{"queries":[{"id":"msf_underlying_weights_table","compiledQueryString":"SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC","inputQueryString":"SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC","compiled":false,"inline":false},{"id":"msf_underlying_price_history","compiledQueryString":"SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history","inputQueryString":"SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history","compiled":false,"inline":false},{"id":"fund_daily_returns","compiledQueryString":"SELECT\n date,\n id_fund,\n daily_return_pct\nFROM fund_daily_returns","inputQueryString":"SELECT\n date,\n id_fund,\n daily_return_pct\nFROM fund_daily_returns","compiled":false,"inline":false},{"id":"msf_underlying_fund_list","compiledQueryString":"SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC","inputQueryString":"SELECT\n underlying_fund,\n weight_pct\nFROM ${msf_underlying_weights_table}\nORDER BY weight_pct DESC","compiled":true,"inline":true},{"id":"msf_underlying_daily_returns","compiledQueryString":"WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1)","inputQueryString":"WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM ${msf_underlying_price_history}\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1)","compiled":true,"inline":true},{"id":"msf_combined_daily_returns","compiledQueryString":"SELECT\n date,\n 'MSF' AS series_name,\n daily_return_pct / 100 AS daily_return,\n 1 AS is_primary\nFROM (SELECT\n date,\n id_fund,\n daily_return_pct\nFROM fund_daily_returns)\nWHERE id_fund = 'MSF'\n AND isfinite(daily_return_pct)\n\nUNION ALL\n\nSELECT\n date,\n underlying_fund AS series_name,\n daily_return,\n 0 AS is_primary\nFROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))","inputQueryString":"SELECT\n date,\n 'MSF' AS series_name,\n daily_return_pct / 100 AS daily_return,\n 1 AS is_primary\nFROM ${fund_daily_returns}\nWHERE id_fund = 'MSF'\n AND isfinite(daily_return_pct)\n\nUNION ALL\n\nSELECT\n date,\n underlying_fund AS series_name,\n daily_return,\n 0 AS is_primary\nFROM ${msf_underlying_daily_returns}","compiled":true,"inline":true},{"id":"msf_available_years","compiledQueryString":"SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC","inputQueryString":"SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM ${msf_underlying_daily_returns}\n)\nORDER BY year_num DESC","compiled":true,"inline":true},{"id":"msf_selected_years","compiledQueryString":"WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback","inputQueryString":"WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM ${msf_available_years}\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback","compiled":true,"inline":true},{"id":"msf_underlying_monthly_pivot_all","compiledQueryString":"WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\nmonths AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Jan'),\n (2, 'Feb'),\n (3, 'Mar'),\n (4, 'Apr'),\n (5, 'May'),\n (6, 'Jun'),\n (7, 'Jul'),\n (8, 'Aug'),\n (9, 'Sep'),\n (10, 'Oct'),\n (11, 'Nov'),\n (12, 'Dec')\n ) AS m(month_num, month_name)\n),\nbase_monthly AS (\n WITH month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n )\n SELECT\n underlying_fund,\n CAST(date_part('year', month_start) AS VARCHAR) AS year_label,\n CAST(date_part('month', month_start) AS INTEGER) AS month_num,\n CASE CAST(date_part('month', month_start) AS INTEGER)\n WHEN 1 THEN 'Jan'\n WHEN 2 THEN 'Feb'\n WHEN 3 THEN 'Mar'\n WHEN 4 THEN 'Apr'\n WHEN 5 THEN 'May'\n WHEN 6 THEN 'Jun'\n WHEN 7 THEN 'Jul'\n WHEN 8 THEN 'Aug'\n WHEN 9 THEN 'Sep'\n WHEN 