2022-03-24 10:16:52 Execution started.
2022-03-24 10:16:52 QlikView Desktop Version 12.10.20600+2017-08-11 08:59:13.HEAD.Component.Version
2022-03-24 10:16:52 CPU Target x64
2022-03-24 10:16:52 Operating System Windows Server 2008 R2 Enterprise Service Pack 1 (64 bit edition)
2022-03-24 10:16:52 Wow64 mode Not using Wow64
2022-03-24 10:16:52 Language 0809 English (United Kingdom) English
2022-03-24 10:16:52 Country 44 United Kingdom United Kingdom
2022-03-24 10:16:52 MDAC Version 6.1.7601.17514
2022-03-24 10:16:52 MDAC Full Install Version 6.1.7601.17514
2022-03-24 10:16:52 PreferredCompression 2
2022-03-24 10:16:52 EnableParallelReload 1
2022-03-24 10:16:52 ParallelizeQvdLoads 1
2022-03-24 10:16:52 AutoSaveAfterReload 0
2022-03-24 10:16:52 BackupBeforeReload 0
2022-03-24 10:16:52 EnableFlushLog 0
2022-03-24 10:16:52 SaveInfoWhenSavingFile 0
2022-03-24 10:16:52 UserLogfileCharset 65001
2022-03-24 10:16:52 OdbcLoginTimeout -1
2022-03-24 10:16:52 OdbcConnectionTimeout -1
2022-03-24 10:16:52 LongestPossibleLine 1048576
2022-03-24 10:16:52 MaxCoreMask -1
2022-03-24 10:16:52 ScriptWantsDbWrite false
2022-03-24 10:16:52 ScriptWantsExe false
2022-03-24 10:16:52 LogFile CodePage Used: 65001
2022-03-24 10:16:52 UseMemoryFillPattern 1
2022-03-24 10:16:52 ScriptMode Legacy (gives greater system access) (aka qv11 mode)
2022-03-24 10:16:52 SequentialThreadCount 74
2022-03-24 10:16:52 NumberOfCores (effective) 6
2022-03-24 10:16:52 ReloadCodebase Classic
2022-03-24 10:16:52 Reload Executed By DBG\tibhdee-a
2022-03-24 10:16:52 Process Executing QlikView Desktop
2022-03-24 10:16:52 Process ID 7652
2022-03-24 10:16:52 0028 SET ThousandSep=','
2022-03-24 10:16:52 0029 SET DecimalSep='.'
2022-03-24 10:16:52 0030 SET MoneyThousandSep=','
2022-03-24 10:16:52 0031 SET MoneyDecimalSep='.'
2022-03-24 10:16:52 0032 SET MoneyFormat='$#,##0.00;($#,##0.00)'
2022-03-24 10:16:52 0033 SET TimeFormat='h:mm:ss TT'
2022-03-24 10:16:52 0034 SET DateFormat='M/D/YYYY'
2022-03-24 10:16:52 0035 SET TimestampFormat='M/D/YYYY h:mm:ss[.fff] TT'
2022-03-24 10:16:52 0036 SET MonthNames='Jan;Feb;Mar;Apr;May;Jun;Jul;Aug;Sep;Oct;Nov;Dec'
2022-03-24 10:16:52 0037 SET DayNames='Mon;Tue;Wed;Thu;Fri;Sat;Sun'
2022-03-24 10:16:52 0039 set vPathQVD = '..\..\..\qvd\app_EQ\'
2022-03-24 10:16:52 0002 set vPathMIQVD = '..\..\Data\QVD\Layer1\MI\'
2022-03-24 10:16:52 0003 set vPathEXTQVD = '..\..\Data\QVD\Layer1\EXT\'
2022-03-24 10:16:52 0004 set vPathTRNQVD = '..\..\Data\QVD\Layer2\TRN\'
2022-03-24 10:16:52 0005 set vPathCDMQVD = '..\..\Data\QVD\Layer2\CDM\'
2022-03-24 10:16:52 0006 set vPathPDMQVD = '..\..\Data\QVD\Layer2\PDM\'
2022-03-24 10:16:52 0007 set vPathTEMPQVD = '..\..\Data\QVD\Layer2\TEMP\'
2022-03-24 10:16:52 0008 set vPathData = '..\..\Data\Data_Files\'
2022-03-24 10:16:52 0009 set vPathIncQVD = '..\..\..\Include\'
2022-03-24 10:16:52 0016 LET vRowLimit = 5000000000
