select Overwrite Existing Files TIP If you choose to save the reports in a folder click Locate Folder to locate the folder where the reports will be saved The reports will be saved under the names of each of the funds in your universe 196 PerTrac Publisher Reports 4 08 Peer Group Analysis Report View the online tutorial The Peer Group Analysis Report is a pre built six page report that wwe contains comparative performance and risk analysis of a fund versus two benchmarks followed by five pages that show the fund s rankings relative to its peers on numerous risk and return measures Page 1 The first page of the report is the Performance Measurement Report Page 2 This page shows t
322. rce button Quick Merge ae ee eS allows you to merge only one database at ts css s Somen Salabasn atime Notice the Use SQL Sever see checkbox option above the Source tab a Only check this if you are merging an H r iea existi ng SQL database Pinasa salvet a Destination databasa Iam the diat Step 3 Three checkboxes appear underneath the Source button Merge by Universe Merge all User Description Information Checks Data Memo and Synchronize Performance Check the box Merge all User Description Information Checks Data Memo if it is not already checked Step 4 Check the Use SQL Server checkbox listed below the text Please select a Destination database from the list see above figure number 2 Step 5 Click the Add button and select your destination ja tietsisis database This is the SQL database you created see Steen aie eet ne above figure number 3 Once you click Add a window Saelocin ener like the screen capture to the right will appear The gieuse iniia procedures to properly fill out this window are displayed liea in the section Download amp Merge your Databases 58 Getting Started SQL Version step 6 Click the Merge button and wait for the merge to complete The merge will be finished when Done is displayed in the left corner of the Quick Merge window If you have to merge another database into the destination repeat Step 2 and click Merge Close the window when you are finished 1 8
323. re may be instances where the user will change the start and end dates beyond the common date range When the date ranges are changed and the user then selects Convert Portfolio to Investment Statistics Charts Pro Forma Efficient Frontier Optimizer or Linear Optimizer a window appears prompting you to make a decision as to how you want PerTrac to handle the uneven date ranges 288 PerTrac Tips amp Tricks TIP There is one tab Correlation Analysis which will calculate the statistics over any date range you select The Correlation Analysis will create a matrix such as a correlation matrix on many statistics To calculate these statistics a common date range between each of the investments must be used for the regression When the matrix has been generated the color blue is used to indicate the correlations are not being calculated over the date range shown on the universe allocation page but the common date range between the pairs of investments being correlated The View button We are frequently asked by clients for the quickest way to export a fund name contact name contact phone number and email address on a universe of funds This can be achieved by way of the View button located on the PerTrac tool bar The View button has two drop down options View Universe amp View Database Selecting the View Universe option will allow you to produce four columns of fields on any universe currently open in the Home window This w
324. re sorted you may immediately create a new universe simply by highlighting a range of investments right clicking over the highlighted area and then clicking Create Universe of Selected Items Printing Editing amp Saving Universe Statistics Right clicking over a Universe Statistics table allows you to copy it to the clipboard so you can then paste the information in another program Clicking Print opens a printable copy of the table including standard preview and setup options Double right clicking over the table opens the Workbook Designer giving you full editing capabilities and allowing you to save the table for future use Command Buttons Display Calculates and displays the current selection of statistics 4 Rank Maximum Ranks each investment by a selected statistic from highest to lowest Rank Minimum Ranks each investment by a selected statistic from lowest to highest a Percentile Shows the percentile ranking of each investment rather thatn its numerical rank Print Opens a printable copy of the table complete with editing options Cancel or Exit Closes the Universe Statistics Window 3 08 Correlation Analysis View the online tutorial Correlation statistics can be accessed by clicking Correlation Analysis from the Asset Allocation Window 136 Universe Multi Fund Analysis E Statistics Correlation Matrix Options M Select Statishe C Alpha C Tracking Enor C Up Capture Rati
325. re three output options in section 3 when generating the reports Print which will send the report directly to the printer Save Reports in Folder which will save the file in a folder of your choosing Leave Template Open Single Investments Only which will open the report in Excel when generated 205 PerTrac User Manual v 19 1 TIP There are no limits on the number of templates you can create How do Build The Custom Report Template When the steps above have been completed you will have an Excel spreadsheet that contains numerous sheets of data TIP Prior to getting started click on the Instructions sheet to read the template building instructions Step 1 Build the template The Template sheet shown on the screenshot above is your blank canvas This is the starting point Treat this like a blank sheet of paper If you are going to create a multiple page report either insert additional worksheets or build your report vertically down the Template page Determine whether the report will be Landscape or Portrait From there start tagging where your qualitative data statistics charts and tables will be located Once you have determined where the data will go must get the data from the other sheets in the workbook As mentioned above there are only three basic Excel functions to be used when moving data to your template Cut Paste Copy Paste Copy Paste Special Paste Link Library This tab contains all of the charts
326. ree tabs Merge Validation Proxy Firewall and Automated Data Download Data Manager Options To access the Data Manager Options click the Options tab on the menu bar then select Data Manager Options The Proxy Firewall Settings window will appear a Proxy Firewall Settings Data Manager Options Merge Validation Proxy Firewall Automated Data Download Data Vakdation Cheer Orphaned Levenge Dalo Records Chea mhad Irevaid Benchmark Unorenes Data Merge Alay epnchtone al dechnaton perlomance records wath source Always Merge User infos Alege Back Up the Destination Dalabares Alves Merge Benchmarks 261 PerTrac User Manual v 19 1 Merge Validation Tab Data Validation Contains two validation options for the Validate Database utility Clear Orphaned Leverage Records If you have added leverage data for an investment to the leverage table located on the investment data window and subsequently deleted the investment from the database the leverage data may still exist as an orphaned record Checking this validation option will remove the orphaned leverage data Clear Orphaned Invalid Benchmark Universes If you have assigned benchmark universes to your funds and then removed either a benchmark from the assigned benchmark universe or removed the investment the benchmarks were assigned to you may have created orphaned investments This op
327. rks This could be the Correl unv universe or any universe of benchmarks you have created When the universe has been selected click the Down Arrow at the end of the Benchmark 1 window to select the first benchmark Then click the Down Arrow at the end of the Benchmark 2 window and select the second benchmark 203 PerTrac User Manual v 19 1 NOTE The second benchmark can be a composite of two benchmarks Click both Down Arrows at the end of each benchmark s selection windows to select the two benchmarks and then click the Down Arrows in the windows to the left of the benchmark names to select the allocations to each benchmark 3 Template Selection Click Locate Template The custom reports folder will appear with a list of Excel template files Select the MasterChartLibrary xls file TIP At this point no custom report has been created Select the Leave Template Open Single Investments Only option which will open the report in Excel when generated That is where you will start building your report 4 Date Range Selection Set your report Starting and Ending date range Since Inception to End of Data are the default settings When the Specific Dates option is selected you can type a start and end date in the Starting and Ending date boxes Under the date range option you can elect to Use Common Start and End Dates the common start and end dates for the fund s and benchmark s to run the report Quarterl
328. rmat i e 2 0 as 02 If the Enter Performance as Percent is checked enter your returns in number format i e 2 0 as 2 0 37 PerTrac User Manual v 19 1 The command buttons Statistics Calculate NAY Charts Fill Dates Daily Convert to Monthly Calculate Performance Fill Dates Weekly Save Exit 1 Enable Disable Editing Enable edit must be selected prior to adding or editing data on this sheet When data has been entered or edited click Disable Editing to exit and save your data 2 Statistics Disable Editing Daily Stal inte Aaii Ox m z FeZ ak iisi aaea Gesa eari m pu SiS Os ee sire Oa L Foorerry Ppa bint a 11 i a Ce ee 1 For Far 1 2 ee eo 1 et te eee Deh De 1 E De e E C Pa nederen Let data oeae fla fh iraran A agen Gon A Cone a Flisi eia Boebre 0005 HER l Ma oa Te Te irre GE The daily statistics window Is similar to the Investment Statistics window for monthly data which will show the date range of your analysis number of days Risk Table Drawdown Consecutive Gain and Consecutive Loss tables daily and weekly correlation statistics daily and weekly capture ratios 3 Charts ales Chart Tape Mar Play daia fond 3 Carai Fleur adel Taira iw T urm F Pig k F Trial m a Fahey SSR tat Coke ipo ooo BF kaje Fia Daa Berchet Eebe Diin bln 2 ia Drem The daily and weekly chart window options NA
329. rmatting and Export Options 143 le Dan e a lap OW yD The Upper and Lower Stat charts can be edited formatted and exported The charts contain a hidden toolbar To access the toolbar right click on the chart and select Toolbar The Toolbar will appear at the top of the chart Once the Toolbar is visible you can save the chart copy the chart and underlying data which can then be pasted to other programs change the chart type change the chart colors and view the underlying data in a table format 3 16 Impact Analysis Impact Analysis is a new feature added to the universe allocation window This module will give you the ability to analyze the affects of adding an investment to an existing portfolio The analysis will provide you with before and after comparative statistics which include the changes in correlations statistics relative to a selected factor benchmark risk table risk charts showing the percent change in the risk table statistics after adding the new investment and Omega 144 Universe Multi Fund Analysis analysis showing the Omega function on the original portfolio and the portfolio with the new investment The first step to performing Impact Analysis is to open the universe of investments at the fest Aeention donni Clowes Pardee Ti aie F Bae Leer srt Lae Pertrac Home window r e E AS F iara On the left hand side of sers aroia MSI ESFE HH Pie 2 eee rakes DAS the Home window click
330. rmed this operation before and have saved your original settings you may select Restore Previous Settings and click Finish Otherwise select Choose New Settings and click Next 4 In the Locate Database box click Locate to select the database to which information will be written Click Next 5 In the Choose Output Format box select either Tab Delimited or Comma Delimited 6 The next six windows allow you to select the various tables to import and the files from which they will be read 7 lf you wish to save these merge settings for future use click Save Settings and save the is file 8 Click Finish to begin the export process 9 Once the import is complete you will be given the option of viewing the error log allowing you to verify that no errors occurred during the import Selecting Export from the File menu starts the Export Wizard which allows you to export a PerTrac database to either a Tab Delimited or Comma Delimited CSV file for easy integration between spreadsheet applications such as Excel 1 If you have performed this operation before and have saved your settings you may select Restore Previous Settings in the Select Settings Option box and click Finish Otherwise select Choose New Settings and click Next 2 In the Locate Source Database box click Locate to select the database from which information will be read 3 In the Select Investment Source box select either All Investments to merge the entire
