1 ICC Report Exhibits Unique ICC Exhibits –Universe Floating Bar Exhibits...

download 1 ICC Report Exhibits Unique ICC Exhibits –Universe Floating Bar Exhibits –Other Graphics Exhibits –All Text Exhibits Exhibit Types -- Features Summary

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  • ICC Report ExhibitsUnique ICC ExhibitsUniverse Floating Bar ExhibitsOther Graphics ExhibitsAll Text ExhibitsExhibit Types -- Features Summary

  • This is one of the standard universe exhibit types, and is produced for most universes and asset classes (huge list)Key features: 8 floating barsRepresents universe results for one asset class/measure in a single universe over standard time periods.Portfolios with ranks (if more than 8 portfolios are selected, another page is generated automatically); each portfolio is assigned a symbol and a colorLine separating quarterly and annual data -- may not be required?Universe median (no room for quartile numbers)Template Considerations: The standard single universe report template that is being designed will support defining the existing ICC exhibits based on this format. Users would define a report template by choosing the asset class, measure=return, and time period for each column (bar). At run time, they could choose the universe.In addition, because it is the most commonly used universe report, we could define a specific template (e.g., Standard Universe), and users would only need to specify a universe and an asset class either at run time or when creating their custom report template.Floating Bar - Single UniverseICC Exhibit 0076-aExhibit Type 1

  • In PERS/ICC, this exhibit is a continuation of the prior exhibit with additional standard time periodsTime Periods in this format:PERIODS ENDING mm/yy: Cumulative time periods, last 6 years thru- last 10 yearsYEARS ENDING (each of the most recent 5 years, prior 5 years, on separate pages)(Note: the ICC would like to display 15 years of data; we only go back 10 years at this point)Features:5 floating barsThis exhibit is produced only if one of the portfolios has data for one of the time periods displayed. Otherwise, the same rules as apply to the prior exhibitTemplate ConsiderationsThe standard single universe report template that is being designed will support defining the existing ICC exhibits based on this format.It would be desirable if this exhibit was generated automatically if the user selects more time periodsDo we need to specify a separate template if only 5 time periods are chosen? Can the system adjust automatically?Not sure why we dont just display 10 bars for each of the last 10 years rather than printing two pages.Floating Bar - Single UniverseICC Exhibit 0076-bExhibit Type 1

  • Floating Bar -- Multi-Asset ClassExhibit 0076-dKey Features:2 x 3 bars, grouped by time periodRepresents total fund and one asset class returns for one universe over 3 (market cycle) time periodsLines separate the two time periodsProduced for:Total Funds - Total vs. Bond Only ReturnsTotal Funds - Total vs. Equity Only ReturnsSame format used for:Exhibit 0076Total Funds - Total Rates of ReturnExhibit 0076Total Funds - Total Income Rates of ReturnExhibit 0078Equity Funds - Total Rates of ReturnExhibit 0081Bond Funds - Total vs. Bond Only ReturnsTemplate ConsiderationsThe standard single universe report template that is being designed will support defining the existing ICC exhibits based on this format; no need for a custom template?

    Exhibit Type 2

  • The format of this exhibit is the same as Exhibit Type #2, except that the types of data displayed differ from different hierarchies.Key Features2 x 3 barsRepresents actual equity return vs. buy/hold equity return for a single universeover 3 (market cycle) time periods. Lines separate the two time periodsData elements (measures) are from different schemes/hierarchies, and perhaps (from a State Street point of view) different rates rulesTemplate ConsiderationsThe standard single universe report template that is being designed will support defining the existing ICC exhibits based on this format; no need for a custom template?ISSUE: DO WE NEED 6 month buy/hold???Floating Bar -- Multi-MeasureExhibit 0079-iExhibit Type 3

  • Displays return distributions for each style on a single page for a single time period. Key Features9 bars (for equity styles); 7 bars (for bond styles)Each style is a separate universeDisplays same asset class, measure, and time period for all styles on a pagePortfolios are ranked only against their assigned style universe.In PERS/ICC, this exhibit is automatically generated for many time periods (each on a separate page):QUARTER ENDING mm/yy1, 2, 3, 4, 5 YEARS ENDING mm/yy1, 2, 3, 4, 5 YEARS AGO In PERS/ICC, this exhibit is generated for Total Returns and for the appropriate asset class (Equity Only or Bond Only)Produced for:Exhibit 0063Equity Manager Spectrum Style AnalysisExhibit 0179Intl Developed Mkt Equity Manager Style AnalysisExhibit 0025Fixed Income Manager Spectrum Style AnalysisFloating BarExhibit 0063Exhibit Type 4