2022-03-24 10:16:52 0018 Set vSecSrcID = ('168', '166', '167', '142', '189', '235','236')
2022-03-24 10:16:52 0019 Set vSecSrcID2 = ('237','238','239','240')
2022-03-24 10:16:52 0020 Set vSecSrcCol = 'SEC_SOURCE_ID'
2022-03-24 10:16:52 0022 Let vQvdMonthEndDate = 'MonthEndDateFile.qvd'
2022-03-24 10:16:52 0024 Set vDate = date(now(), 'YYYYMMDDHHmm')
2022-03-24 10:16:52 0026 Set vTRN_Date = date(now(), 'YYYYMMDD')
2022-03-24 10:16:52 0028 Let vIncrFlag = 0
2022-03-24 10:16:52 0030 Let vMonthRefresh= 1
2022-03-24 10:16:52 0002 sub StoreToQVDandLog (vDate, vETL_Step, vTableName, vQvdName, vRows, vStatusCD, v_startdate, v_context, v_reporting_date)
2022-03-24 10:16:52 0003
2022-03-24 10:16:52 0034 SUB ReadProcessControl (vPrcCTLQvd, vTable, vExtTable)
2022-03-24 10:16:52 0035
2022-03-24 10:16:52 0072 SUB WriteCDMQvds (NumRowsT1, vTable, vIDBView, vKeyColumn)
2022-03-24 10:16:52 0073
2022-03-24 10:16:52 0123 SUB WriteStaticCDMQvds (vTable, vIDBView, vKeyColumn)
2022-03-24 10:16:52 0124
2022-03-24 10:16:52 0163 sub Store(vTable, vPathxxQVD)
2022-03-24 10:16:52 0164
2022-03-24 10:16:52 0170 SUB Ext_Data (vSelectList, vTable, vView_Name, vMonthEndFlag)
2022-03-24 10:16:52 0171
2022-03-24 10:16:53 0799 SUB Create_Select_list (vView_Name)
2022-03-24 10:16:53 0800
2022-03-24 10:16:53 0836 SUB P.LOADSelect (P.v.TableName)
2022-03-24 10:16:53 0837
2022-03-24 10:16:53 0891 SUB P.LoadMaxBusDate
2022-03-24 10:16:53 0892
2022-03-24 10:16:53 0912 SUB P.LoadMonthEndDate
2022-03-24 10:16:53 0913
2022-03-24 10:16:53 0967 SUB P.BuildSelectList (P.v.TableName)
2022-03-24 10:16:53 0968
2022-03-24 10:16:53 0046 let vQVWApp = 'QVW: TRN_EQ_MONTHLY'
2022-03-24 10:16:53 0048 TRACE QVW: TRN_EQ_MONTHLY ' TAB: MAIN'
2022-03-24 10:16:53 0048 QVW: TRN_EQ_MONTHLY ' TAB: MAIN'
2022-03-24 10:16:53 0049
2022-03-24 10:16:53 0065 Let vQvdCuml = 'EXT_IDB_ATTRIB_CUML_RETURN_VIEW*.qvd'
2022-03-24 10:16:53 0067 Let vQvdPerf = 'EXT_IDB_ATTRIB_PERF_VIEW*.qvd'
2022-03-24 10:16:53 0069 let vPathCDMQVD='..\..\Data\QVD\Layer1\EXT\'
2022-03-24 10:16:53 0070 let vPathTRNQVD='..\..\Data\QVD\Layer2\TRN\'
2022-03-24 10:16:53 0308 PERF_TEMP:
2022-03-24 10:16:53 0309 LOAD ACCT_SYSTEM_PORTF_NO as ACCT_SYSTEM_PORTF_NO_PERF,
2022-03-24 10:16:53 0310 ANALYSIS_DATE,
2022-03-24 10:16:53 0311 BUSINESS_DATE as BUSINESS_DATE_PERF,
2022-03-24 10:16:53 0312 CARINO_CUMULATIVE_PERIOD,
2022-03-24 10:16:53 0313 CUMULATIVE_RETURN_1MON as [Comp PF Return],
2022-03-24 10:16:53 0314 CUMULATIVE_RETURN_1MON_BM as [Comp BM Return],
2022-03-24 10:16:53 0315 RETURN_1MON as [Portfolio Return],
2022-03-24 10:16:53 0316 RETURN_1MON_BM as [BM Return],
2022-03-24 10:16:53 0317 RETURNS_NET_1M as [Active Return],
2022-03-24 10:16:53 0318 ([PORT_RISKFREE_RET_CONT_BP]*12)/100 as [PF Risk Free Return],
2022-03-24 10:16:53 0319 ([PORT_RISKFREE_RET_CONT_BP]*12)/100 as [BM Risk Free Return],