331. rogram so that you can ensure you have made the correct link 4 Close the selected file Back in PerTrac the linked cell now contains the path to the file you have chosen 5 Click the Save button at the bottom of the Investment Information Window to save the link nN Once the link is established you can open the linked file at any time by double clicking on the linked cell To clear a linked cell click the Enable Edit button and delete the file path contained in the cell 7 User Categories _ The User Categories tab lists six User Category Windows which can be viewed either by repeatedly clicking the User Categories button or by clicking the drag down portion of the User Categories button and selecting a specific window There are 4 columns of check boxes on each User Category Window that are defined by the data vendor Each column contains 30 check boxes To add your own 73 PerTrac User Manual v 19 1 74 Category click the Enable Edit button then click your right mouse button and select Edit Label Type the label for your category enter a check mark if this category applies and then exit The User Categories windows are similar to the User Information Windows in that the information stored here is not changed or overwritten during data vendor updates This allows you to store and customize the information in a way that best suits your needs 8 Memo 7 The Memo section contains both a System Memo display and
332. rrent rolling periods g The style map multiple dominant will produce the dominant style chart for multiple funds This chart is useful if you are comparing managers with the same stated style category The last chart is a style vs growth matrix Style Analysis Multiple Funds 5 07 Multiple Investment Style Analysis View the online tutorial This section will walk you through performing style analysis on multiple funds at one time We will also walk through performing style searches once a style database has been built When building a style database you can regress hundreds or thousands of funds against the style universe at one time This is useful if you wish to use the style module as a search engine or if you wish to create style specific peer groups to be used when performing peer group analysis 5 08 Building a Style Database View the online tutorial To perform a Style Search you must first build a Style Database which calculates all the necessary statistics for each record in your original database 1 From the Style Analysis Setup Window click Build Style This will build a atple database fo the cunently selected universe Database Start Dake End Dale peephor of Data C Erdo hata 2 When the Build Style Fined Stat Date l FiwedEndDae Database Setup Window opens enter a date range using the Start Date and End Date boxes 0 berimen Cate Ranga bt Less Than Feed Daba Aiarigs amp Dompule
333. rrors In addition you could highlight the Stat criteria rows and click Convert To Group on the lower left to create a group of your And criteria Note You can group funds from the Edit button on the menu bar by right clicking on a row or by way of the Convert to Group button that appears when you highlight rows TIP It might be useful to first define all of your Info and Stat criteria determine the logical order you want to run your search criteria then group your And Or statements Setting Up and Running a Search in Search Builder 1 Starting at the first row click the down arrow under the Info Stat column 2 Click Info to select a qualitative criterion from the investment information pages or Stats to select a quantitative criterion 3 If you select Info you will then choose a Data Source and make selections under Criteria Operator and Value 4 If you select Stats you will then make selections under Criteria Operator Value From amp To to set your date range Period and possibly Benchmark depending on the stat selected 5 Enter a name for your search in the Search Name field at the top then click Save next to that field 124 Universe Multi Fund Analysis 6 Click Run Search 7 When the search is complete the following window will appear This Search Resulta Sarde Search 89 2006 LIES PH window contains the name of your Se ampie are search the universe on which the ae ee crater
334. rse button located on the left That will reset your database to reflect the update Note If however there is a critical error below that message the download did not take place The common causes generating the critcial errors include proxy settings firewall settings or an incorrect license number If you receive an error message contact our tech support at 775 851 5880 The View button We are frequently asked by clients for the quickest way to export a fund name contact name contact phone number and email address on a universe of funds This can be achieved by way of the View button located on the PerTrac tool bar The View button has two drop down options View Universe amp View Database Selecting the View Universe option will allow you to produce four columns of fields on any universe currently open in the Home window This would also include the entire database The View Universe option will allow you to export a total four information fields from the Investment Information General tab To 284 Frequently Asked Questions FAQ export the information fields open the universe at the PerTrac Home window Click View on the menu bar and select View Universe The Universe View window contains four boxes with a drop dwon arrow at the end of each window Click the down arrow to select the information fields Once your selections have been made double right click on the table The workbook designer window will open Highlight
335. rts button located on the upper menu bar and select PerTrac Publisher 3 The PerTrac Publisher report selection window will open On the left hand side you will see two gray buttons Benchmark Reports and Custom Reports Click the Custom Reports button There will be a report icon labeled Generate F PerTrac Custom Reports Investiment Master a IBk Fie Help Single or Muiple Reports Use Investment Sampe Fund fe Since inception 1 a ________ C peche Daet C Use Universe C PesTrac Uneverse Sample LEV Funds urw Locate Universe oe e i Starting Inception E spark Large Cap Vak Fund aes ene _ Erm Large Cap Value Fund Ending End of Date Lage Cap Value Fund i Use Common Start OOO Risk Free ROR 70 CP Yake Fund D Mand End Dates Minimal D uey Af 10 Acceptable Hide Worksheets Aetumn MAR Remove Textbones Speeds up repot Geren Benchmark Universe z C PenTrac Universe Curent Indices ur Locate isabel 2 Generate Repoti Benchmak1 Esma SiP SOO Cancel Se E fits x Fiuss sal 1000 skue index DAI 6 Ors Hora Select System and User Report Tenplatea a pou with bo export i Pre 3 O PetT rach Custom Fleparts WM eater hartLibe any sit Locate Tenplate by clicking below Save Reports lin Fokis C PexT rae Locate Fokje Select information Pages is Leave Template Open Single Ireverinerts Oink M Overwite Existing Files Set Charting Options 202
336. s unv A universe may consist of 1 fund or investment 10 funds 100 funds or an entire database A universe could consist of fund of funds the managers within a portfolio benchmarks convertible arbitrage managers large cap value managers etc Universe creation and analysis will be addressed in Part III Multiple Investment Universe Analysis NOTE As a user of PerTrac you could create hundreds of universes over time However there are two system universes you should be aware of that were installed on your computer when you installed PerTrac the All unv and Correl unv These files are located in the PerTrac Universe sub folder on your computer and should not be deleted The All unv contains all of the investments in the database The All unv file was created for the Load Master Universe function When you click this button the entire database of investments will be loaded into the universe window for analysis The Correl unv is a universe created as a comparative benchmark universe When you perform regression correlation analysis or create charts where you utilize comparative benchmarks PerTrac looks for the Correl unv file for benchmark selection Think of Correl unv as a list of the common benchmarks you use for most investments FAQ How do I add benchmarks to the Correl unv universe At the Home Current Universe window click the Preferences tab on the menu bar Then select the first option Change Default C
337. s pattern of pice movement among other slishutes Sirds amounts of papal are lenolcwed in scuis both long and show maniania a potoka sih leap ke net makel sposa The ampk Haket Hedra Fund lapposch podes a lev mE methodology in schere supe proi pobential vhis actweh piedi spami fe effects of ndeadusl levers on pettomence The Fund combines cuthng edge shabeges Uzi Cunan Dorie Gusateed 115000000 Fem Assets Ho Slruchias Ho Lad Aid Date Lapel Dace plan Al Diit eh Strategp Detads High Saana Lihi Farmsen E quip H abt Hea oo 12S 2000 JSD Lindated amp 006 E202 Some User SS MHE O Composite Correetitde Arbitrage iseend Serui Enega l Equity Hedge F EG Mahe Hadia E Ega HonHaiga Ever Daven Freed income O Fuen Excharge I Fund of Funds M Macro Has diets chet TA eisted Funds hEpo IO Haia Ting I Hepa dibae l FAesre Vaus Arb T Secu Shot Sair I irde Option wr E Orch Orchme w othe O Offshove F Leversge E bigh el atermark E Hurde Ase E US irveson D Hott kreson All lrvestoes O ir D Usa Alear File D Fuhres Ha CTA FF Hedge Furd Equity Marager Alij I Secunly FP Mutual Fured l Guster Daia TIP When you highlight a fund and click Investment Information button or double click on a fund name to open the investment information window the General information page is the default view 69 nN PerTrac User Manual v 19 1 Initially PerTrac
338. s Dita Seam ard Aladin SH Data Severs Roing Siae Friday Figen vet Distibuional Reie Monthy Dia Sorga Quaterdy D aa Senet eni Daa Sens Curate Aata of Aleta D Diiis Fate ol Aetuen C orane Flute of Aatun e VAH Gach of 7000 i VAMP Growth of 7000 M VAH Goeth of 7000 Percent Rate Of Retum O Pacen Fate Di Reim Percent Ase Of Reihen C Credai Dols Pooft Cumulative Dole Profit M ruia Dols Prodi Funds Under Management C Fund Under Mansgemert Funds Under Management O Haire Yaa O Haira Vials E Haire Vale O byre je C Homngeium imi T Mpe ees D Himo Avetege Cum ROR Mowing Average Cum ROR T Moving Avetage Cum AOR eng Average MAMI 1000 D Horrores MAM 1000 Mowing Average WAMI 7000 The Senet Colechon siyen pou lo place 5 hese apne ib epee hepi A pHak raih E requeed for each pene The siia label mutt be placed wi the second column of the rankhi Please select the appropriate Dala Source for your Report There are 7 main tabs across the top Each main tab contains numerous sub tabs The Investment Information amp System and User Pages contain the qualitative investment information which as you know changes depending on the data source You can change the source by clicking the down arrow in the lower left corner of the Column Selection window The Statistics Recent Returns Annualized Returns Time Windows Correlations and Data Rolling Statistics tabs contain the performance measures and statistics that PerTrac calculates
339. s To add a text box to your template Cut it from the Information 2 sheet and paste it on your template Perf Stats Table the Perf Stats Tables sheet contains a variety performance and risk statistics tables To add the tables to you template Copy the table s from the Tables sheet and Paste it on to your template TIP User Data and Leverage Data are available if you enter that information on the appropriate section of the Investment Data window in PerTrac Further explanation is available in the Instructions sheet in your template workbook Peer Report Tables This sheet contains the data tables for the Peer Group charts on the Library sheet To add these tables to your report Copy the table and Paste it on to your template Style Report Tables This sheet contains the data tables for the Style Analysis charts on the Library sheet To add these tables to your report Copy the table and Paste it on to your template Step 2 Format your report Now that your template has the data use Excel s formatting capabilities to format the report Add your company logo change the colors to reflect your company color schemes add headers add disclaimers and then Save the template Step 3 Generate the report Follow the instructions listed above to generate your report substituting your new template for the MasterChartLibrary xls template 217 PerTrac User Manual v 19 1 4 12 How do I Generate My Custom Template on
340. s and charts to an Excel workbook You can then create custom reports from scratch or use one of the templates installed on your computer The following steps will walk you through generating daily weekly data reports 1 Open the Daily Weekly Investment Data Window by clicking the di edie SS command button from the left hand side of the Current Universe Window or by clicking the button labeled 20 7 tY Data from the Tool Bar 2 Click Statistics on the command bar This will open the daily weekly data investment statistics page 3 The daily weekly data statistics page contains a Generate Report button on the upper right corner Click Generate Report to open the Daily Report window ini pe E En T anne E Tr rae mpe angis Dnibumn Domne aa i i IHE RANGE 4 Click Locate to open the file selection window The Custom Reports folder will open by default which contains the Master template MasterDailyReport xls file for creating your report from scratch and a pre built daily data report template Daily Report xls 46 Getting Started 5 Select Daily Report 1 xls and click Export Your report is now open as and Excel workbook Note The MasterDailyReport and DailyReport files can also be used for weekly data streams 47 Getting Started SQL Version 1 1 a SQL Server Requirements 10 100 MB Ethernet card MS SQL Server 7 0 or higher 1 GB RAM 1 GB free space for Database CD ROM Drive 1