10 THEN 'Oct'\n WHEN 11 THEN 'Nov'\n WHEN 12 THEN 'Dec'\n END AS month_name,\n month_end_price\n / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS monthly_return\n FROM month_prices\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n m.month_num,\n m.month_name,\n y.year_label\n FROM underlyings u\n CROSS JOIN months m\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) y\n),\nmonthly AS (\n SELECT\n s.underlying_fund,\n s.year_label,\n s.month_num,\n s.month_name,\n coalesce(bm.monthly_return, 0.0) AS monthly_return\n FROM skeleton s\n LEFT JOIN base_monthly bm\n ON s.underlying_fund = bm.underlying_fund\n AND s.year_label = bm.year_label\n AND s.month_num = bm.month_num\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN monthly_return END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN monthly_return END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN monthly_return END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN monthly_return END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN monthly_return END) AS year_5\nFROM monthly\nGROUP BY underlying_fund, month_num, month_name\nORDER BY underlying_fund, month_num","inputQueryString":"WITH selected_years AS (\n SELECT * FROM ${msf_selected_years}\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM ${msf_underlying_fund_list}\n),\nmonths AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Jan'),\n (2, 'Feb'),\n (3, 'Mar'),\n (4, 'Apr'),\n (5, 'May'),\n (6, 'Jun'),\n (7, 'Jul'),\n (8, 'Aug'),\n (9, 'Sep'),\n (10, 'Oct'),\n (11, 'Nov'),\n (12, 'Dec')\n ) AS m(month_num, month_name)\n),\nbase_monthly AS (\n WITH month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM ${msf_underlying_price_history}\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n )\n SELECT\n underlying_fund,\n CAST(date_part('year', month_start) AS VARCHAR) AS year_label,\n CAST(date_part('month', month_start) AS INTEGER) AS month_num,\n CASE CAST(date_part('month', month_start) AS INTEGER)\n WHEN 1 THEN 'Jan'\n WHEN 2 THEN 'Feb'\n WHEN 3 THEN 'Mar'\n WHEN 4 THEN 'Apr'\n WHEN 5 THEN 'May'\n WHEN 6 THEN 'Jun'\n WHEN 7 THEN 'Jul'\n WHEN 8 THEN 'Aug'\n WHEN 9 THEN 'Sep'\n WHEN 10 THEN 'Oct'\n WHEN 11 THEN 'Nov'\n WHEN 12 THEN 'Dec'\n END AS month_name,\n month_end_price\n / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS monthly_return\n FROM month_prices\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n m.month_num,\n m.month_name,\n y.year_label\n FROM underlyings u\n CROSS JOIN months m\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) y\n),\nmonthly AS (\n SELECT\n s.underlying_fund,\n s.year_label,\n s.month_num,\n s.month_name,\n coalesce(bm.monthly_return, 0.0) AS monthly_return\n FROM skeleton s\n LEFT JOIN base_monthly bm\n ON s.underlying_fund = bm.underlying_fund\n AND s.year_label = bm.year_label\n AND s.month_num = bm.month_num\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN monthly_return END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN monthly_return END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN monthly_return END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN monthly_return END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN monthly_return END) AS year_5\nFROM monthly\nGROUP BY underlying_fund, month_num, month_name\nORDER BY underlying_fund, month_num","compiled":true,"inline":true},{"id":"msf_underlying_monthly_heatmap_all","compiledQueryString":"WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n CASE year_col\n WHEN 'year_1' THEN (SELECT y1 FROM selected_years)\n