2022-03-24 10:16:53 0320 CUMULATIVE_RETURNS_NET_1M as [Comp Active Return],
2022-03-24 10:16:53 0321 STDEV_PF as [STD PF Return],
2022-03-24 10:16:53 0322 STDEV_BM as [STD BM Return],
2022-03-24 10:16:53 0323 STDEV_NET as [STD Act Return],
2022-03-24 10:16:53 0324 STDEV_RISKFREE_PF as [STD PF Risk Free Return],
2022-03-24 10:16:53 0325 STDEV_RISKFREE_PF as [STD BM Risk Free Return],
2022-03-24 10:16:53 0326 AVG_PF as [AVG PF Return],
2022-03-24 10:16:53 0327 AVG_BM as [AVG BM Return],
2022-03-24 10:16:53 0328 AVG_NET as [AVG Act Return],
2022-03-24 10:16:53 0329 AVG_RISKFREE_PF as [AVG PF Risk Free Return],
2022-03-24 10:16:53 0330 AVG_RISKFREE_PF as [AVG BM Risk Free Return],
2022-03-24 10:16:53 0331
2022-03-24 10:16:53 0332 ([RETURN_1MON]- ([PORT_RISKFREE_RET_CONT_BP]/100)) as [PF Risk Free],
2022-03-24 10:16:53 0333 ([RETURN_1MON_BM]- ([PORT_RISKFREE_RET_CONT_BP]/100)) as [BM Risk Free],
2022-03-24 10:16:53 0334 if(([RETURN_1MON]- [PORT_RISKFREE_RET_CONT_BP])<0,([RETURN_1MON]- [PORT_RISKFREE_RET_CONT_BP]),0) as [PF Excess Return DS],
2022-03-24 10:16:53 0335 if([RETURN_1MON_BM]- [PORT_RISKFREE_RET_CONT_BP]<0,[RETURN_1MON_BM]- [PORT_RISKFREE_RET_CONT_BP],0) as [BM Excess Return DS],
2022-03-24 10:16:53 0336 if([RETURN_1MON]<0,([RETURN_1MON]- ([PORT_RISKFREE_RET_CONT_BP]/100)),0) as [PF Excess Return DS2],
2022-03-24 10:16:53 0337 if([RETURN_1MON_BM]<0,([RETURN_1MON_BM]- ([PORT_RISKFREE_RET_CONT_BP]/100)),0) as [BM Excess Return DS2],
2022-03-24 10:16:53 0338
2022-03-24 10:16:53 0339 if(([RETURN_1MON]-[RETURN_1MON_BM])<0,([RETURN_1MON]-[RETURN_1MON_BM]),0) as [Active Return DS],
2022-03-24 10:16:53 0340
2022-03-24 10:16:53 0341 if( ([RETURN_1MON]- [PORT_RISKFREE_RET_CONT_BP])<AVG_PF, ([RETURN_1MON]- [PORT_RISKFREE_RET_CONT_BP]),Null()) as PF_Excess_Below_Mean,
2022-03-24 10:16:53 0342 if( ([RETURN_1MON_BM]- [PORT_RISKFREE_RET_CONT_BP])<AVG_BM, ([RETURN_1MON_BM]- [PORT_RISKFREE_RET_CONT_BP]),Null()) as BM_Excess_Below_Mean,
2022-03-24 10:16:53 0343
2022-03-24 10:16:53 0344
2022-03-24 10:16:53 0345 COUNT_OF_MONTHS as FRNoOfMonths
2022-03-24 10:16:53 0346
2022-03-24 10:16:53 0347 FROM
2022-03-24 10:16:53 0348 [..\..\Data\QVD\Layer1\EXT\EXT_IDB_ATTRIB_CUML_RETURN_VIEW*.qvd]
2022-03-24 10:16:53 0349 (qvd) Where CARINO_CUMULATIVE_PERIOD='ITD'
2022-03-24 10:16:53 32 fields found: ACCT_SYSTEM_PORTF_NO_PERF, ANALYSIS_DATE, BUSINESS_DATE_PERF, CARINO_CUMULATIVE_PERIOD, Comp PF Return, Comp BM Return, Portfolio Return, BM Return, Active Return, PF Risk Free Return, BM Risk Free Return, Comp Active Return, STD PF Return, STD BM Return, STD Act Return, STD PF Risk Free Return, STD BM Risk Free Return, AVG PF Return, AVG BM Return, AVG Act Return, AVG PF Risk Free Return, AVG BM Risk Free Return, PF Risk Free, BM Risk Free, PF Excess Return DS, BM Excess Return DS, PF Excess Return DS2, BM Excess Return DS2, Active Return DS, PF_Excess_Below_Mean, BM_Excess_Below_Mean, FRNoOfMonths,