341. s as universes using the Save Settings bution in the Asset Allocation window This way you can recall document the original asset allocation Plot Select Point Format If you press the Plot button marked as 2 in pax the Portfolio Allocation screenshot a Print LabelT ext window will appear prompting you label the point and select a marker for that point In addition you can add cross hairs on the marker to draw emphasis to this portfolio Plotting portfolios is an essential step if you want to test this portfolio using the Simulate button which will launch the Portfolio Planning and Simulation Tool The financial planning simulation module will be covered section 3 13 lpi Eeh Regia Create Universe If you would like to create a sub universe of the assets that comprise a portfolio on the Efficient Frontier Plot you can highlight them and click Create Universe marked as 3 on the Portfolio Allocations screenshot This will bring up a new window prompting you to give your new universe a name Plot Actual If you check the Plot Actual checkbox marked number 4 on the Portfolio Allocations screenshot the portfolio plotted on the Efficient Frontier Plot will exactly match the displayed statistics on the actual Portfolio Risk Table You can also plot custom points that represent portfolio allocations off the Efficient Frontier Line In the Portfolio Allocations Window type the allocations in the appropriate cells and click
342. s by clicking Save Search and entering a name for the saved search The saved 238 Style Analysis Multiple Funds search criteria will be stored in the Style Database and can be loaded in the future by clicking Load Search A search can also be deleted by clicking Delete Search 8 To perform the Style Search click Execute Search Style Search Results When the search is complete the Status box at the bottom left of the Style Search Setup Form will change from Searching to Search Complete and the Progress box will read 100 To the right of the Investments in Database box the Investments in Search Result box will display the number of investments that meet your criteria A scrollable list of the search results is displayed in the upper right corner and can be saved immediately as a universe by clicking Save As Universe Viewing the Style Database All the statistics in your Style Database can be viewed in a spreadsheet by clicking View Database from the Style Search Setup Form When the View Style Database window opens select Open Style Database from the File menu and open the desired os aha TTC aia database Once the data has D anat oer loaded you can rank the sss investments by o Pea bere highlighting the column of statistics by which you wish to rank and selecting either Sort Ascending or Sort Descending from the Sort menu To work with the data of a particular universe socnfinsweceuean fae ia
343. s in the workbook As mentioned above there are only three basic Excel functions to be used when moving data to your template Cut Paste Copy Paste Copy Paste Special Paste Link Library This tab contains all of the charts that PerTrac exported including the Peer Group and Style Analysis Report charts Find the chart or charts you wish to include on the template and cut and paste them where you would like them to appear NOTE The charts MUST be cut not copied If you copy and paste a chart the macros will not update when the report is generated in the future Statistics This tab contains over 1 000 statistics and performance measures If you want to include statistics from this page Copy the cell or range of cells and go back to the Template sheet Click into the 216 PerTrac Publisher Reports cell s where the data will be located then click the Edit button on the menu bar click Paste Special then click the Paste Link Information Information 2 amp Categories These sheets contain the qualitative data from the Investment Information pages in PerTrac To include information from these pages you should Copy Paste Special amp Paste Link as above NOTE The Information 2 sheet contains the data being exported from the System and User Information pages If you export fields with a lot a text and you leave the Remove Textboxes option on the setup window unchecked the data will be exported to individual cell textboxe
344. s large databases together there is a chance you will exceed the limit If you exceed the limit Excess Investment Removal Options EPa TaD aabase dresinn Mate mah Date Vendor irasan Peformance Dae Urrea Pex Leg Caa 260 Data Manager and receive the error message the Delete Excess Investments options in Data Manager will allow you to delete records 1 Open Data Manager by clicking Start Program Files PerTrac 6 0 Data Manager 2 When the Data Manager window opens click File Delete Excess Investments The Delete Excess Investments window will open 3 The first step is to open the database that exceeds 32 766 investments Click Locate to select your database NOTE When you select your database Data Manager will count the number of funds in that database If your database contains less than 32 766 you will not be allowed to delete investments with this utility 4 Provided your database exceeds the limit there are three Excess Investment Removal Options Data Vendor This option allows you to delete records specific to a particular data vendor in your merged database Investment Performance Date This option allows you to delete investments by Start or End dates Universe This option allows you to delete investments by universe 8 05 Data Manager Options Tab File Options Help fuick Merge Validate Database Compact B Error Lag The Gl Dat a Manager Options consist of th
345. sers of Existing Groups SL Server Login Properties Mew Lopin Access to a Database Gereral Server Roles Datebsre Access We are assuming that the system ee a aie Spy whch dasihe can be accetbed by thes bagn administrator is familiar with creating Spee ae windows user groups and assigning permissions to databases In order for users to have COMPLETE functionality in PerTrac they must have DB_ Owner permissions If you would like to have separate groups with limited permissions Databare roles for HastarDE for table access etc please call our ni dated technical support number at 775 851 5880 x31 for proper settings An example of the DB Owner permissions window is displayed below 50 Getting Started SQL Version step 1 Open Enterprise Manager See Step 1 in 1 2 a Creating a New Database if you do not know how to navigate to Enterprise Manager Highlight the Security option and expand the list with the plus sign Highlight Logins right click and select New Login Step 2 The SQL Server Login Properties window displays with the General tab selected will be ssh hela te displayed If a dropdown menu is displayed in the S Name box select the proper windows group with A domain If the dropdown menu is not displayed Doran FR uy Ao type in the domain with group domain user format geen liry deat AUPE asir Step 3 Select the dropdown menu below Windows Tape NT authentication and add the domain if
346. ses Databases can also be opened or compacted using this menu Reports Investment Summary Reports Multiple Investment Reports Investment Statistical Tables PerTrac Reports and PerTrac Publisher Preferences Allows you to customize the default settings and control the overall functionality and layout of PerTrac Tools Options for opening the Monthly Data Entry Form Portfolio Builder Workbook Designer Assign Benchmark Universe setup Assign Peer Universe setup Currency Conversion Fee Simulator Excess Return Conversion Rename Investments in Universe Files setup and Data Manager Window Provides options for manipulating the arrangement of active windows Help PerTrac Interactive Manual PerTrac Online Help Technical Support Statistics Definitions Default Folders and Frequently Asked Questions Current Universe Window The current universe window is the large square area containing the names of the investments Clicking over your Current Universe with the right mouse button will provide access to some of PerTrac s primary functions See the box outlined in red below ti Current Universe FP Add Mew inwesonent Bp Aeeie ree brewed raed E Cuctoste investment Th Ferre kreema E eeter rio meats E irreestrrent Data Monthy Quarterly EH irssi Daia Dhek E bratair Shad neha BM irivestrrent Charts 1 Lined Master Universe Open Mew Liners Ih Seve Universe As E Create Mew Linkers aw Create Checked d
347. ses only However you can set the values for the Allocation and Leverage columns by using the controls at the bottom of the window or by typing in each cell Command buttons are also located at the bottom of the window that will execute the various portfolio analysis functions which we discuss later in greater detail Setting Up an Asset Allocation Allocation Percentage and Dollar Amount PerTrac allows you to either type in a percentage allocation per investment or a dollar amount allocation per investment The default Total Allocation dollar amount is 10 000 000 To determine the percentage of allocated to an investment enter a percent value in the Allocation column in the current universe 20 for example could be entered as either 2 or 20 Alternatively you could enter a specific dollar amount in the Allocation column Allocations may also be copied from the Efficient Frontier Optimizer or the Linear Optimizer which will be discussed later As you enter each value the Total Allocation box at the bottom left of the Asset Allocation Window displays the total allocated amount entered Clicking Reset Allocation clears all values in the Allocation columns allowing you to start your allocations from scratch If no allocation percentages or dollar 175 PerTrac User Manual v 19 1 amounts are entered PerTrac will create an equally weighted allocation to each investment Leverage The Leverage column is located to th
348. sk and will also show the timing of your new task Now that the task has been MEZUAN en day ey meth tag scheduled you must specify the path of the Settings dmx file you saved in Step 1 Check E sip the box Open advanced properties for this task when I click Finish then click the Finish B Cici Firs tp acdc thas fark 1o pour Windows ocheschube The Data Manager SQL window will open Now that ESSEE the task has been scheduled you must specify the path of the Settings dmx file you saved in Step 1 Enter the path to the saved dmx file in the window labeled Run For example if you had saved the Settings dmx file in your universe folder the path would be entered as C PerTrac Data Manager Enterprise exe a C Universe Setting dmx We e Ce Re or ee eg C w a O 5 PerTrac User Manual v 19 1 NOTE this is a sample path to the Data Manager Enterprise exe file You would enter your path or click the Browse button to locate this file However when the exe file has been entered the command a path to your dmx file must be used to specify the saved settings file for the automated database update 1 7 a Updating Your SQL Databases Quick Merge a File Options Help 4 Automated Data Update 3 Quick Merge 2 Validate Database A Compact E Error Lag Step 1 Select Quick Merge from the menu and the Quick Merge window appears Step 2 Select the Source database by EMAA clicking the Sou
349. ss or investment strategy Please see the section on creating universes for instructions on creating the benchmark universes Once universes are created follow these steps to assign a particular benchmark universe to a specific investment 1 Select the investment to which you wish to assign a benchmark universe or if you wish to assign benchmarks to all investments in a given universe open the desired universe From the Tools menu select Assign Benchmark Universe 3 When the Assign Benchmark Universe window opens make the selection to assign the benchmark universe to the current investment or each investment in the current universe 4 Click Locate to select the desired benchmark universe 5 Click OK 2 14 Exporting Investment Statistics You may find it useful to export Statistics to another program where you can manipulate the layout of the data transfer it to a disk or print it out for a presentation 1 From the Information Statistics Window click the Export button 2 Inthe Statistics Export Window there are Page Setup and Print options which you can use now to change the page setup 98 Single Investment Analysis To save this data for use in another program click Save As Select a destination folder enter a file name and a file type then click Save Click OK Exit the Statistics Export Window A Ss In addition to the Save As feature in the Statistics Export Window a Copy to Excel
