This guide provides information on how performance returns are calculated for Macquarie Wrap reports and statements. The reports and statements that include performance data are:
Macquarie Wrap provide performance reporting at three levels:
The Portfolio Review Report (PRR) can be used to provide information for a group of accounts. This will help you produce an online overview of account activity for a group of clients over a period.
You can also search for account groups and generate reports for any ad-hoc groups you create.
Note: You may notice some differences between the figures on the PRR and the Performance page in Adviser Online. Adviser Online only should be referenced for account level performance, and the PRR should be used to calculate performance on a group of client accounts.
You can locate a comprehensive view of your client’s account-level performance on the ‘Performance - Summary’ page in Adviser Online or via Report Builder.
You can locate a comprehensive view of your client’s security-level performance on the ‘Performance - Security detail’ page in Adviser Online or via Report Builder.
There are two performance reporting calculation methodologies available:
It's important to understand how a choice of reporting method could impact the performance figures provided.
MWR calculates the internal rate of return (IRR) that accounts for the timing and magnitude of all cash flows. It reflects the actual return earned by the investor based on when they invested or withdrew money.
(Closing portfolio value - Opening portfolio value - Net Capital Flows) / (Opening portfolio value + Sum of the Weighted Capital Flows)
(Closing value – Opening value – Net Capital Flows) + Income accrued] / (Opening value + Sum of the weighted Capital Flows)
TWR measures the compound rate of growth of an investment by eliminating the impact of cash flows (deposits and withdrawals). It focuses purely on the investment manager’s ability to grow the portfolio. TWR calculations are specifically designed for account-level performance.
TWR calculations for all investments are calculated daily to obtain the most accurate results. The daily figures are then compounded to obtain returns for any required period.
TWR is calculated using the formula below:
(Closing portfolio value – Opening portfolio value – Net Capital Flows) / (Opening portfolio + Net Capital Flows)/2)
Please note:
The following rules apply to TWR and MWR performance calculations:
Our platform uses cumulative pricing for all managed fund valuations, which mean income amounts remain included in the unit price until the ex-date, at which point they’re removed from the price and treated as a separate cash distribution.
Performance figures can vary due to differences in calculation methods, factors considered and timing. Fund managers focus on individual fund returns, typically including only income received and excluding account-level factors like fees or taxes. In contrast, Macquarie Wrap calculates performance at the account level, incorporating all holdings, cash flows, fees, taxes and accrued income. Timing differences, such as when transactions or distributions occur, may also create discrepancies between fund manager and Macquarie Wrap performance figures.
Income return = Total income received for the period selected / Closing portfolio x 100
Market movement represents any unrealised growth. It also acts as a balancing figure and is calculated as follows:
Market movement = Closing balance – Opening balance – Capital inflows – Capital outflows – Income – Expense – Realised gains
Net Capital Flows = Additions – Capital outflows
Sum of the weighted Capital Flows = Sum of [Capital Flows x (Days in Period – Days of Cashflow in Period)] / Days in the period
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