2022-03-24 10:16:53 10,838 lines fetched
2022-03-24 10:16:53 0308 PERF_TEMP:
2022-03-24 10:16:53 0309 LOAD ACCT_SYSTEM_PORTF_NO as ACCT_SYSTEM_PORTF_NO_PERF,
2022-03-24 10:16:53 0310 ANALYSIS_DATE,
2022-03-24 10:16:53 0311 BUSINESS_DATE as BUSINESS_DATE_PERF,
2022-03-24 10:16:53 0312 CARINO_CUMULATIVE_PERIOD,
2022-03-24 10:16:53 0313 CUMULATIVE_RETURN_1MON as [Comp PF Return],
2022-03-24 10:16:53 0314 CUMULATIVE_RETURN_1MON_BM as [Comp BM Return],
2022-03-24 10:16:53 0315 RETURN_1MON as [Portfolio Return],
2022-03-24 10:16:53 0316 RETURN_1MON_BM as [BM Return],
2022-03-24 10:16:53 0317 RETURNS_NET_1M as [Active Return],
2022-03-24 10:16:53 0318 ([PORT_RISKFREE_RET_CONT_BP]*12)/100 as [PF Risk Free Return],
2022-03-24 10:16:53 0319 ([PORT_RISKFREE_RET_CONT_BP]*12)/100 as [BM Risk Free Return],
2022-03-24 10:16:53 0320 CUMULATIVE_RETURNS_NET_1M as [Comp Active Return],
2022-03-24 10:16:53 0321 STDEV_PF as [STD PF Return],
2022-03-24 10:16:53 0322 STDEV_BM as [STD BM Return],
2022-03-24 10:16:53 0323 STDEV_NET as [STD Act Return],
2022-03-24 10:16:53 0324 STDEV_RISKFREE_PF as [STD PF Risk Free Return],
2022-03-24 10:16:53 0325 STDEV_RISKFREE_PF as [STD BM Risk Free Return],
2022-03-24 10:16:53 0326 AVG_PF as [AVG PF Return],
2022-03-24 10:16:53 0327 AVG_BM as [AVG BM Return],
2022-03-24 10:16:53 0328 AVG_NET as [AVG Act Return],
2022-03-24 10:16:53 0329 AVG_RISKFREE_PF as [AVG PF Risk Free Return],
2022-03-24 10:16:53 0330 AVG_RISKFREE_PF as [AVG BM Risk Free Return],
2022-03-24 10:16:53 0331
2022-03-24 10:16:53 0332 ([RETURN_1MON]- ([PORT_RISKFREE_RET_CONT_BP]/100)) as [PF Risk Free],
2022-03-24 10:16:53 0333 ([RETURN_1MON_BM]- ([PORT_RISKFREE_RET_CONT_BP]/100)) as [BM Risk Free],
2022-03-24 10:16:53 0334 if(([RETURN_1MON]- [PORT_RISKFREE_RET_CONT_BP])<0,([RETURN_1MON]- [PORT_RISKFREE_RET_CONT_BP]),0) as [PF Excess Return DS],
2022-03-24 10:16:53 0335 if([RETURN_1MON_BM]- [PORT_RISKFREE_RET_CONT_BP]<0,[RETURN_1MON_BM]- [PORT_RISKFREE_RET_CONT_BP],0) as [BM Excess Return DS],
2022-03-24 10:16:53 0336 if([RETURN_1MON]<0,([RETURN_1MON]- ([PORT_RISKFREE_RET_CONT_BP]/100)),0) as [PF Excess Return DS2],
2022-03-24 10:16:53 0337 if([RETURN_1MON_BM]<0,([RETURN_1MON_BM]- ([PORT_RISKFREE_RET_CONT_BP]/100)),0) as [BM Excess Return DS2],
2022-03-24 10:16:53 0338
2022-03-24 10:16:53 0339 if(([RETURN_1MON]-[RETURN_1MON_BM])<0,([RETURN_1MON]-[RETURN_1MON_BM]),0) as [Active Return DS],
2022-03-24 10:16:53 0340
2022-03-24 10:16:53 0341 if( ([RETURN_1MON]- [PORT_RISKFREE_RET_CONT_BP])<AVG_PF, ([RETURN_1MON]- [PORT_RISKFREE_RET_CONT_BP]),Null()) as PF_Excess_Below_Mean,
2022-03-24 10:16:53 0342 if( ([RETURN_1MON_BM]- [PORT_RISKFREE_RET_CONT_BP])<AVG_BM, ([RETURN_1MON_BM]- [PORT_RISKFREE_RET_CONT_BP]),Null()) as BM_Excess_Below_Mean,