350. ster Database Instructions for merging databases together can be found later in section 1 6 Please NOTE however that the Home Current Universe widow can hold a maximum of 32 766 investments NOTE The 32 766 investment limit only applies to the Microsoft Access version of PerTrac The SQL version of PerTrac has no limit on the amount of investments The PerTrac Blank V5 0 database is a blank Microsoft Access database that can be used to create your own propriety database of investments You may merge this database with vendor databases as well NOTE Our technical support staff sends email notifications to all of our clients when a database update has been posted to our site Upon receipt of the email follow the instructions in section 1 6 to quickly update your data Complimentary Databases http pertrac pertracnet com per0020 web me get WEB websections show amp PER 0020 1001 Subscription Based Databases http pertrac pertracnet com per0020 web localdata WEB DATA WEBSECTION SIMATTACHMENT PERO020_ 872 NewPriceListT riFold limiteddescriptionsSep04 pdf 24 Getting Started 1 5 Understanding Universes As mentioned above all analysis within PerTrac starts with a database of investments However much of the analysis you will perform with PerTrac will be done at what we call a Universe level A Universe is defined as any subset of investments contained within a database The file extension for Universe files i
351. stment Information window to view on the universe currently open in the Home window Search Displays the Create New Universe Window which allows for user specified information or statistical searches Search Log Displays the Search Log Window that details the results of the most recent search PerTrac Advanced Features Ili Peer HSI Style Ea Sim Peer Launches the PerTrac Peer Group Analysis module Style Launches the Style and Benchmark Analysis module Sim Launches the Portfolio Simulation and Stress Testing module 64 Single Investment Analysis Status Bar The status bar is located at the bottom of the Master Window It displays from left to right Haras 500 q Current noes lt 51 Oct 13 04 10 06 AM The name of the current active investment The name of the current active universe The number of investments in the current universe Current date and time During a search or portfolio calculation the investment display at the far left is updated to show the investment currently being processed Since all operations process investments in alphabetical order viewing this part of the status bar during an operation will give you an indication of the progress of the operation Also when an operation is being performed a small flashing clock will appear in the status bar until the operation has finished 2 02 The Current Universe Window The Current Universe Window is the gateway for al
352. t End Date Parameter s at e P Het bama pE ec my Comin o e Geer a abe parse Grist a n a ae ie On the See Ch Bija voter the Tc date cokers Chad cpt ot ed et Wie Pe tee E pou eth bo a eee fer oe deer he That eee a Ser ote heed That ee Pre Che Pe ae ee cel Pa aed PE ae re ee OE J pors C errors Setting up and running a batch search is simple 1 Search Name Click the down arrow in the Search Name column to select your saved searches There is no limit to the number of saved searches that can be included in the batch search 2 Universe to Search For each of your searches selected in the Search Name column select the universe you want to search Click the down arrow to select the universe If you are searching on your entire database select Master Universe All unv 3 Result Universe For each saved search the resulting universe will have to be named You can type a name directly into the field or click the down arrow to select a universe name from your default universe folder 4 Save Excel Report When batch running your saved searches you can elect to have the Search Summary Report automatically generated and saved as an Excel file Enter names for you Excel files in this column or click the down arrow to select a previously saved xls file 5 Open Excel Report Checking this option will open the Search Summary Report in Excel for each of the searches in your batch run 6 Open Detail Report Win
353. t Waring Hesen Eeskeated Date SeacdyCrtera Urera Careri A Ohf Mood European Satt Podiosrt Data Por Seared Berit HARSA Arrasaired Starcdard De Urreere AL utr Cl Mutudl bawen Stet Ircuffioert Gata For Standard Derste HERS aly Sanare Stordard De Fah 0 of 2 CE Muted European Statist radioen Date For Standard Dessin HERE als Arreined Starecdard Dw l Faki nosa The Pass Fail Report lists all funds in the universe your search was run on When the report opens you will have two expandable options Passed Search and Failed Search When you expand either of these options the list of funds that passed or failed will be visible These too are expandable by fund Click the plus sign next to a fund to view in row format your search criteria 3 Search Criteria Report TTS Piik pms 1 i umi e PT PO Pe he a A A Search rany Paget gt Penhi al Seger ES Search Liberia Report eee a m g hid Conin HA a iii H Gredian e750 of 1168 Hr g rem TOTER Se Dy fa Marhet teu True HPR iT g ndien jata oai pr Qitaledtondton 6 458 of 10 000 i Wironn 5085 of 10 80 D g Unchecked 125 urateched ee igh Compound erosi Return 7 007 p gl ruaa mandrid darren lt 10 0 mE ete 20 ES pasad 6256 tiled 4 564 unkown of 11 145 e papel MA Pape reer ee AD gece i Vike D urh of 1a Ii pa ag a 5 RN ra
354. t check that option any data that you entered in either the User Information or User Categories Pages will not be transferred Synchronize Performance was explained in the section titled Download and Merge Database NOTE The maximum number of investments allowed in the Home Current Universe window is 32 766 This is the PerTrac database limit TIP It is always good to backup your data when prompted We will examine database maintenance in the following section To view additional Data Manager features please refer to Section VIII of this manual 1 8 Database Maintenance View the online tutorial Most of the databases that our clients use contain hundreds or thousands of investments As the databases grow in size or as the number of users increases the potential for corruption increases Once a database has become corrupt there is a good chance that some or all of your data will be lost However there are preventive measures that will reduce the chance of database corruption 30 Getting Started Compacting and Backing up your data Compacting is a file maintenance tool It is very important that you compact your database at least once a week if not more often This is even more important if you are working with other users on a network The compacting process will keep the file structure from becoming corrupt PerTrac will prompt you on a regular basis when you close the program to compact your database Please compact Yo
355. t is similar to the traditional Monthly Quarterly data sheet in that the same data sheet is used for either data series The following steps will walk you through adding a new investment with daily or weekly data Note If you are adding daily or weekly data to an existing fund skip step 1 below and start with 2 1 Click Add New investment the first button on the left hand side of the Home window When the Add New Investment window opens enter a name for your fund and click Enter 2 Highlight your fund then click Dwesiment Data Payee on the left hand side of the Current Universe Window or by clicking the button labeled Daily Weekly bata from the Tool Bar 3 The Daily Weekly data window appears rigle tec fete Da 2 Cre Poke oP E D P ao Coca Haka Che Dee CO eT ee ele Chere Pcs Eri E kish ri T ina j Haii a kar ich e Date Contains daily or weekly dates Weekly dates must have a Friday ending date The Fill Dates Daily and Fill Dates Weekly options will populate this column for you 108 Single Investment Analysis e Performance Contains daily or weekly performance PerTrac statistics are calculated from this column of data You can use the performance data to calculate the NAV column Once the performance has been entered highlight the NAV column and click Calculate NAV from the command bar e NAV Contains net asset values PerTrac statistics are not calculated from this column of data However i
356. t side of the window under Chart Type 2 Select S amp P500 Stock Index from investments listed in the drop down list for the X Axis the index must be included in the correlation preference universe correl unv to show up in the list For more information see Changing Correlation Preferences 3 Click the Investment button to select the active investment for the Y Axis 4 Select Monthly from the Period buttons 5 Enter the Start Date and End Date keeping in mind that the benchmark investment must have at least the same months data as the current investment Click OK to display the chart The SQL version of PerTrac gives the users a higher level of investment information customization The following features BF thes lise are unique to the SQL version of PerTrac These features are nu eRE LEK designed primarily for increased efficiency for User Assign Peer Universe Information data F Currency Conversion E Fee Simulator Hg Excess Return Conversion Make Database Relational EJ Mordhly Data Entry Form Ba Potfobo Bulder E Rename Investments in Universe Files i Date Manager g Update Dat abase 107 PerTrac User Manual v 19 1 2 16 Adding Daily Weekly Data You can open the Daily Weekly Investment Data Window by clicking the pi i command button from the left hand side of the Current Universe Window or by clicking the button labeled vangiestl pata from the Tool Bar The Daily Weekly data shee
357. ta Table works in much the same way as the other spreadsheets within PerTrac 1 Inthe User Data Window click Enable Editing at the bottom of the window 2 Enter the data using the arrow keys to move from cell to cell in the table 3 When all data has been entered click Save 4 Click Disable Editing NOTE Values that decrease equity such as withdrawals must be entered as negative numbers in the User Data Table Negative numbers will appear in red and in parentheses User Data Table Workbook Designer In addition to the normal entering and editing of data in the User Data Table you may want to print the User Data Table or to 86 Single Investment Analysis reformat the overall look of the table and save your changes for future reference You can print and reformat the User Data Table using the Workbook Designer which brings up a copy of the User Data Table that can be edited 1 Click Workbook Designer button at the bottom of the User Data Table window A spreadsheet with full editing formatting and printing capabilities will appear 2 Format the spreadsheet using the options on the menu bar To change a column heading double click on it to open Header Name dialogue box To enter a formula select the relevant cell and enter the formula as you would in any Excel any existing formula for the cell will be visible in the Formula Bar The Formula One Workbook Designer has a built in Help index to guide
358. tage of available space the other column will automatically take up the remaining space 5 For each column define the label width as a percentage of the entire column the actual information will be stored in that column s remaining space 6 For each column choose a row height by entering the number of lines that will be visible NOTE Keep in mind that the information that will go in these boxes is not confined to the size of the box When there is more information than the box shows you may view the remaining information by using the scroll bars Another way to customize the Information and User Information pages as well as both the Categories and User Categories pages is by changing the field labels 1 From one of the Information or Category Pages click the Enable Edit button 4 Cut Ctrl 2 Right click over the label you wish to change Copy Chrlee 3 Select Edit Label EA Paste Ctrl TE Edit Label om PerTrac User Manual v 19 1 4 Change the caption in the desired label 5 Click the Disable Edit button 6 When asked if you want to save investment information click Yes TIP For all files supplied by data vendors changes made to any non user items will be lost when the database is updated For this reason these fields should only be edited on User files For data vendor supplied files use only the User Information User Categories NOTES and Memo pages to further customize data vendor records Rena
359. tes which once created can be generated at any time on any number of funds Listed below are some of the benefits of the Generate Custom Report option The report is generated in Excel to give you maximum flexibility when formatting your report For example you can add you logo to the report use color schemes that match your company color schemes change chart types etc The export to Excel contains over 1 000 statistics and performance measures all of the single investment charts that PerTrac calculates all of the qualitative data from the investment information pages and pre built performance and statistics tables This will give you maximum flexibility with regards to the amount of data contained in your report template 201 PerTrac User Manual v 19 1 The report template can be a simple one page report or comprehensive multi page report depending on the amount of exported information you choose to use There are only three Excel functions used to build a template cut copy paste amp copy paste special paste link You have access to 15 pre built templates that can be downloaded from our website and populated with your fund data NOTE The custom report options are designed for a single investment compared to one or two benchmarks only How do Create a Custom Report 1 Select a fund you want to use while building your template by highlighting the investment in the PerTrac Home window 2 Click the Repo