WHEN 'year_2' THEN (SELECT y2 FROM selected_years)\n WHEN 'year_3' THEN (SELECT y3 FROM selected_years)\n WHEN 'year_4' THEN (SELECT y4 FROM selected_years)\n WHEN 'year_5' THEN (SELECT y5 FROM selected_years)\n END AS year_label,\n monthly_return\nFROM (\n UNPIVOT (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\nmonths AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Jan'),\n (2, 'Feb'),\n (3, 'Mar'),\n (4, 'Apr'),\n (5, 'May'),\n (6, 'Jun'),\n (7, 'Jul'),\n (8, 'Aug'),\n (9, 'Sep'),\n (10, 'Oct'),\n (11, 'Nov'),\n (12, 'Dec')\n ) AS m(month_num, month_name)\n),\nbase_monthly AS (\n WITH month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n )\n SELECT\n underlying_fund,\n CAST(date_part('year', month_start) AS VARCHAR) AS year_label,\n CAST(date_part('month', month_start) AS INTEGER) AS month_num,\n CASE CAST(date_part('month', month_start) AS INTEGER)\n WHEN 1 THEN 'Jan'\n WHEN 2 THEN 'Feb'\n WHEN 3 THEN 'Mar'\n WHEN 4 THEN 'Apr'\n WHEN 5 THEN 'May'\n WHEN 6 THEN 'Jun'\n WHEN 7 THEN 'Jul'\n WHEN 8 THEN 'Aug'\n WHEN 9 THEN 'Sep'\n WHEN 10 THEN 'Oct'\n WHEN 11 THEN 'Nov'\n WHEN 12 THEN 'Dec'\n END AS month_name,\n month_end_price\n / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS monthly_return\n FROM month_prices\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n m.month_num,\n m.month_name,\n y.year_label\n FROM underlyings u\n CROSS JOIN months m\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) y\n),\nmonthly AS (\n SELECT\n s.underlying_fund,\n s.year_label,\n s.month_num,\n s.month_name,\n coalesce(bm.monthly_return, 0.0) AS monthly_return\n FROM skeleton s\n LEFT JOIN base_monthly bm\n ON s.underlying_fund = bm.underlying_fund\n AND s.year_label = bm.year_label\n AND s.month_num = bm.month_num\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN monthly_return END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN monthly_return END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN monthly_return END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN monthly_return END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN monthly_return END) AS year_5\nFROM monthly\nGROUP BY underlying_fund, month_num, month_name\nORDER BY underlying_fund, month_num)\n ON COLUMNS(* EXCLUDE (underlying_fund, month_num, month_name))\n INTO\n NAME year_col\n VALUE monthly_return\n)\nORDER BY underlying_fund, month_num, year_label","inputQueryString":"WITH selected_years AS (\n SELECT * FROM ${msf_selected_years}\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n CASE year_col\n WHEN 'year_1' THEN (SELECT y1 FROM selected_years)\n WHEN 'year_2' THEN (SELECT y2 FROM selected_years)\n WHEN 'year_3' THEN (SELECT y3 FROM selected_years)\n WHEN 'year_4' THEN (SELECT y4 FROM selected_years)\n WHEN 'year_5' THEN (SELECT y5 FROM selected_years)\n END AS year_label,\n monthly_return\nFROM (\n UNPIVOT ${msf_underlying_monthly_pivot_all}\n ON COLUMNS(* EXCLUDE (underlying_fund, month_num, month_name))\n INTO\n NAME year_col\n VALUE monthly_return\n)\nORDER BY underlying_fund, month_num, year_label","compiled":true,"inline":true},{"id":"msf_underlying_stats_pivot_all","compiledQueryString":"WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\ndaily_returns AS (\n SELECT\n underlying_fund,\n date,\n daily_return\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n WHERE daily_return > -1\n),\nunderlying_month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n),\nreturns_raw AS (\n SELECT\n underlying_fund,\n month_start AS date,\n CAST(date_part('year', month_start) AS