2022-03-24 10:16:53 0343
2022-03-24 10:16:53 0344
2022-03-24 10:16:53 0345 COUNT_OF_MONTHS as FRNoOfMonths
2022-03-24 10:16:53 0346
2022-03-24 10:16:53 0347 FROM
2022-03-24 10:16:53 0348 [..\..\Data\QVD\Layer1\EXT\EXT_IDB_ATTRIB_CUML_RETURN_VIEW*.qvd]
2022-03-24 10:16:53 0349 (qvd) Where CARINO_CUMULATIVE_PERIOD='ITD'
2022-03-24 10:16:53 32 fields found: ACCT_SYSTEM_PORTF_NO_PERF, ANALYSIS_DATE, BUSINESS_DATE_PERF, CARINO_CUMULATIVE_PERIOD, Comp PF Return, Comp BM Return, Portfolio Return, BM Return, Active Return, PF Risk Free Return, BM Risk Free Return, Comp Active Return, STD PF Return, STD BM Return, STD Act Return, STD PF Risk Free Return, STD BM Risk Free Return, AVG PF Return, AVG BM Return, AVG Act Return, AVG PF Risk Free Return, AVG BM Risk Free Return, PF Risk Free, BM Risk Free, PF Excess Return DS, BM Excess Return DS, PF Excess Return DS2, BM Excess Return DS2, Active Return DS, PF_Excess_Below_Mean, BM_Excess_Below_Mean, FRNoOfMonths,
2022-03-24 10:16:53 21,775 lines fetched
2022-03-24 10:16:53 0354 IRS4:
2022-03-24 10:16:53 0355 LOAD
2022-03-24 10:16:53 0356 ACCT_SYSTEM_PORTF_NO_PERF,
2022-03-24 10:16:53 0357 BUSINESS_DATE_PERF,
2022-03-24 10:16:53 0358 SUM([PF Risk Free]) as [PF Risk Free TEST],
2022-03-24 10:16:53 0359 Stdev([Portfolio Return])*sqrt(12) as [Portfolio Volatility],
2022-03-24 10:16:53 0360 avg([Portfolio Return])*12 as [Portfolio Return PA],
2022-03-24 10:16:53 0361 Stdev([BM Return])*sqrt(12) as [BM Volatility],
2022-03-24 10:16:53 0362 avg([BM Return])*12 as [BM Return PA],
2022-03-24 10:16:53 0363 STDEV([Active Return])*SQRT(12) as [Active Risk],
2022-03-24 10:16:53 0364
2022-03-24 10:16:53 0365 avg([Active Return])*12 as [Active Return PA],
2022-03-24 10:16:53 0366
2022-03-24 10:16:53 0367 ((avg([Active Return])*12)/(STDEV([Active Return])*SQRT(12))) as [T_Stat],
2022-03-24 10:16:53 0368 (SQRT(14/12)) as TEST,
2022-03-24 10:16:53 0369 Count(FRNoOfMonths) as TEST2,
2022-03-24 10:16:53 0370 (((avg([Active Return])*12)/(STDEV([Active Return])*SQRT(12)))*(SQRT(Count(FRNoOfMonths)/12))) as [T_Stat2],
2022-03-24 10:16:53 0371 Stdev([PF Risk Free])*sqrt(12) as [PF Volatility of Excess Return],
2022-03-24 10:16:53 0372 avg([PF Risk Free Return])*12 as [Risk Free Return PA],
2022-03-24 10:16:53 0373 ((avg([Portfolio Return])*12)-(AVG([PF Risk Free Return]))) as [PF Excess Return PA],
2022-03-24 10:16:53 0374
2022-03-24 10:16:53 0375 ((avg([Portfolio Return])*12)-(avg([PF Risk Free Return])))/(Stdev([PF Risk Free])*sqrt(12)) as [PF Sharpe Ratio],
2022-03-24 10:16:53 0376 ((avg([Portfolio Return])*12))/(Stdev([PF Risk Free])*sqrt(12)) as [PF Sharpe Ratio2],
2022-03-24 10:16:53 0377
2022-03-24 10:16:53 0378 Stdev([BM Risk Free])*sqrt(12) as [BM Volatility of Excess Return],
2022-03-24 10:16:53 0379 ((avg([BM Return])*12)-(avg([BM Risk Free Return]))) as [BM Excess Return PA],
2022-03-24 10:16:53 0380
