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PME is a full function performance measurement model that is web based and integrates with any trade order/entry or fund accounting system. It can utilize any existing data warehouse, ODS, or relational repository of trade and cashflow information and produces a tree-structure reporting database for the calculation of returns at any level from security (cusip) to asset class to corporate entity. It is designed to self-correct for post period transactions that must be included for “trade date” returns and has auto-detection features which will produce notifications on prior period adjustments which may necessitate restatement of results.

PME is especially well suited to support contribution or attribution analysis. Security indicative and analytic data are stored in the database enabling returns to be calculated at any aggregation level such as industry, sector, asset class, or seasonality, duration, or convexity groupings. Monthly, intra-period, or daily returns are possible depending upon valuation frequencies.

Some of the Key Features of PME include:

  • Custom System Components
  • Scalable Web Based Architecture
  • Selectable Calculation Methodology
  • Performance specific data correction facility
  • Multiple Return Types
  • Batch and online recalculation capability
  • Flexible Parameterized Reporting Click on any link to learn more about a specific feature.

 

Custom System Components:
All components of PME are customized to the client’s requirements including:

  • All codes currently
  • being used by other related systems such as transaction codes, country codes, industry codes, portfolio codes, asset classes, sectors, etc.
  • Field or data element names and formats that are commonly known and used
  • Special user defined fields to enable group reporting or analysis
  • Dissimilar or external data sources are integrated and normalized
  • ETL (Extract, Transform & Load) routines are customized to fit the client’s data structures
  • All batch procedures are integrated into existing production schedules
  • Multi currency returns to support various reporting requirements Scalable Web Based Architecture

PME is powered by WebFocus™ one of the most versatile data analysis products on the market. It can be installed on virtually any hardware platform and is compatible with all known operating systems. As a result, PME can utilize over 200 different data adapters enabling it to access virtually any data repository. The scalability of PME and its Web architecture make it the ideal choice for small or large organizations where it can be deployed on a single PC, intranet server or mainframe for enterprise wide availability, or extranet server for external client access.

Selectable Calculation Methodology
During the implementation of PME, the client can select from a wide spectrum of calculation methodologies based upon the specific portfolio, asset class or individual security characteristics. For example, some assets may use factors while others may use actual transactions to determine paydown activity. Likewise, several different accrual methodologies are available for fixed income assets to accurately model accrued interest.
PME also provides for all acceptable return calculation methodologies including: * Dietz * Modified Dietz * True time-weighted * BAI * Daily linked * Intra-period * IRR Performance Specific Data

Correction Facility
PME provides a sophisticated Graphic User Interface (GUI) which allows the user to correct or enhance specific data elements which may be unavailable or locked in source applications. For example, assets involved in an inter-portfolio transfer may have been valued at book for accounting purposes rather than at market for performance purposes.
PME allows for the re-pricing of this transfer and the adjustment of appropriate cashflows for these trades. Post-period changes to prices, coupons, factors, or exchange rates unavailable in source systems can be performed using PME’s interactive screens. PME will, however, honor any change made to a source system even for a prior period.
Note: All changes made directly to PME are recorded on an audit log showing user, date, time, and before and after data values.

Multiple Return Types
In addition to PME selectable return methodologies, the client can choose from a spectrum of return types including: Base, Local, Capital, Income, Gross or Net. Batch and On-line Recalculation Capability PME’s batch processing routines are designed to automatically stay current with daily or month-end production processes. As transactions, prices, factors, coupons, etc. are entered into source systems, PME applies them to the appropriate “trade-date” periods at the cusip level and then recalculates holdings, cashflows and accrued interest forward to the present. Similarly, on-line corrections can be made to any time period and the asset or portfolio can then be “re-rolled” prior to reporting.

Flexible Parameterized Reporting

PME’s strong suit is its flexible and powerful reporting capability. In addition to PME’s library of hundreds of “pre-defined” reports to choose from, WebFocus tm offers highly sophisticated graphics and reporting capability against all of PME’s databases. This enables the user to quickly respond to internal or external requests for information and produce presentation quality output in any of several formats including:

  • PRN files
  • HTML
  • XML
  • .PDF (Adobe)
  • .XLS (Excel)
  • .DOC (Word)
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