INTEGER) AS year_num,\n month_end_price / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS period_return\n FROM underlying_month_prices\n),\nreturns AS (\n SELECT\n underlying_fund,\n date,\n year_num,\n period_return\n FROM returns_raw\n WHERE period_return IS NOT NULL\n AND isfinite(period_return)\n AND period_return > -1\n),\ncum_returns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n period_return,\n exp(sum(ln(1 + period_return)) OVER (PARTITION BY underlying_fund, year_num ORDER BY date)) - 1 AS cumulative_return\n FROM returns\n),\ndrawdowns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n cumulative_return,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund, year_num ORDER BY date), 0) - 1 AS drawdown\n FROM cum_returns\n),\nyearly_core AS (\n WITH yearly_aggregate AS (\n SELECT\n underlying_fund,\n year_num,\n exp(sum(ln(1 + period_return))) - 1 AS total_return,\n count(*) AS n_periods,\n min(date) AS min_period_date,\n max(date) AS max_period_date,\n sqrt(12) * stddev_samp(period_return) AS vol,\n sqrt(12) * stddev_samp(CASE WHEN period_return < 0 THEN period_return END) AS drisk,\n quantile_cont(period_return, 0.05) AS q05\n FROM returns\n GROUP BY underlying_fund, year_num\n )\n SELECT\n underlying_fund,\n year_num,\n CASE\n WHEN n_periods <= 0 THEN NULL\n WHEN n_periods = 1 THEN total_return\n WHEN date_diff('day', min_period_date, max_period_date) <= 0 THEN total_return\n ELSE power(\n 1 + total_return,\n least(365.0 / NULLIF(date_diff('day', min_period_date, max_period_date), 0), 1.0)\n ) - 1\n END AS annualised_return,\n vol,\n drisk,\n q05\n FROM yearly_aggregate\n),\nyearly_es AS (\n SELECT\n yc.underlying_fund,\n yc.year_num,\n avg(CASE WHEN r.period_return <= yc.q05 THEN r.period_return END) * sqrt(12) AS es\n FROM yearly_core yc\n JOIN returns r\n ON yc.underlying_fund = r.underlying_fund\n AND yc.year_num = r.year_num\n GROUP BY yc.underlying_fund, yc.year_num\n),\nyearly_path AS (\n SELECT\n underlying_fund,\n year_num,\n max(cumulative_return) AS hwm\n FROM drawdowns\n GROUP BY underlying_fund, year_num\n),\nmsf_returns AS (\n WITH msf_daily AS (\n SELECT\n date,\n daily_return\n FROM (SELECT\n date,\n 'MSF' AS series_name,\n daily_return_pct / 100 AS daily_return,\n 1 AS is_primary\nFROM (SELECT\n date,\n id_fund,\n daily_return_pct\nFROM fund_daily_returns)\nWHERE id_fund = 'MSF'\n AND isfinite(daily_return_pct)\n\nUNION ALL\n\nSELECT\n date,\n underlying_fund AS series_name,\n daily_return,\n 0 AS is_primary\nFROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1)))\n WHERE series_name = 'MSF'\n AND daily_return > -1\n )\n SELECT\n CAST(date_trunc('month', date) AS DATE) AS date,\n CAST(date_part('year', date) AS INTEGER) AS year_num,\n exp(sum(ln(1 + daily_return))) - 1 AS period_return\n FROM msf_daily\n GROUP BY CAST(date_trunc('month', date) AS DATE), CAST(date_part('year', date) AS INTEGER)\n),\nyearly_beta AS (\n SELECT\n r.underlying_fund,\n r.year_num,\n abs(covar_samp(r.period_return, m.period_return) / NULLIF(var_samp(m.period_return), 0)) AS beta_abs\n FROM returns r\n JOIN msf_returns m\n ON r.date = m.date\n AND r.year_num = m.year_num\n GROUP BY r.underlying_fund, r.year_num\n),\nall_time AS (\n WITH all_time_path AS (\n SELECT\n underlying_fund,\n date,\n exp(sum(ln(1 + daily_return)) OVER (PARTITION BY underlying_fund ORDER BY date)) - 1 AS cumulative_return\n FROM daily_returns\n ),\n all_time_drawdown AS (\n SELECT\n underlying_fund,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund ORDER BY date), 0) - 1 AS drawdown\n FROM all_time_path\n ),\n drawdown_agg AS (\n SELECT\n underlying_fund,\n min(drawdown) AS mdd_all_time\n FROM all_time_drawdown\n GROUP BY underlying_fund\n ),\n loss_agg AS (\n SELECT\n underlying_fund,\n min(daily_return) AS max_loss\n FROM daily_returns\n GROUP BY underlying_fund\n )\n SELECT\n d.underlying_fund,\n d.mdd_all_time,\n l.max_loss\n FROM drawdown_agg d\n JOIN loss_agg l\n ON d.underlying_fund = l.underlying_fund\n),\nmetrics AS (\n SELECT\n yc.underlying_fund,\n CAST(yc.year_num AS VARCHAR) AS year_label,\n NULL::DOUBLE AS rfr,\n yc.vol AS risk,\n yc.drisk AS drisk,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS sharpe,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS rvol,\n ye.es AS es,\n yp.hwm AS hwm,\n all_t.mdd_all_time AS mdd,\n yb.beta_abs AS beta_abs,\n all_t.max_loss AS max_loss,\n yc.vol AS vol,\n yc.annualised_return AS annualised_return\n FROM yearly_core yc\n LEFT JOIN yearly_es ye\n ON yc.underlying_fund = ye.underlying_fund\n AND yc.year_num = ye.year_num\n LEFT JOIN yearly_path yp\n ON yc.underlying_fund = yp.underlying_fund\n AND yc.year_num = yp.year_num\n LEFT JOIN yearly_beta yb\n ON yc.underlying_fund = yb.underlying_fund\n AND yc.year_num = yb.year_num\n LEFT JOIN all_time all_t\n ON yc.underlying_fund = all_t.underlying_fund\n),\nlong_metrics AS (\n SELECT underlying_fund, 1 AS metric_order, 'Rfr (X)' AS metric, year_label, rfr AS metric_value FROM metrics\n UNION ALL SELECT underlying_fund, 2, 'DRisk (%)', year_label, drisk * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 3, 'Sharpe', year_label, sharpe FROM metrics\n UNION ALL SELECT underlying_fund, 4, 'Rvol', year_label, rvol FROM metrics\n UNION ALL SELECT underlying_fund, 5, 'ES (%)', year_label, es * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 6, 'HWM (%)', year_label, hwm * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 8, 'Beta (abs, high bad)', year_label, beta_abs FROM metrics\n UNION ALL SELECT underlying_fund, 10, 'Vol (%)', year_label, vol * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 11, 'Annualised return (%)', year_label, annualised_return * 100 FROM metrics\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 7 AS metric_order,\n 'MDD (%)' AS metric,\n yl.year_label,\n all_t.mdd_all_time * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 9 AS metric_order,\n 'Max loss (all-time, %)' AS metric,\n yl.year_label,\n all_t.max_loss * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n),\nmetric_catalog AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Rfr (X)'),\n (2, 'DRisk (%)'),\n (3, 'Sharpe'),\n (4, 'Rvol'),\n (5, 'ES (%)'),\n (6, 'HWM (%)'),\n (7, 'MDD (%)'),\n (8, 'Beta (abs, high bad)'),\n (9, 'Max loss (all-time, %)'),\n (10, 'Vol (%)'),\n (11, 'Annualised return (%)')\n ) AS mc(metric_order, metric)\n),\nyear_catalog AS (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n mc.metric_order,\n mc.metric,\n yc.year_label\n FROM underlyings u\n CROSS JOIN metric_catalog mc\n CROSS JOIN year_catalog yc\n),\nfilled_metrics AS (\n SELECT\n s.underlying_fund,\n s.metric_order,\n s.metric,\n s.year_label,\n lm.metric_value AS metric_value\n FROM skeleton s\n LEFT JOIN long_metrics lm\n ON s.underlying_fund = lm.underlying_fund\n AND s.metric_order = lm.metric_order\n AND s.year_label = lm.year_label\n)\nSELECT\n underlying_fund,\n metric_order,\n metric,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN metric_value END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN metric_value END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN metric_value