2022-03-24 10:16:53 0381
2022-03-24 10:16:53 0382 ((avg([BM Return])*12)-(avg([BM Risk Free Return])))/(Stdev([BM Risk Free])*sqrt(12)) as [BM Sharpe Ratio],
2022-03-24 10:16:53 0383 ((avg([BM Return])*12))/(Stdev([BM Risk Free])*sqrt(12)) as [BM Sharpe Ratio2],
2022-03-24 10:16:53 0384
2022-03-24 10:16:53 0385
2022-03-24 10:16:53 0386 Stdev([PF Excess Return DS2])*sqrt(12) as [PF DS Volatility ER],
2022-03-24 10:16:53 0387 Stdev([PF_Excess_Below_Mean])*sqrt(12) as [PF DS Volatility MR],
2022-03-24 10:16:53 0388 Stdev([BM Excess Return DS2])*sqrt(12) as [BM DS Volatility ER],
2022-03-24 10:16:53 0389 Stdev([BM_Excess_Below_Mean])*sqrt(12) as [BM DS Volatility MR],
2022-03-24 10:16:53 0390 Stdev([Active Return DS] )*sqrt(12) as [ActRet DS Volatility],
2022-03-24 10:16:53 0391
2022-03-24 10:16:53 0392 ((avg([Portfolio Return])*12)-(AVG([PF Risk Free Return])))/(Stdev([PF Excess Return DS2])*sqrt(12)) as [PF Sortino I],
2022-03-24 10:16:53 0393 ((avg([BM Return])*12)-(AVG([BM Risk Free Return])))/(Stdev([BM Excess Return DS2])*sqrt(12)) as [BM Sortino I],
2022-03-24 10:16:53 0394
2022-03-24 10:16:53 0395 ((avg([Portfolio Return])*12)-(avg([PF Risk Free Return])*12))/(Stdev([PF_Excess_Below_Mean])*sqrt(12)) as [PF Sortino II],
2022-03-24 10:16:53 0396
2022-03-24 10:16:53 0397 ((avg([BM Return])*12))/(Stdev([BM_Excess_Below_Mean])*sqrt(12)) as [BM Sortino II],
2022-03-24 10:16:53 0398 (avg([Active Return])*12)/(Stdev([Active Return DS] )*sqrt(12)) as [Act Ret Sortino],
2022-03-24 10:16:53 0399 (Correl([Portfolio Return],[BM Return])*Stdev([Portfolio Return])*Stdev([BM Return])) / (Stdev([BM Return])*Stdev([BM Return])) as Beta,
2022-03-24 10:16:53 0400 (avg([Portfolio Return])*12)-(avg([PF Risk Free Return]))-(((Correl([Portfolio Return],[BM Return])*Stdev([Portfolio Return])*Stdev([BM Return])) / (Stdev([BM Return])*Stdev([BM Return])))*((avg([BM Return])*12)-(avg([BM Risk Free Return])))) as Jensen
2022-03-24 10:16:53 0401
2022-03-24 10:16:53 0402 Resident PERF_TEMP Group By ACCT_SYSTEM_PORTF_NO_PERF,BUSINESS_DATE_PERF
2022-03-24 10:16:54 34 fields found: ACCT_SYSTEM_PORTF_NO_PERF, BUSINESS_DATE_PERF, PF Risk Free TEST, Portfolio Volatility, Portfolio Return PA, BM Volatility, BM Return PA, Active Risk, Active Return PA, T_Stat, TEST, TEST2, T_Stat2, PF Volatility of Excess Return, Risk Free Return PA, PF Excess Return PA, PF Sharpe Ratio, PF Sharpe Ratio2, BM Volatility of Excess Return, BM Excess Return PA, BM Sharpe Ratio, BM Sharpe Ratio2, PF DS Volatility ER, PF DS Volatility MR, BM DS Volatility ER, BM DS Volatility MR, ActRet DS Volatility, PF Sortino I, BM Sortino I, PF Sortino II, BM Sortino II, Act Ret Sortino, Beta, Jensen,
2022-03-24 10:16:54 329 lines fetched
2022-03-24 10:16:54 0414 Loop1:
2022-03-24 10:16:54 0415 LOAD Distinct
2022-03-24 10:16:54 0416
2022-03-24 10:16:54 0417 ANALYSIS_DATE as AnLoop,
