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Performance Calculations
The November 2015 release introduced an enhanced performance calculation option that allows additional reporting options.
Our legacy calculation provides precision that exceeds industry requirements. The account's performance is separated from external factors (represented by the flows), and thus provides more detail than the minimum standard required for daily TWR calculations. It performs well in most circumstances, but in some instances it can result in an undefined state, preventing us from offering the additional options that we've made available with our enhanced calculation.
Once you enable the enhanced calculation, it cannot be disabled.
Your historical returns will change after the inception sync that enables this feature. If you re-run reports that you sent to clients, you'll see different results that match the enhanced calculation instead of the legacy calculation.
The enhanced performance calculation option allows you to:
Ensure that data will not be skewed by very large outflows (the account end value is now adjusted for any outflows)
With the enhanced calculation, the new TWR formula always remains defined, resolving the reporting limitations associated with the legacy calculation, and allowing you to get deeper, more transparent reporting.
You can opt into the enhanced calculation in order to take advantage of the new options, which include:
Dynamic Reports.When hover text displays for partial period returns, it will show both start and end dates. If there was more than one open period during the selected date range, you will see the start date of the first holding period and the end date of the final holding period.
PDF & Dynamic Reports.Linked partial period TWR and other partial period returns can now be easily identified on your reports. A dagger symbol (†) will indicate a linked partial period TWR, which means there is a non-continuous security holding period in an account, category, or security over a designated time-period. An asterisk (*) will indicate all other partial period returns (TWR and IRR).
To take advantage of the enhanced calculations, contact your Tamarac Service Team. You will need to have intra-group flows enabled before you can use the enhanced calculations.
For more information and examples, see Understanding Performance In Tamarac Reporting.