360. tes and other product news To hide the splash screen click Messages again 2 00 View Default Folders When PerTrac was installed on your computer a number of sub folders were installed as well These folders are the default folders where you will save and open files created in the PerTrac modules To view the default folders or to change paths to your folders click Help on the PerTrac upper menu bar and select View Default Folders 1 Application Path This folder is 7 typically located on you root fepdealion Pah Pwe charge daaa directory and contains all of the STAs eee ao Dais Dalabara EPer Dastamen Master Trab C leae Per Trac program files lkas Foja COCSPA e pe 2 Current Database This will Kare eon Fes Foki Pim lr en Lorae show the database currently ooo Eora en open In PerTrac Seuss Foda PPT ree a Locale n i Filani Foia CS Pama Ti dee ajli taii 3 Default Database This will a Ean e show the path to your default Dessie pes sai database which opens each ee ee time you launch PerTrac Beatas Slima Sheatie Parlors Ieiree 10 ISOMCTA bes ei Cael Barl TALA 4 Universe Folder Default eet leeds Cite t universe folder where your amane a Copp Evesa A iadaaa o E hedar E unv universe files will be saved 5 Charts Folder When creating and saving charts in PerTrac the files will be saved to this folder 22 Getting Started 6 Peer Folder When creating peer databases for analysis i
361. the Performance column If you enter data directly to the performance column or calculate the performance from the NAV column the Month To Date column will update automatically Conversely if you enter a month to date value the performance will column will update based on the change in the month to date column e Note If you convert your daily data to monthly with the Convert To Monthly option from the command bar and you don t have a full 36 Getting Started month of data the return in the Month To Date column will be entered on the monthly data sheet 4 Click Enable Editing at the bottom of the Daily Weekly Data window Enabling editing allows additional functionality to become active some of the buttons at the bottom of the window will change from grayed out text inactive to black text active 5 Click the down arrow on the window next to the heading Market Closures Select U S A Holidays Note When entering daily data there will be numerous days throughout history when the US markets were closed i e holidays weather world or economic events etc The daily data sheet has to account for these day You can not skip days when entering data To account for those market closures we have included a Market Closures schedule that will allow you to skip those dates when entering your data The Market Closures schedule accounts for all US market closures back to January 1965 This schedule can be edited if you actual
362. the window The initial settings for these fields reflect the entire time 101 PerTrac User Manual v 19 1 102 gt A period for which data is available If you are creating a correlation chart you may need to narrow this date range to match the benchmark dates Modify the relevant chart options to suit your needs Click OK to display the chart Customize the chart using the Chart Designer Edit Chart Data or Wizard options from the pop up menu You can also print or save the chart if necessary from the pop up menu Once a chart has been saved you may open it from the Master Window by selecting Load Chart from the File menu Chart Options Geometric Statistic Charts The following options are associated with the chart types in the upper left corner of the window VAMI Cumulative Return Percent Rate of Return Cumulative Dollar Profit Dollars Under Management and NAV Pa Volatility Bands Volatility bands are plotted two standard deviations above and below the moving average The moving average itself is plotted for the time period specified in the box to the right of the selection For instance selecting Volatility Bands and entering 10 in the box would plot a 10 period moving average and 2 standard deviation volatility bands above and below the 10 period moving average Moving Averages Specify up to three additional moving averages Again the length is set in the box to the right of the selection and
363. the Currency Cross Rate Database has been updated click the Convert Universe to New Currency option The Universe Currenc Conversion window appears E 2 When the Universe Currency E osst HA Emergng Marka Conversion window appears iiem t tenime oo click the Locate button to CEFE Temon HFI Gebal Mama open the universe to be FE Temon H araged Ft converted 3 Select the existing Universe Universe Cunney Danninaten Nnw Cuneney Denomination Currency Denomination to JUNTED STATES DOLLAR Eura Hem Ineectmnnt Mamry be converted and then select the New Currency 7 Cet MAV F Coment Funde Managed Denomination to be Seled lhe To Dupe converted to l E Gensel iniaa Feij o leeden Pelumas Records 4 Elect to Convert NAV if your Smin inumainPags f Use Inomaton Page Mo Suen Category Peps lip Catagory Pages fund data sheet contains NAV a Seske Psgs F bom Hen Pace o vaules that you would like to 5sspiness EIEIO CONVERT convert to the new currency Canes Convert Funds Managed if you want this data also converted to the new currency or to Override Data Source 5 Select the qualitative information to be duplicated under the Select Items To Duplicate section 6 Once all the settings have been made click the Convert button 7 The new investments have been added to your database The default name for the new funds will be the old name with the new currency in parenthesis behind the name 82 Single Investment Analysis
364. the Linear Optimization Setup Window allowing you to display optimal portfolios targeting a specific statistic 181 PerTrac Investment Summary Reports 4 01 Print Investment Summary Reports View online tutorial PerTrac contains three Investment Summary Reports Print Investment Summary Report Print Multiple Investment Summary Reports and Print Investment Information and Statistics Tables 1 To produce the Summary Reports click the 5 ete Reports tab located on the upper menu bar Print Options Then select Print Investment Summary C One Page Statistics w Reports One Page wiih Charts Cancel 2 The Report Setup Window will appear F Turo Page wth Charis Chatt Options There are three investment report options One pass femm Page Statistics One Page with Charts Two A eee Page with Charts The report date range is shown below the report options By default the date range is set to cover the entire data history of the fund The Starting Date and Ending Date can be changed if you want to run the report over specific time periods or market cycles 3 Ifyou select One Page with Charts or Two Page with Charts there is a Chart Options button on the right side of the setup window to format the charts The output for each report consists of the following a One Page Statistics This one page report contains the qualitative information from the General Investment Information page as well as the tab
365. the appropriate button from the list of options located in the Second Axis frame 3 Select Quarterly from the Period buttons 4 Specify the 3 year time frame for the chart by entering a Start Date and an End Date keeping in mind that quarterly date ranges must begin on January April July or October and end on March June September or December 5 Click OK to display the chart 106 Single Investment Analysis Rolling Period Chart Example Say for example that you would like to create a chart showing an investment s average rolling 12 month rate of return line together with monthly return bars 1 From the Investment Charts Window click the button labeled Rolling Statistics on the left side of the window under Chart Type 2 Select Compound Return under Rolling Statistics Options 3 Type 12 into the Number of Rolling Months box at right to specify the length of the rolling period calculation 4 Check the Box labeled Show Rate of Return Bars and select Monthly under Data Type 5 Type in the desired time frame using the Start Date and End Date boxes at lower left or leave them alone to include the investment s entire data history 6 Click OK to display the chart Scatter Correlation Suppose you want to chart the monthly correlation of an investment to a benchmark e g S amp P 500 Russell 2000 CSFB Hedge Fund Index 1 From the Investment Charts Window click the button labeled Scatter Correlation on the lef
366. the dates and performance for the benchmark 3 Select the PerTrac option to automatically back fill the investment data with zeros or a risk free rate This option will have the greatest impact on skewing the return standard deviation and correlation of the investment when generating the efficient frontier 4 Select a PerTrac option to back fill the data with a zero prior to generating the efficient frontier and then change the inputs when you enter the efficient frontier setup window Note This option willl initially back fill the investment s data with zeros or a risk free rate which will be reflected in the annualized return standard deviation and correlation to the other investments However you can then change the three inputs when the efficient frontier setup winodw opens To do so click the Advanced Setup button on the lower left When the Advanced Setup window appears click the Risk Return and Allocations tab to change the return and standard deviation for the investment You could enter the return and standard deviation the investment actually achieved over its short data range or enter a return and standard deviation that more closely represents the strategy or asset class over a longer term date range Next click the Correlation Matrix tab to change the correlations between the investment and the other investments in the universe 283 PerTrac User Manual v 19 1 Tip To locate the actual return and standard devi
367. the logarithm of the actual return time series This method forms a flatter distribution with fatter tails emphasizing positive skewness For example if your portfolio distribution is positively skewed and peaked at the mean this method will smooth out the distribution but preserve the positive skewness The advantage of the lognormal approach is allowing you to preserve the positively skewed data The disadvantage is incorrectly using this method for a distribution that is either negatively or slightly skewed which would distort the results GARCH Generalized Autoregressive Conditionally Heteroskedastic This is the most complex model available in the Monte Carlo module It hypothesizes that volatility is time varying and serially correlated Returns are uncorrelated from period to period This pattern is stronger in daily returns and diminishes for monthly or quarterly returns Historical returns typically do not exhibit any significant autocorrelation but the squares of the returns often do This behavior is the motivation for stochastic volatility models GARCH models are a class of stochastic volatility models that exhibit the typical fat tails of return distributions together with serial correlation in volatility 7 02 Portfolio Simulation and Stress Testing Setup View the online tutorial PerTrac contains a Value at Risk Monte Carlo portfolio simulator that builds probability distribution outcomes for several risk measures To
368. the style universe We can see that over the date range computed the fund shows a small allocation to cash small allocation to small and large growth and the majority of the allocation to mid cap value and large cap value 2 The window on the lower left contains a pie ces chart and correlation statistics of the investment ae to the style benchmark The style benchmark is P k the composite benchmark comprised of the P allocations listed in the allocation window It is important to NOTE that the style identified in such soe Alobar 27 A an analysis is in a sense an average of potentially changing styles over the period covered Month to month deviations of the fund s return from that of style itself can arise from tja selection of specific securities within one or more asset classes rotation among asset classes or both security selection and asset class rotation The term SELECTION in the pie chart is used to cover all such sources of tracking differences 3 The charts to the right of the pie chart show the s ssesestemees cumulative return for the selected investment the i style or blended benchmark and the market index and a differential performance chart between the investment and the style and market benchmarks ened Poe Hit n Bic miia Paie maea PerTrac User Manual v 19 1 4 To view additional style analysis charts click the charts tab located on the 236 menu bar The charts