2022-03-24 10:16:54 0418 BUSINESS_DATE_PERF as BDLoop
2022-03-24 10:16:54 0419
2022-03-24 10:16:54 0420 Resident PERF_TEMP Order By BUSINESS_DATE_PERF,ANALYSIS_DATE
2022-03-24 10:16:54 2 fields found: AnLoop, BDLoop,
2022-03-24 10:16:54 145 lines fetched
2022-03-24 10:16:54 0422 let numRow= NoOfRows('Loop1')
2022-03-24 10:16:54 0425 sub Loop2
2022-03-24 10:16:54 0426
2022-03-24 10:16:54 0491 CALL Loop2
2022-03-24 10:16:54 0492
2022-03-24 10:16:54 0428 FOR i=0 to ('145'-1)
2022-03-24 10:16:54 0432 let vBD=peek('BDLoop',0,'Loop1')
2022-03-24 10:16:54 0433 let vAD=peek('AnLoop',0,'Loop1')
2022-03-24 10:16:54 0436 if len('42429')=0 then
2022-03-24 10:16:54 0437
2022-03-24 10:16:54 0441 MaxLoop:
2022-03-24 10:16:54 0442 LOAD ACCT_SYSTEM_PORTF_NO_PERF,
2022-03-24 10:16:54 0443 42429 as ANALYSIS_DATE,
2022-03-24 10:16:54 0444 BUSINESS_DATE_PERF,
2022-03-24 10:16:54 0445 max([Comp PF Return]) as MaxCompPF,
2022-03-24 10:16:54 0446 max([Comp BM Return]) as MaxCompBM,
2022-03-24 10:16:54 0447 max([Comp Active Return]) as MaxCompAct
2022-03-24 10:16:54 0448 Resident PERF_TEMP Where ANALYSIS_DATE<=42429 and BUSINESS_DATE_PERF='44592' Group By ACCT_SYSTEM_PORTF_NO_PERF,BUSINESS_DATE_PERF
2022-03-24 10:16:55 6 fields found: ACCT_SYSTEM_PORTF_NO_PERF, ANALYSIS_DATE, BUSINESS_DATE_PERF, MaxCompPF, MaxCompBM, MaxCompAct,
2022-03-24 10:16:55 113 lines fetched
2022-03-24 10:16:55 0450 ML1:
2022-03-24 10:16:55 0451
2022-03-24 10:16:55 0452 LOAD ACCT_SYSTEM_PORTF_NO_PERF,
2022-03-24 10:16:55 0453 ANALYSIS_DATE,
2022-03-24 10:16:55 0454 BUSINESS_DATE_PERF,
2022-03-24 10:16:55 0455 [Comp PF Return],
2022-03-24 10:16:55 0456 [Comp BM Return],
2022-03-24 10:16:55 0457 [Comp Active Return]
2022-03-24 10:16:55 0458
2022-03-24 10:16:55 0459 Resident PERF_TEMP Where ANALYSIS_DATE=42429 and BUSINESS_DATE_PERF='44592'
2022-03-24 10:16:55 6 fields found: ACCT_SYSTEM_PORTF_NO_PERF, ANALYSIS_DATE, BUSINESS_DATE_PERF, Comp PF Return, Comp BM Return, Comp Active Return,
2022-03-24 10:16:55 115 lines fetched
2022-03-24 10:16:55 0461 Left Join (ML1) LOAD * Resident MaxLoop
2022-03-24 10:16:55 6 fields found: ACCT_SYSTEM_PORTF_NO_PERF, ANALYSIS_DATE, BUSINESS_DATE_PERF, MaxCompPF, MaxCompBM, MaxCompAct,
2022-03-24 10:16:55 113 lines fetched
2022-03-24 10:16:55 Joining/Keeping
2022-03-24 10:16:55 0462 DROP Table MaxLoop
2022-03-24 10:16:55 0475 Loop2:
2022-03-24 10:16:55 0476 LOAD ACCT_SYSTEM_PORTF_NO_PERF,
2022-03-24 10:16:55 0477 BUSINESS_DATE_PERF,
2022-03-24 10:16:55 0478 ANALYSIS_DATE,
2022-03-24 10:16:55 0479 MaxCompPF-[Comp PF Return] as IsMaxCompPF,
2022-03-24 10:16:55 0480 MaxCompBM-[Comp BM Return] as IsMaxCompBM,
2022-03-24 10:16:55 0481 MaxCompAct-[Comp Active Return] as IsMaxCompAct
2022-03-24 10:16:55 0482
2022-03-24 10:16:55 0483 Resident ML1
