ODIN Modules

This module calculates accruals of fixed payments for given valuation dates. This implements two methods, Equal Value (Method 1) and Equal Return (Method 2), that preserve the market value and return at the period end, respectively.

This module is used to calculate the portfolio holding weights. The module can also be leveraged to insert a cash identifier into the list of portfolio holdings and assign it a percentage of capital based on current portfolio market value.

This module is used to calculate portfolio period returns with net contributions. It support TWR and MWR return methodologies. The four supported methodologies are: Dietz, Modified Dietz, True TWR and MWR (IRR). It also supports the computation of returns for defined period frequencies. For example, monthly returns for a given stream of daily end of day market values with net contributions (inflows & outflows).

The GIPS standards now give firms the flexibility to determine how they will allocate cash, as long as it is done on a timely and consistent basis. This module implements the Beginning-of-Period Allocation methodology. For a given set of inputs defined below, the module will generate the carve-out performance and market values with cash component included.

This module is used to create case indexed table sets. It takes a single table set and splits it into multiple table sets based on the date column. This module is used to split a single data set with historical prices, into multiple table sets, where each table set contains data for one period.

This module is used to perform arithmetic operations on defined column or columns. For example, adding/multiplying two or more columns, subtracting one column from another or adding a constant value to every value in a column.

This module is used to perform text(String) manipulation operations on text value columns. For example, cut the first two characters (55) from the GICS code (e.g. 55104010) and convert it to a number. This module also contains the ability to replace with regex.

This module is part of the VICAP suite of products. This module efficiently parses through thousands of accounts and creates composites/models through time. It allows flexible validation (rules) definitions. It provides a detailed summary report with model mapping through time.

This module is used generate a Composite and Client Summary Reports that details composite or client attributes, including asset weighted return, asset weighted dispersion, period end market value. It supports multiple reporting frequencies, including daily, annually, monthly, quarterly.

This module is part of the VICAP suite of products. It is used to validate a group of accounts against a single strategy or model. The module allows flexible definition of portfolio and security level validation rules.

The module is used to convert a date to another date. For example, convert a date to the end of week or end of month date. There is also an offset functionality that can be used to add/subtract days/months/years to a date.

This module is used to create a correlation matrix for multiple streams of values. For example, creating a 6×6 correlation matrix of 6 benchmark return streams.