  • Floating Bar -- Multi-UniverseExhibit 0025See discussion for Exhibit Type #4Notes: Core Plus recently replaced Interest Rate Anticipator (too few observations to create a universe)The Bond Universe is included (probably because there was room)We should plan to add Hedge Fund style page as well.Exhibit Type 4

  • Key Features10 barsDisplays one measure for multiple asset classes (sectors) for a single time period for one universeIn PERS/ICC, this exhibit is automatically prepared for two time periods:Quarter Ending mm/yyYear Ending mm/yyProduce:Exhibit 0018Rates of Return by Industry SectorExhibit 0017Diversification by Industry SectorFloating Bar -- Multi-Asset ClassExhibit 0018Exhibit Type 5

  • See discussion for Exhibit Type #5Floating Bar -- Multi-Asset ClassExhibit 0017Exhibit Type 5

  • Key Features4 x 2 barsDisplays distributions for two measures (purchase turnover and sales turnover) in a single universe for four time periodsLine separates the two measuresTemplate ConsiderationsThe standard single universe report template that is being designed will support defining the existing ICC exhibits based on this format; no need for a custom template?In PERS today, there is no choice of measures, but in the future state there is no reason not to allow that choice.Floating Bar -- Multi-MeasureExhibit 0079-hExhibit Type 6

  • Shows effects of a characteristic on returns by showing returns for portfolios that have a characteristic value within a specified range.Key Features4 x 2 barsOne universe, one asset class, one measure segmented by a second measure (characteristic) value ranges, for two time periodsPortfolios are ranked only against the appropriate stratumLine separates the two time periodsICC?PERS produces separate exhibits for:Equity Only ReturnsEffects of BetaEquity Only ReturnsEffects of DiversificationEquity Only ReturnsEffects of P/E RatioBond Only ReturnsEffects of MaturityBond Only ReturnsEffects of DurationBond Only ReturnsEffects of CouponTotal ReturnsEffects of Equity AllocationTotal Income ReturnsEffects of Equity Allocation

    Floating Bar -- Effects OfExhibit 0020Exhibit Type 7

  • See discussion in prior exhibit (Exhibit Type #7)In PERS/ICC, this exhibit is produced for two pairs of time periods:QUARTER ENDING mm/yy + YEAR ENDDING mm/yy3 YEARS ENDING mm/yy + 5 YEARS ENDING mm/yyTemplate ConsiderationsThis exhibit type will require its own universe template.

    Floating Bar -- Effects OfExhibit 0024Exhibit Type 7

  • Floating Bar -- Effects OfExhibit 0076-eExhibit Type 7See discussion in prior exhibit (Exhibit Type #7)In PERS/ICC, this exhibit is produced for two pairs of time periods:QUARTER ENDING mm/yy + YEAR ENDDING mm/yy3 YEARS ENDING mm/yy + 5 YEARS ENDING mm/yy

  • This exhibit contains some very useful information, but the content is not immediately obvious. For each characteristic, it displays the distribution of that characteristic and where a portfolio falls within the universe, plus an indication of whether that characteristics was an important distinguishing factor of portfolio returns.Key Features:2 characteristics per page, two time periods per characteristic.For each characteristic, displays distribution of the characteristics plus average return of funds in each quartile of that characteristicICC/PERS currently produces exhibits for the following pairs of characteristics:Dividend YieldCapitalizationP/E Ratio5 Yr EPS GrowthReturn on EquityPrice/BookPortfolio BetaSize ExposureEquity R2Standard ErrorFinancial LeverageGrowth ExposureAverage Maturity (Yrs)Duration (Yrs)CouponQualityCAN WE COME UP WITH A BETTER DISPLAY??Floating Bar -- Single Universe, Pairs, Avg RtnExhibit 0016Exhibit Type 8

  • Scatter DiagramExhibit 0076-gA scatter diagram shows the relationship between two measures. In this version, each portfolio in the universe is plotted. This exhibit is a standard scatter diagram, with a table ranking accounts against some related measures against that universe.. Key FeaturesPoint is plotted for each portfolio in a universeHorizontal and vertical lines indicate the universe medians for the two statistics plottedText table at the bottom includes portfolio ranks against the two statistics, plus the Sharpe RatioOne universe, one asset class, two measures, one time periodICC/PERS produces this exhibit for two time periods:3 Years Ending mm/yy5 Years Ending mm/yyICC/PERS produces this exhibit for Total, Equity Only, and Bond Only Returns asset classesTemplate ConsiderationsAlthough PERS/ICC generate this exhibit for two specific statistics (return and standard deviation), there is no reason to limit the statistic/measure to that pair, or even to a single time period. Could display return vs. beta, current returns vs. a prior periods return, or any pair of portfolio characteristics We could off er 3 options for the line: a regression line, a line defined by the measures of two identified portfolios (e.g., Capital Market Line), or the medians -- or none.Users should also choose the measures in the text table...

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