369. then select a new Investment or Benchmark with a start date later than the original common start date the impact analysis start date will automatically change to reflect the new common start date Note The start date will only change when you select an Investment or Benchmark requiring a new common start date You can not manually change the start date You can however change the end date 146 Universe Multi Fund Analysis Note Remember the impact analysis feature is designed to analyze the affects of adding an investment to your existing portfolio or universe Your initial universe will be open in the universe allocation window Your funds will have allocations either manually entered or equally weighted if you don t enter your allocations If you enter different allocations for each of your funds they will be proportionately reallocated based on the existing weights when the new investment is added to the mix If the allocations were equally weighted they will remain equally weighted when the new fund is added through Impact Analysis On the universe allocation window you also have the option to re balance your portfolio Never Monthly Quarterly or Annually These options will also be taken into account when you add a new investment to your portfolio through Impact Analysis 11 Refresh Charts Click the Refresh Charts button when you change any of the following options Rolling Periods Show Last Periods or End Date I
370. then select either Cut or Copy from the pop up menu To paste the contents of the clipboard select the cell that represents the upper left corner of the range in which you want to paste and select Paste from the pop up menu Inserting or Deleting Rows Columns or Cells To insert a row or column click on the row number or column letter just below in the case of rows or just to the right in the case of columns of where you want the new row or column to go Select Insert from the Edit menu To insert a cell highlight the cell where you want the new cell to go and select Insert from the Edit menu The current cell and all cells to the right will be shifted right to accommodate the new cell To delete a row column or cell click on the row number column letter or cell you want to delete and select Delete from the Edit menu Adding a Chart To a Report From the Workbook Designer click the chart icon at the far right of the icon bar The chart tool will be activated Click and drag on the sheet to define the size of the chart and where you want it placed Once the chart area is defined the Chart Wizard will open giving you a variety of charting options Help Index The Workbook Designer also has a Help index to guide you through various tasks The online help can be accessed from the Help menu 186 PerTrac Publisher Reports 4 05 PerTrac Publisher Reports View the online tutorial PerTrac Publisher is a comprehensive report genera
371. tion will remove these orphaned records during the validation process Data Merge Contains four data merge options using the Quick Merge function 1 Always synchronize all destination performance records with source If your source database contains the same funds as your destination database but the source contains longer performance histories or different data streams for any reason you can synchronize the destination database with the source The destination database data streams will be wiped out and replaced with the data streams from the source database Select this option if you always want to synchronize with the source database 2 Always Merge User Information If you merge a source database that contains information that you entered in the User Information User Categories or User Memo fields and you always want to merge this data with the destination database check this box NOTE When you check this box on this Data Manager Options tab it will 262 automatically be checked in the Quick Merge window 3 Always Back up the Destination Database Check this option if you want to backup your destination database as a preventive measure prior to merging If something goes wrong during the merge you will have a backup of the original 4 Always Merge Benchmarks When you assign a benchmark universe to an investment that assigned benchmark universe and the investment become linked from a database standpoint Whe
372. tistics to optimize a portfolio annualized return standard deviation and correlation of the inputs TIP PerTrac allows you to enter your own assumptions for return standard deviation and correlation if you desire Please see the section on Advanced Setup below The top of the window contains a table with the name of each investment in the current universe along with columns titled Minimum Allocation Maximum Allocation Annualized ROR and Annualized Std Dev a Lies capo LE eer ues arena Phot ae rh hata aed cme ofan Karate ine rent E eer camera She ated emt 159 PerTrac User Manual v 19 1 setting Minimum and Maximum Allocations You can set minimum and maximum allocations by clicking on the relevant cell and entering a percent value 10 for example would be entered as 10 or 10 To use a common value for each investment make an entry in either the Set Minimum box or the Set Maximum box and click either Set Minimum button or the Set Maximum button Altering Rate of Return or Standard Deviation You can enter your own assumptions in the Annualized ROR column or the Annualized Std Dev column by clicking on the cell and entering the value as above Entering the Number of Points to Plot You can choose to plot between 0 and 1000 points each of which represents a different allocation on the efficient frontier Advanced Setup Clicking the Advanced Setup button on lower left of the Efficient Frontier Setup Win
373. to There are 50 available fields on each System and User Information Page which are labeled Field 1 Field 50 NOTE By defaut the labels shown are Field 1 Field 50 However if you enter labels on the information pages those new labels will be shown the dropdown list Step 4 Add your new dropdown item Click on the Field 1 label Then click the Add button on the menu bar and select Add New Dropdown Item E Create Dropdown Lists Sort Save Add Mew Dropdown Item Import DropDown Item List Step 5 Name your dropdown items As you add and name your dropdown items they will appear under the field to which you are adding them to In this example the field name is Legal Docs Remember Sort Save however that this label can be J User Information Page 1 changed at any time by going Sj 4 Legal Docs to that field on the User Offering Memorandum Information Page clicking cc Pertrac Offering Memorandum doc Enable Edit then entering a new name for that field Once you add your labels to the User Information page fields they will show up in the Create Dropdown List window Then add dropdown items associated with that field TIP Your dropdown items can take numerous forms They could be names places text or a link to a document file For example you could set a link to a Word document Excel spreadsheet or any other file you wish to associate with a number of funds Step 6
374. to add all of the investments in the Current Universe Window to the New Universe List Box Double clicking an investment in the Current Universe List Box will also add that investment to the New Universe List Box Add 118 Universe Multi Fund Analysis investments until you have the universe of investments that you want Once investments have been added the Remove and Remove All commands can be used to reduce the number of investments in the New Universe List Box The Add Add All Remove and Remove All commands are also available from the right click menu 2 Click Save New Universe 3 When the Save As window opens enter a name for your universe 4 Click Save NOTE While in the Create New Universe window multiple consecutive items may be selected by dragging your mouse over them Non consecutive items may be selected by clicking the mouse while holding down the CRTL key TIP A right click with the mouse button in the Home screen will give you a shortcut to creating or opening a universe Creating a new universe by modifying an existing universe Another way to create universes is by loading an existing universe into the New Universe List Box then adding and removing investments as desired 1 From the Create New Universe Window click Add to a Universe 2 When the Open dialogue box appears select an existing universe file then click Open This places all investments from that universe into the New Universe List Box
375. tor which enables you to quickly create customized client and prospect performance reports investment committee documents and more There are three benchmark report options and two custom report options The Benchmark Reports include pre built Performance Style and Peer Analysis reports that can be run on a single fund or multiple funds The two Custom Report generators Generate Custom Reports and Generate Combination Reports give users a powerful tool for creating their own custom report templates ioe Lil ds Lich on Wea mmu Ie lha let ta yee a i opie ef ee pol Dbe cich he econ bo gamae Ha ep 4 06 Performance Measurement Report View the online tutorial This report is a comparative performance and risk analysis of an investment versus one or two benchmarks NOTE All publisher reports can be generated on a single fund or a universe of funds This report contains the following tables and charts Period Return Performance Table This table contains the 1 Month 3 Month 6 Month YTD 1 2 3 5 7 amp 10 year annualized returns for the selected investment and benchmarks The table also contains the differential time period ESisi performance between the investment and the benchmarks Calendar Year Performance This table contains the last 10 years of calendar year ies returns for the investment and the PerTrac User Manual v 19 1 benchmarks The table also contains the differential calen
376. tricting the date range with an appropriate benchmark proxy that has a longer data history 2 Back fill the investment data stream with a benchmark s data This option would keep the short history of data for the investment and back fill the remaining history with an appropriate highly correlated benchmark Note To back fill the investment data make a duplicate of the original click Investment Data to open the investment s data sheet insert rows above the investments first data point and then enter the dates and performance for the benchmark 3 Select the PerTrac option to automatically back fill the investment data with zeros or a risk free rate This option will have the greatest impact on skewing the return standard deviation and correlation of the investment when generating the efficient frontier 4 Select a PerTrac option to back fill the data with a zero prior to generating the efficient frontier and then change the inputs when you enter the efficient frontier setup window Note This option willl initially back fill the investment s data with zeros or a risk free rate which will be reflected in the annualized return standard deviation and correlation to the other investments However you can then change the three inputs when the efficient frontier setup winodw opens To do so click the Advanced Setup button on the lower left When the Advanced Setup window appears click the Risk Return and Allocations tab to change t
377. ts Publisher Templates publisher template 1 ls Locate Template a f Save Reports In Folder CAPerTrac Locate Folder f Leave Template Open Single Investments Only Overwrite Existing Files Step 3 Formatting amp Saving the Report Now that your template has the data use Excel s formatting capabilities to format the report Add your company logo change the colors to reflect your company color schemes add headers add disclaimers and then Save the template PerTrac Publisher Tips amp Tricks PerTrac Publisher Custom amp Combination Reports Select Information Pages Set Charting Options and Style Map Setup options PerTrac Publisher has two custom report options Generate Custom Reports and Generate Combination Reports These two reports are Excel workbooks that contain a large amount of PerTrac data on numerous worksheets within the workbook There is a Library tab in both workbooks which contains all of the single investment charts available in PerTrac Whether or not some of these charts get populated and with what data depends on the choices made prior to running the report Both reports also contain an Information and Information2 worksheet that contains the investment qualitative data exported from PerTrac The qualitative information available for your template will also be determined by selections you make prior to running the report In addition to the single investment charts and investment qualitative in
378. ts or interval points using annual positive and negative cash flow assumptions 1 Efficient Frontier Export Report As stated earlier the Export option _ _ lallows you to export your portfolios breakpoints or interval points into a template that displays pre drawn charts and tables in an attractive Excel based format These templates are fully customizable and can be used as templates for all of your exporting from the efficient frontier Once you have plotted your desired portfolio s click Export A new dialog window will appear prompting you to choose breakpoints interval points or portfolio s to export EF earl Fie NOTE The breakpoints are the red corner points on the efficient frontier line the interval points are ten portfolios PerTrac creates equally spaced portfolios across the efficient frontier line from conservative to aggressive the portfolios option will produce a report containing the portfolios the user has plotted either on or off of the efficient frontier line Once you have selected one of these three options you must click Locate to specify an export template PerTrac is pre loaded with three custom templates and one blank custom template for this function At this time we have a template Efficient Frontier From Jan 1999 to Jul 2004 Tie that compares two portfolios three E a oe L be boortfolios and one to ten portfolios All of these templates are Armd Hr un ra 2 3 Reports su
