Portfolio Composition Files
Under this page, you find the official portfolio composition files. These files are only provided to those where Vinter calculates portfolio composition files.
Vinter calculates official closing values for its NAV, PCF, and EOD files. Currently, this time is 16:00 London time. At this time all values are calculated and published on the portal. These files are automatically sent to all users in the organization account. If a user updates a field after the official publication time it is the latest official value that is updated.
This file contains 4 sheets in the following order:
Portfolio Composition File
Net Asset Value
Portfolio Composition
Documentation
On each page, you can find information about the portfolio composition, net asset values, and documentation.
Every time you receive the PCF file, all the fields in the file are recalculated using the official end-of-day reference values.
Portfolio Composition File
The format of the PCF file is as follows
The file contains the following variables
| Variable | Description | Note / Equation |
|---|---|---|
PCF: Date | The business date that follows the calculation date of the portfolio composition file. | |
Calculation Time CET | The calculation time of the portfolio composition file is expressed in date, hour, minute, and second. | |
Asset Manager | The name of the asset manager. | |
Outstanding Shares | The number of outstanding shares of the product. | Can be modified by clients at any point in time |
Portfolio Currency | The currency symbol (CCY) that denominates the portfolio. For example, CHF. | Can be set by clients when creating the PCF |
FX Rate USD<CCY> | Foreign Exchange Rate | Calculated using a similar methodology to the one used to price constituents |
FX Rate <CCY>USD | Foreign Exchange Rate between the united states dollar and the portfolio currency. | Calculated using a similar methodology to the one used to price constituents |
Portfolio Value <CCY> | The sum of the total value of each underlying in USD multiplied by the portfolio’s currency foreign exchange rate. | Sum of [amount * spot price at 1630 UTC] over all constituents |
Annual Management Fee Rate (%) | The annual management fee rate of the product. | Can be set by clients when creating the PCF |
Annual Operations Fee (<CCY>) | The annual operations fee of the product | Can be set by clients when creating the PCF |
Total Operations Fee (<CCY>) | The total operations fee that has not yet been paid | (Yesterday's Total Operations Fee) + Annual Operations Fee / 365 |
Daily Management Fee (<CCY>) | The management fee for the current date | Portfolio Value * Annual Management Fee Rate / 365 |
Total Management Fee (<CCY>) | The total management fee that has not yet been paid | (Yesterday's Total Management Fee) + Daily Management Fee |
Reference Portfolio Value | The portfolio's value minus the management fee | Portfolio Value - Total Management Fee |
Strategy Value | The Reference Portfolio Value per share | Reference Portfolio Value / outstanding_shares |
Performance Fee Observation Date | The Date when the Asset Manager evaluates if the High-Water Mark should be adjusted | Can be modified by clients at any point in time |
High-Water Mark (<CCY>) | Today’s High-Water Mark equals the maximum of yesterday’s High-Water Mark and today’s strategy value if the PCF date equals the Performance Fee Observation Date, otherwise, it equals yesterday’s High-Water-Mark. | Can be modified by clients at any point in time |
Performance Fee Rate (%) | The Performance Fee is expressed in percentage. | Can be modified by clients at any point in time |
Performance Fee (<CCY>) | If the Strategy Value is smaller than the High-Water Mark, the Performance Fee is set to 0. Otherwise, it is set to the Performance Fee Rate multiplied by (the Strategy Value - High-Water Mark) | max(0, Strategy Value - High-Water Mark) * Performance Fee Rate |
Total Performance Fee | Performance fee multiplied by the number of outstanding shares | Performance Fee * Outstanding Shares |
Total Fee (<CCY>) | The sum of Operations, Management and Performance fees | Total Performance Fee + Total Management Fee + Total Operations Fee |
Net Asset Value (<CCY>) | The Strategy Value minus the performance fee | Strategy Value - Performance Fee |
Total Net Asset Value (<CCY>) | The total value of the assets in the PCF minus all fees | Portfolio Value - Total Fee |
Total Net Asset Value (USD) | The total value of the assets in the PCF minus all fees, in USD | Total Net Asset Value * Fx Rate USD<CCY> |
Additionally, the following variables describe each of the PCF constituent:
| Variable | Description | Note / Equation |
|---|---|---|
Underlying | The name of the underlying asset | Can be added/deleted by clients at any point in time |
Ticker | The ticker of the underlying asset | Can be added/deleted by clients at any point in time |
Amount | The amount of the asset | Can be modified by clients at any point in time |
Price USD | The asset’s price in USD | Spot price at 16:30 UTC |
Total USD | The Total value of the underlying in USD | amount * price |
Current Weight | The current weight of the asset in the portfolio | Total USD / Portfolio Value |
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