Investment Fund Accounting: Daily NAV, Unit Pricing, Subscriptions & Redemptions, Fee Accruals & Performance Fees with a High-Water Mark

What you'll build

What you will be able to do

Each lab ends with a concrete result that you build yourself and the checker confirms, cell by cell.

• Price every holding of a fictional balanced fund from the vendor price file, convert each position into the base currency, and work out the market value and the unrealised gain per holding and in total.
• Build the fund's statement of net assets – total assets, total liabilities and the NAV – and divide by the units in issue to get the NAV per unit rounded to four decimals.
• Accrue the management fee on the prior-day NAV and spread the fixed annual expenses over the days, including the weekend on Monday, and roll the accrued balance forward until the fee is paid.
• Deal the day's orders at the NAV per unit: units issued for cash subscriptions (rounded down), cash paid out for redeemed units, and the closing units per investor and for the whole fund in the unit register.
• Book dividends on their ex-date net of a fictional withholding tax, accrue bond interest by the day, and turn the half-year's net income into a distribution per unit and the ex-distribution price.
• Grow a fictional hurdle through the year, take the higher of hurdle and high-water mark as the threshold, accrue 15 % of the outperformance per unit across all units, and reset the high-water mark when the fee crystallises at year end.
• Before the price is released you compare the fund's daily move with its benchmark, flag days outside the tolerance, count price moves that break the price tolerance in either direction, count stale prices and colour the flagged days.
• Value each investor's units at today's NAV per unit, compute the return since each investor started, chart the NAV per unit over ten month ends and name the investor with the best return.