END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN metric_value END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN metric_value END) AS year_5\nFROM filled_metrics\nGROUP BY underlying_fund, metric_order, metric\nORDER BY underlying_fund, metric_order","inputQueryString":"WITH selected_years AS (\n SELECT * FROM ${msf_selected_years}\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM ${msf_underlying_fund_list}\n),\ndaily_returns AS (\n SELECT\n underlying_fund,\n date,\n daily_return\n FROM ${msf_underlying_daily_returns}\n WHERE daily_return > -1\n),\nunderlying_month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM ${msf_underlying_price_history}\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n),\nreturns_raw AS (\n SELECT\n underlying_fund,\n month_start AS date,\n CAST(date_part('year', month_start) AS INTEGER) AS year_num,\n month_end_price / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS period_return\n FROM underlying_month_prices\n),\nreturns AS (\n SELECT\n underlying_fund,\n date,\n year_num,\n period_return\n FROM returns_raw\n WHERE period_return IS NOT NULL\n AND isfinite(period_return)\n AND period_return > -1\n),\ncum_returns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n period_return,\n exp(sum(ln(1 + period_return)) OVER (PARTITION BY underlying_fund, year_num ORDER BY date)) - 1 AS cumulative_return\n FROM returns\n),\ndrawdowns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n cumulative_return,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund, year_num ORDER BY date), 0) - 1 AS drawdown\n FROM cum_returns\n),\nyearly_core AS (\n WITH yearly_aggregate AS (\n SELECT\n underlying_fund,\n year_num,\n exp(sum(ln(1 + period_return))) - 1 AS total_return,\n count(*) AS n_periods,\n min(date) AS min_period_date,\n max(date) AS max_period_date,\n sqrt(12) * stddev_samp(period_return) AS vol,\n sqrt(12) * stddev_samp(CASE WHEN period_return < 0 THEN period_return END) AS drisk,\n quantile_cont(period_return, 0.05) AS q05\n FROM returns\n GROUP BY underlying_fund, year_num\n )\n SELECT\n underlying_fund,\n year_num,\n CASE\n WHEN n_periods <= 0 THEN NULL\n WHEN n_periods = 1 THEN total_return\n WHEN date_diff('day', min_period_date, max_period_date) <= 0 THEN total_return\n ELSE power(\n 1 + total_return,\n least(365.0 / NULLIF(date_diff('day', min_period_date, max_period_date), 0), 1.0)\n ) - 1\n END AS annualised_return,\n vol,\n drisk,\n q05\n FROM yearly_aggregate\n),\nyearly_es AS (\n SELECT\n yc.underlying_fund,\n yc.year_num,\n avg(CASE WHEN r.period_return <= yc.q05 THEN r.period_return END) * sqrt(12) AS es\n FROM yearly_core yc\n JOIN returns r\n ON yc.underlying_fund = r.underlying_fund\n AND yc.year_num = r.year_num\n GROUP BY yc.underlying_fund, yc.year_num\n),\nyearly_path AS (\n SELECT\n underlying_fund,\n year_num,\n max(cumulative_return) AS hwm\n FROM drawdowns\n GROUP BY underlying_fund, year_num\n),\nmsf_returns AS (\n WITH msf_daily AS (\n SELECT\n date,\n daily_return\n FROM ${msf_combined_daily_returns}\n WHERE series_name = 'MSF'\n AND daily_return > -1\n )\n SELECT\n CAST(date_trunc('month', date) AS DATE) AS date,\n CAST(date_part('year', date) AS INTEGER) AS year_num,\n exp(sum(ln(1 + daily_return))) - 1 AS period_return\n FROM msf_daily\n GROUP BY CAST(date_trunc('month', date) AS DATE), CAST(date_part('year', date) AS INTEGER)\n),\nyearly_beta AS (\n SELECT\n r.underlying_fund,\n r.year_num,\n abs(covar_samp(r.period_return, m.period_return) / NULLIF(var_samp(m.period_return), 0)) AS beta_abs\n FROM returns r\n JOIN