2022-03-24 10:16:55 6 fields found: ACCT_SYSTEM_PORTF_NO_PERF, BUSINESS_DATE_PERF, ANALYSIS_DATE, IsMaxCompPF, IsMaxCompBM, IsMaxCompAct,
2022-03-24 10:16:55 115 lines fetched
2022-03-24 10:16:55 0484 DROP Table ML1
2022-03-24 10:16:55 0485 end if
2022-03-24 10:16:55 0486
2022-03-24 10:16:55 0486 NEXT
2022-03-24 10:16:55 0487
2022-03-24 10:16:55 0432 let vBD=peek('BDLoop',1,'Loop1')
2022-03-24 10:16:55 0433 let vAD=peek('AnLoop',1,'Loop1')
2022-03-24 10:16:55 0436 if len('44620')=0 then
2022-03-24 10:16:55 0437
2022-03-24 10:16:55 0441 MaxLoop:
2022-03-24 10:16:55 0442 LOAD ACCT_SYSTEM_PORTF_NO_PERF,
2022-03-24 10:16:55 0443 44620 as ANALYSIS_DATE,
2022-03-24 10:16:55 0444 BUSINESS_DATE_PERF,
2022-03-24 10:16:55 0445 max([Comp PF Return]) as MaxCompPF,
2022-03-24 10:16:55 0446 max([Comp BM Return]) as MaxCompBM,
2022-03-24 10:16:55 0447 max([Comp Active Return]) as MaxCompAct
2022-03-24 10:16:55 0448 Resident PERF_TEMP Where ANALYSIS_DATE<=44620 and BUSINESS_DATE_PERF='44620' Group By ACCT_SYSTEM_PORTF_NO_PERF,BUSINESS_DATE_PERF
2022-03-24 10:16:56 6 fields found: ACCT_SYSTEM_PORTF_NO_PERF, ANALYSIS_DATE, BUSINESS_DATE_PERF, MaxCompPF, MaxCompBM, MaxCompAct,
2022-03-24 10:16:56 164 lines fetched
2022-03-24 10:16:56 0450 ML1:
2022-03-24 10:16:56 0451
2022-03-24 10:16:56 0452 LOAD ACCT_SYSTEM_PORTF_NO_PERF,
2022-03-24 10:16:56 0453 ANALYSIS_DATE,
2022-03-24 10:16:56 0454 BUSINESS_DATE_PERF,
2022-03-24 10:16:56 0455 [Comp PF Return],
2022-03-24 10:16:56 0456 [Comp BM Return],
2022-03-24 10:16:56 0457 [Comp Active Return]
2022-03-24 10:16:56 0458
2022-03-24 10:16:56 0459 Resident PERF_TEMP Where ANALYSIS_DATE=44620 and BUSINESS_DATE_PERF='44620'
2022-03-24 10:16:56 6 fields found: ACCT_SYSTEM_PORTF_NO_PERF, ANALYSIS_DATE, BUSINESS_DATE_PERF, Comp PF Return, Comp BM Return, Comp Active Return,
2022-03-24 10:16:56 166 lines fetched
2022-03-24 10:16:56 0461 Left Join (ML1) LOAD * Resident MaxLoop
2022-03-24 10:16:56 6 fields found: ACCT_SYSTEM_PORTF_NO_PERF, ANALYSIS_DATE, BUSINESS_DATE_PERF, MaxCompPF, MaxCompBM, MaxCompAct,
2022-03-24 10:16:56 164 lines fetched
2022-03-24 10:16:56 Joining/Keeping
2022-03-24 10:16:56 0462 DROP Table MaxLoop
2022-03-24 10:16:56 0475 Loop2:
2022-03-24 10:16:56 0476 LOAD ACCT_SYSTEM_PORTF_NO_PERF,
2022-03-24 10:16:56 0477 BUSINESS_DATE_PERF,
2022-03-24 10:16:56 0478 ANALYSIS_DATE,
2022-03-24 10:16:56 0479 MaxCompPF-[Comp PF Return] as IsMaxCompPF,
2022-03-24 10:16:56 0480 MaxCompBM-[Comp BM Return] as IsMaxCompBM,
2022-03-24 10:16:56 0481 MaxCompAct-[Comp Active Return] as IsMaxCompAct
2022-03-24 10:16:56 0482
2022-03-24 10:16:56 0483 Resident ML1
2022-03-24 10:16:56 6 fields found: ACCT_SYSTEM_PORTF_NO_PERF, BUSINESS_DATE_PERF, ANALYSIS_DATE, IsMaxCompPF, IsMaxCompBM, IsMaxCompAct,
2022-03-24 10:16:56 281 lines fetched
2022-03-24 10:16:56 0484 DROP Table ML1
2022-03-24 10:16:56 0485 end if
2022-03-24 10:16:56 0486
2022-03-24 10:16:56 0486 NEXT