379. u can also compact your database at anytime from the Tools Data Manager option within PerTrac NOTE Do not use Ctrl Alt Del while compacting a database This action will actually corrupt your database to the point that all data will be lost Let the process finish even if your task manager says it is not responding TIP For more technical preventive and repair measures have your IT department review this Microsoft Access Database site http support microsoft com default aspx scid kb en us Q306204 1 9 Adding Investments and Performance Data to a Database View online tutorial PerTrac allows you to enter or FERRE aire nen import your own investments Enter New Investment Hame returns and data into your Sample Irvestmert database To add a new can Comet DetaSowce flier a investment use the Add New x reina Investment button Th IS Type thre investment name in the above test bos The character T and T should not be ured ri button can be found in the top Ine name Please Ge nre lo erie the conect dala pource name Wh n mehed press enter left corner of the PerTrac Home window This is the easiest way to enter funds into the database If you need to import a number of funds please call tech support and we can give you details on using the Import function within Data Manager Once you click the Add New Investment button PerTrac will prompt you to Enter New Investment Name The name you enter will be display
380. u have assigned specific Peer Groups to the funds in the universe check the Use Assigned Peer Universe option If you have not assigned benchmarks the two benchmarks shown in the select benchmark windows will apply to all funds in the universe Please refer to section 2 13 for instructions on assigning benchmarks 4 When generating the report on a universe of funds there are two options for outputting the reports Print which will send the reports to the printer and Save Reports in Folder which will save the reports in a designated folder 5 If you would like to overwrite existing reports select Overwrite Existing Files 6 When you generate the report you can elect to Export Peer Statistics which creates a table listing the funds in the peer group universe and their values for each performance measure and statistic in the Peer Group Report To access this data once the report is generated click Format Sheet Unhide on the Excel menu bar Then select Peer Group Data to display this sheet TIP If you choose to save the reports in a folder click Locate Folder to locate the folder where the reports will be saved The reports will be saved under the names of each of the funds in your universe 4 09 PerTrac Publisher Generate Custom Report The Generate Custom Report option is the first of two powerful PerTrac Publisher custom reporting tools These reports were designed to give the user tools to create their own custom report templa
381. u must select the MasterPerformanceReportQuarterly Excel template 5 Click Generate Reports This will open the report in Excel The report will be a read only file so you must save the newly generated report with a 190 PerTrac Publisher Reports different name For example you might want to save the file with the report date in the file name There are three output options for generating your reports Print which will send the report directly to the printer Save Reports in Folder which saves the file s in a folder of your choosing Leave Template Open Single Investments Only which will open the report in Excel There are three output options for generating your reports Print which will send the report directly to the printer Save Reports in Folder which saves the file s in a folder of your choosing Leave Template Open Single Investments Only which will open the report in Excel TIP You may make formatting changes to the report prior to saving You can add your logo to the report change the colors or format the report in any way using Excel s formatting functions You would then save the template under a new name This would be your new template which you could select for future reports in Step 3 of this process How do Generate the Performance Measurement Report ona Universe of Funds The process for generating the Performance Measurement Report on a universe of funds is the same as the process listed above
382. und January 1997 to Aupust 2004 Print Prints the report Print Preview Displays a preview of how the report will look Print Setup Allows selection of printing properties such as printer paper source and page orientation 4 Page Setup Allows specification of margins headers footers etc Print Titles Allows you to highlight a field in the report that will be used as the report title 184 PerTrac Investment Summary Reports Save As Saves the report for future use When saving the report you can choose a different file type such as Excel which will allow you to view the report in a different program later Select Information Opens the Report Setup Window allowing you to change either the date range or the report type Previous Shows the report for the previous investment in the universe Next Shows the report for the next investment in the universe 4 04 Workbook Designer The Workbook Designer is used to display and edit most reports created within PerTrac It gives you tremendous flexibility when it comes to formatting editing or saving reports The Workbook Designer can be activated by placing your cursor over the report and double right clicking This action will opens an editable copy of the report in the Workbook Designer and allows you to save the report for future use NOTE You can also open the Workbook Designer program directly by selecting Programs PerTrac Spr
383. upper left field values on the General Investment Information page Depending on the data vendor that field could be manager name fund name company name etc Related Funds will list all investments with the identical value in that field Make Database Relational takes the relationships one step further by using a number of other fields on the General Investment Information page to further group investments For example address information or contact information will be scanned to determine if there is a match 2 02 a Adding New Investments Add New Investment The Add New Investment Add New Investment window now Ents Now Investment Name contains the functionality to not only name your investment but to also Dala iure Uas assign your new fund to a new or lt a lt existing Company The Add New Tn ie iea name ite daa bon The aia T also cl be ne EN imie in the name Pierie be tae bp anta Ge coed ists pua na han finghed pine Investment button is the first button on the left hand side of the PerTrac Home window 113 PerTrac User Manual v 19 1 TIP The result of assigning a fund to a new or existing company will be to create a relationship between funds with the same Manager Name Fund Company Company Name Fund Family or other field label shown in the first field on the upper left hand side of the general Investment Information page NOTE There is a 32 766 investment limit that applies to the Microsoft Access
384. ur search Saari 2 Click Move Up to move the selected row up in the Search Builder table 3 Click Move Down to move the selected row down Manat Caer ad i 4 Click Add Row Above to insert a row above the highlighted row Add Aow 5 Click Add Row Below to insert a row below the highlighted row a a 6 Click Delete Row to delete the highlighted row a Deky Ba Value Hints Options amp Errors i Value Hints E Options E Errors ee ees These tabs appear at the bottom of the Search Button window Information related to these tabs is displayed in the area just above them 1 Value Hints This option applies to statistical criteria and will display a definition of the selected statistic and hints related to values the user could enter for that statistic 2 Options There five available options i View Criteria By option to view your Criteria selection list by category or alphabetically li Automatically Launch Search Report Window This option will automatically launch the search report when the search is complete Note Depending on the size of your database the search report could take some time to run You may want to uncheck this box You will always have the option to manually run the search report when your searches have run 122 Universe Multi Fund Analysis lil Use PerTrac ID Fund Groupings and Data Vendor Priority This option when check
385. v Since investments can only be removed from the Master Universe the Master Universe must be loaded in the Current Universe Window before attempting to remove an investment NOTE Once an investment is removed from the Master Universe all information and data are lost and are irrecoverable On network or multi user systems this function may be restricted to the system administrator e Zh Duplicate Investment _ Creates a copy of the selected investment with same qualitative information and performance data sg Rename Investment _ Renames the investment but keeps the information and performance intact e amp Investment Information _ Opens the Investment Information Window which contains qualitative information about the current investment Investment Data Monthly iuarterly Opens the Investment Data Window where you can enter view and edit the monthly or quarterly performance data for the current investment ee ee ee Opens the Investment Daily Weekly Data Window where you can add and edit daily or weekly performance vesiment statistics _ Opens the Investment Statistics Window which contains summary performance statistics for the current investment lll Investment Charts _ Opens the Investment Charts Window where you can create charts on numerous performance and risk measures E Load Master Universe Scans the entire database and builds and displays the Master Universe file All unv i E Open
386. ve the template under a new name This would be your new template which you could select for future reports Step 4 of this process How do Generate the Peer Analysis Report on a Universe of Funds The process for generating Peer Group Reports on a universe of funds is the same as the process A Sine tt Mugia Hepi San i r g s 15 da Fi CH pa j i Fe E n C Ureirvesinent aoe Fs SS Risk FeeAOR crate following exceptions CA PerTenc Unnvetse Longe Cap Wakas Paun Ending re wpand TAAL Egay Income Ta Une Common Stai mans bet aah DFA US Hah Besk ba Haie a and End Dae ABH AMAD Yaua h o ASN AMPIO TAMPO Lange Cap V shue H Luasa Pree Group Li never oe aa a aan for Rik ften e Paia dima a Va Paa iar L cas Fee Tatiago Scotter Pit minate oun B ma TE erate apiti M UeAbre palak z Ute irani Date Riri fencinak Lime ph Ta Felke eee duer pem i Lente Banderak Berets d Furmi O Vater bde ORI MiG Wahine Lange Value Index Berchrregek i A e FILE Bore e O Lere Tempie Open Snak lervestments Dry iY Oversite Existing Fies i Expert Poar Siatisics PerTrac Publisher Reports 1 In section 1 of the setup window select the Use Universe option 2 Click Locate Universe to select the universe on which the reports will be generated 3 If the universe contains funds with different strategies or asset classes and yo
387. ver Report the s veresot Portfolio Report can be used to illustrate the entire simulation distribution from the 5 to the 95 percentile on your selected Portola Simulation portfolio The only options available in the dropdown menu are N portfolios plotted on the efficient frontier If you wanted to test E fea one of the breakpoints or interval points using the Portfolio Be poses ae Report you must plot it as a portfolio Select your desired portfolio from the dropdown menu and specify the boundaries of __Fertoio Report Ite displayed distribution As stated earlier you can show from the 5 to 95 percentile Click Portfolio Report to send your results to the specified template Key pages from a Portfolio Report are displayed below Protesbalty Shonfal 3 12 Efficient Frontier Custom Report Export Efficient Frontier Optimization Results Simulate and Export FELCE AEEETETETEEE LECETECETEEE OPEC ett TETETETETETE ETECETETETEE TEETE t ote ad poani The Efficient Frontier Line stamac L5 land underlying data can be exported into an Excel psc cto template using the Export button The export feature and the template function similarly to PerTrac Publisher Templates Additionally the Simulate button will launch the Portfolio Planning and 170 Optimization amp Simulation Simulation Tool which will enable you to run probability analysis scenarios on your portfolios breakpoin
388. vestment O7 PerTrac User Manual v 19 1 88 5 Once you have finished formatting select Save from the File menu or click the Save button 6 When the Save dialogue box opens save your work under the same name UserDefaultTable vts 7 When asked if you want to replace the existing file click Yes Your new User Data Table will replace the pre formatted table and will automatically open when the User Data Table button is clicked User Data Table Command Buttons Previous Displays the User Data Table for the previous investment in the Current Universe Next Displays the User Data Table for the next investment in the Current Universe Copy Copies the current User Data Table including column headings to the clipboard which you can then paste to another spreadsheet program Workbook Designer Displays the editable Workbook Designer spreadsheet for the current User Data Table Save Saves data input into the User Data Table This button will not save format changes made to the table using the Workbook Designer See Changing the User Data Table Universal Format above Enable Editing Allows users to edit the User Data Table Disable Editing Prevents users from editing the User Data Table Exit Closes the current User Data Table Leverage Data Table In much the same way as the User Data Table the Leverage Data Table allows you to keep additional data on the investments in your database To