msf_returns m\n ON r.date = m.date\n AND r.year_num = m.year_num\n GROUP BY r.underlying_fund, r.year_num\n),\nall_time AS (\n WITH all_time_path AS (\n SELECT\n underlying_fund,\n date,\n exp(sum(ln(1 + daily_return)) OVER (PARTITION BY underlying_fund ORDER BY date)) - 1 AS cumulative_return\n FROM daily_returns\n ),\n all_time_drawdown AS (\n SELECT\n underlying_fund,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund ORDER BY date), 0) - 1 AS drawdown\n FROM all_time_path\n ),\n drawdown_agg AS (\n SELECT\n underlying_fund,\n min(drawdown) AS mdd_all_time\n FROM all_time_drawdown\n GROUP BY underlying_fund\n ),\n loss_agg AS (\n SELECT\n underlying_fund,\n min(daily_return) AS max_loss\n FROM daily_returns\n GROUP BY underlying_fund\n )\n SELECT\n d.underlying_fund,\n d.mdd_all_time,\n l.max_loss\n FROM drawdown_agg d\n JOIN loss_agg l\n ON d.underlying_fund = l.underlying_fund\n),\nmetrics AS (\n SELECT\n yc.underlying_fund,\n CAST(yc.year_num AS VARCHAR) AS year_label,\n NULL::DOUBLE AS rfr,\n yc.vol AS risk,\n yc.drisk AS drisk,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS sharpe,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS rvol,\n ye.es AS es,\n yp.hwm AS hwm,\n all_t.mdd_all_time AS mdd,\n yb.beta_abs AS beta_abs,\n all_t.max_loss AS max_loss,\n yc.vol AS vol,\n yc.annualised_return AS annualised_return\n FROM yearly_core yc\n LEFT JOIN yearly_es ye\n ON yc.underlying_fund = ye.underlying_fund\n AND yc.year_num = ye.year_num\n LEFT JOIN yearly_path yp\n ON yc.underlying_fund = yp.underlying_fund\n AND yc.year_num = yp.year_num\n LEFT JOIN yearly_beta yb\n ON yc.underlying_fund = yb.underlying_fund\n AND yc.year_num = yb.year_num\n LEFT JOIN all_time all_t\n ON yc.underlying_fund = all_t.underlying_fund\n),\nlong_metrics AS (\n SELECT underlying_fund, 1 AS metric_order, 'Rfr (X)' AS metric, year_label, rfr AS metric_value FROM metrics\n UNION ALL SELECT underlying_fund, 2, 'DRisk (%)', year_label, drisk * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 3, 'Sharpe', year_label, sharpe FROM metrics\n UNION ALL SELECT underlying_fund, 4, 'Rvol', year_label, rvol FROM metrics\n UNION ALL SELECT underlying_fund, 5, 'ES (%)', year_label, es * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 6, 'HWM (%)', year_label, hwm * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 8, 'Beta (abs, high bad)', year_label, beta_abs FROM metrics\n UNION ALL SELECT underlying_fund, 10, 'Vol (%)', year_label, vol * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 11, 'Annualised return (%)', year_label, annualised_return * 100 FROM metrics\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 7 AS metric_order,\n 'MDD (%)' AS metric,\n yl.year_label,\n all_t.mdd_all_time * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 9 AS metric_order,\n 'Max loss (all-time, %)' AS metric,\n yl.year_label,\n all_t.max_loss * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n),\nmetric_catalog AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Rfr (X)'),\n (2, 'DRisk (%)'),\n (3, 'Sharpe'),\n (4, 'Rvol'),\n (5, 'ES (%)'),\n (6, 'HWM (%)'),\n (7, 'MDD (%)'),\n (8, 'Beta (abs, high bad)'),\n (9, 'Max loss (all-time, %)'),\n (10, 'Vol (%)'),\n (11, 'Annualised return (%)')\n ) AS mc(metric_order, metric)\n),\nyear_catalog AS (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n mc.metric_order,\n mc.metric,\n yc.year_label\n FROM underlyings u\n CROSS JOIN metric_catalog mc\n CROSS JOIN year_catalog yc\n),\nfilled_metrics AS (\n SELECT\n s.underlying_fund,\n s.metric_order,\n s.metric,\n