389. will open the Save As window to name and save your file The file will have a dmx extension NOTE Be sure to remember where this file is being saved In the last step of this process you will have to specify the path of the saved Settings dmx file 56 Getting Started SQL Version Step 2 Schedule the task Click the Start EZMEK button on your desktop Select Control BE Estes the rime and pasword ofa user The tank will Panel and then double click the Scheduled z Tasks option The Scheduled Task Wizard Ertethouwuname ENS Epi the at d Gangs F i remia garii Ey hai upi window opens Click the Next button to proceed to the program selection window Pye From this list select Data Manager SQL If gill e T Data Manager SQL is not listed click the iak Browse button to locate the program located _ Bac Lancet C PerTrac DataManagerSQL exe Click the Next button Step 3 The next window will prompt you to select the period i e weekly monthly you want to perform the scheduled task running the automated database update Din pe Step 4 The next widow will prompt you to select the day and time for the task Step 5 The next window will prompt you to enter a User Name and Password for the computer performing the scheduled task Enter the data then click the Next Final Step The last window will appear Scheduled Task Wizard an q stating that you have successfully scheduled la pene alge fa the ta
390. xt the name Crean Pees Charts l 9 2 Enteradaterangeinthe ahs SS steam From and To boxes or click the isin ilaina ifibeweie bike Arrancar ld se CSFB Tsermcrd HFI Egui orb Plat Default Dates button to select sss vanr CSFB enon EDn o the widest possible date range sipeneireyemn Etine o Pam riem CSFE Thresa HF Lire ih Epy 3 Select a chart type from the iisen saman Select Chart Type box If you wish to sample the available charts select the All Charts option 4 For Period Return or Rolling dang Yea Ren pet iaciPee cheese pi Return charts choose either oe Percentile Ranking or Return anadai vs Universe from the Chart Format box 5 For Custom Statistics charts click Locate Template and select a previously created Peer Group Statistics Template file discussed later in this section The Custom Statistics chart also allows you to generate a report that displays a table of data related to the specified chart To activate this feature check the box labeled Create a report when a chart is created The default increment for the report is deciles To change this to quartiles check the box labeled Report Quartiles 245 PerTrac User Manual v 19 1 6 For risk return charts select the desired risk statistic and the number of years from the dropdown menus in the Risk Return Scatter box 7 When all the options have been entered click Create Chart Chart Options Clicking Custom Chart
391. y Hide Worksheets which is an option to use only after the template has been built and Remove Textboxes NOTE Textboxes are PerTrac s way of exceeding Excel s 256 characters per cell limitation If you enter large amounts or text in the Investment Information fields creating text boxes when the data is exported will allow you to include that data on your template by cutting the textbox and pasting it to your template If you do not need textboxes for your qualitative data choosing the Remove Textboxes option will soeed up your report generation 5 Select Information Pages Click the Select Export Information Pages to select the investment e mn F Sysamn Caingodiaa 1 ha mpane alee information you want to export into the report ES paaa F Sprem Caingen 3 he Seren D p al fe Sector Ommy nr ae G DO lie IC cetacean 1 Che ape M Uha Cam 3 l D Cap M Uha C 9 T lhi Caa E 204 Set Charting Options PerTrac Publisher Reports The second option in step 5 is to set your charting options When creating a custom report you will have access to all of PerTrac s single investment charts They will be located on the Library sheet in the MasterChartLibrary xls template Whether some of those charts get populated and with what data will be determined by your selections on Set Charting Options page ps Rol ling Statistics here Bi Per Trac Publisher Chart Preferences are 5 rolling statistics ch
392. y want all the dates to indicate the last day of the month To do this highlight all the dates that you would like to alter then click Dates End of Month While the day of the month will not be displayed in the cell itself the change can be viewed in the Cell Contents Field just above the data table Move to the Performance column either by hitting the Tab key or by clicking on the appropriate cell You may enter percent or decimal format by selecting ether Enter Performance as Percent for example 2 5 entered as 2 5 or Enter Performance as Decimal for example 2 5 as 025 be Enter Performance as Percent ie Enter Performance as ees button just above the formula bar Single Investment Analysis 7 Alternatively you can copy an entire series of data from a spreadsheet and paste it into the date and performance columns 8 If you are tracking the dollars under management for the investment or a fund NAV you can enter the Dollars Managed and NAV in their respective columns If you do not know or do not care to track the Dollars Managed or the NAV you can leave the fields blank and PerTrac will fill in zeros when the data record is calculated Similarly PerTrac will automatically enter NO in any blank cells in the Estimate column 9 Continue to fill in the appropriate cells for each row that contains a date 10 Once you have entered all the data click the Recalculate button at the bottom of the window to update the VAMI
393. yReport and DailyReport files can also be used for weekly data streams 2 05 Adding Performance Data View the online tutorial Adding Monthly Performance Data All new investments will initially require that a data stream is entered in the Investment Data Window All existing investments with the exception of those supported by your data vendor which are updated when you download a new database also require monthly or quarterly updates as performance data becomes available 1 From the Current Universe Window highlight an investment and click the Investment Data button 2 If you are adding data to a newly created investment you will see a message telling you that there is no data for this investment Click OK 3 The next window will ask if you want to enter data in quarterly format If you will be entering monthly data select No 4 Click the Enable Editing button at the bottom of the Investment Data window Notice how the button is renamed as Disable Editing Enabling editing allows additional functionality to become active Some of the buttons at the bottom of the window will change from grayed out text inactive to black text active Also you will notice a formula bar appears just above the data table which displays the contents of the current cell 5 If you are adding a new row to an existing data record PerTrac will automatically fill in the next date Otherwise you can enter the date by typing it in mo
394. yed in the box directly beneath the Select Optimization Method button Specifying a Compound Rate of Return Threshold You can also specify a minimum threshold for the annualized rate of return For example if you define the threshold as 5 the optimization solution will ignore results that do not produce a historical annualized return of at least 5 Specifying the Allocation Increment The optimizer requires you to specify an increment for allocation This is the increment at which new optimization solutions are considered For example setting the allocation increment to 5 means that each allocation value that is 156 Optimization amp Simulation divisible by 5 will be considered for each investment To select the allocation increment select a value from the pull down menu NOTE Make sure the allocation increments are divisible either by the minimum or maximum allocation or you may encounter an error Specifying the Search Range In the bottom right hand corner you have three options for conducting your search low medium and high Each method samples the available data and generates allocations based on the statistic for which you optimized Selecting Low produces results faster but gives a more general picture of the possible allocations while selecting High will take more time but will generate more results in a tighter cluster All three generate sample portfolios and do not display every possible so
395. ying Allocations to a Portfolio Once you have found a suitable allocation distribution you can copy it directly to your current portfolio 1 Highlight the column within the table containing the desired allocation or select the desired dot in the Scatter Plot When you select a point on the scatter plot the Allocation List Box will update to display the allocation percentages and statistics for that point 2 Click Copy Allocation to Portfolio The Asset Allocation Window will appear with the specified portfolio allocations The Allocation List Box also contains a Copy Allocation Button which you can use to assign the current allocation to your portfolio essentially creating a new investment with the selected allocations Please refer to Converting a Portfolio to an Investment and Saving an Asset Allocation in Chapter 8 Asset Allocation 158 Optimization amp Simulation 3 11 Efficient Frontier Optimization View the online tutorials 1 Efficient Frontier New Features 2 Efficient Frontier Overview 3 Efficient Frontier Setup Setting up an Efficient Frontier Optimization Clicking the Efficient Frontier buton from the Asset Allocation Window opens the Efficient Frontier Setup Window where you can create a powerful Markowitz quadratic optimizer that displays a traditional efficient frontier curve and allows for extensive analysis of various investment portfolios This analysis oa Bere uses three sta
396. you through additional tasks See Using the Workbook Designer for more information 3 When the formatting is complete select Write from the File menu or click the Write 4 When the Write dialog box appears give the file a new name The name can be anything except the default filename for the User Data Table UserDefaultTable vts 5 Click Save Once you have created a customized spreadsheet you can re open it choosing Read from the File menu Changing the User Data Table Universal Format Although the method described above allows you to change the format of a particular soreadsheet you may wish to change the initial appearance or Universal Format of the User Data Table for all of your investments Once defined the format for the User Data Table becomes universal throughout PerTrac This means that the column definitions formulas and other formatting will be the same for all investments while using the User Data Table 1 From Tools tab on the menu bar select Workbook Designer This will open the Formula One Workbook Designer program which is included with the PerTrac software 2 Once inside the Workbook Designer click Open on the File menu 3 Select UserDefaultTable vts from the PerTrac directory and click Open This will open the default User Data Table format 4 Set up the data table as you would an individual User Data Table keeping in mind that this will be the setup for the User Data Table for each in
397. ze the rean narea bera aes Efficient Frontier fees S Setup by replacing parung the historical aie 0 Ye correlations with your own a ai arap Constraint A Comelation Mates ei Ba La E Le assumptions The Risk Return and Allocations can also be used to customize the Efficient Frontier Setup by replacing the historical returns with your own assumptions E ieem rer Bde lup Fa an 1 rF a a AA Pies LE a SL peed Haig Pad Pies Be Pe Er prey eet Pee Pet BY aio Pe binei iit ree CA Piina p hal fags ae TIP You will notice that there is no Save button in these windows The Save option is located on the efficient frontier chart created when you click Display from the advanced setup window To retain the changes you have entered in the Correlation Matrix or Risk Return and Allocations tabs click Save on the efficient frontier chart immediately after the chart appears NOTE If you change the mean or standard deviation for any input in the analysis the correlation table is not changed You must manually adjust the correlations Additionally if you change an input s return PerTrac will ask you whether you want a geometric or average mean which will redraw the historical distribution based on your inputs Any changes to the underlying data will flow through to the Simulation module When you are finised with the Advanced Setup Window click Display to view the Efficient Frontier Plot 161 PerTrac User Manual v 19 1

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