s.year_label,\n lm.metric_value AS metric_value\n FROM skeleton s\n LEFT JOIN long_metrics lm\n ON s.underlying_fund = lm.underlying_fund\n AND s.metric_order = lm.metric_order\n AND s.year_label = lm.year_label\n)\nSELECT\n underlying_fund,\n metric_order,\n metric,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN metric_value END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN metric_value END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN metric_value END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN metric_value END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN metric_value END) AS year_5\nFROM filled_metrics\nGROUP BY underlying_fund, metric_order, metric\nORDER BY underlying_fund, metric_order","compiled":true,"inline":true},{"id":"msf_monthly_heatmap_millennium","compiledQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n CASE year_col\n WHEN 'year_1' THEN (SELECT y1 FROM selected_years)\n WHEN 'year_2' THEN (SELECT y2 FROM selected_years)\n WHEN 'year_3' THEN (SELECT y3 FROM selected_years)\n WHEN 'year_4' THEN (SELECT y4 FROM selected_years)\n WHEN 'year_5' THEN (SELECT y5 FROM selected_years)\n END AS year_label,\n monthly_return\nFROM (\n UNPIVOT (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\nmonths AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Jan'),\n (2, 'Feb'),\n (3, 'Mar'),\n (4, 'Apr'),\n (5, 'May'),\n (6, 'Jun'),\n (7, 'Jul'),\n (8, 'Aug'),\n (9, 'Sep'),\n (10, 'Oct'),\n (11, 'Nov'),\n (12, 'Dec')\n ) AS m(month_num, month_name)\n),\nbase_monthly AS (\n WITH month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n )\n SELECT\n underlying_fund,\n CAST(date_part('year', month_start) AS VARCHAR) AS year_label,\n CAST(date_part('month', month_start) AS INTEGER) AS month_num,\n CASE CAST(date_part('month', month_start) AS INTEGER)\n WHEN 1 THEN 'Jan'\n WHEN 2 THEN 'Feb'\n WHEN 3 THEN 'Mar'\n WHEN 4 THEN 'Apr'\n WHEN 5 THEN 'May'\n WHEN 6 THEN 'Jun'\n WHEN 7 THEN 'Jul'\n WHEN 8 THEN 'Aug'\n WHEN 9 THEN 'Sep'\n WHEN 10 THEN 'Oct'\n WHEN 11 THEN 'Nov'\n WHEN 12 THEN 'Dec'\n END AS month_name,\n month_end_price\n / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS monthly_return\n FROM month_prices\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n m.month_num,\n m.month_name,\n y.year_label\n FROM underlyings u\n CROSS JOIN months m\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) y\n),\nmonthly AS (\n SELECT\n s.underlying_fund,\n s.year_label,\n s.month_num,\n s.month_name,\n coalesce(bm.monthly_return, 0.0) AS monthly_return\n FROM skeleton s\n LEFT JOIN base_monthly bm\n ON s.underlying_fund = bm.underlying_fund\n AND s.year_label = bm.year_label\n AND s.month_num = bm.month_num\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN monthly_return END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN monthly_return END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN monthly_return END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN monthly_return END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN monthly_return END) AS year_5\nFROM monthly\nGROUP BY underlying_fund, month_num, month_name\nORDER BY underlying_fund, month_num)\n ON COLUMNS(* EXCLUDE (underlying_fund, month_num, month_name))\n INTO\n NAME year_col\n VALUE monthly_return\n)\nORDER BY underlying_fund, month_num, year_label)\nWHERE underlying_fund = 'Millennium'\nORDER BY month_num, year_label","inputQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM ${msf_underlying_monthly_heatmap_all}\nWHERE underlying_fund = 'Millennium'\nORDER BY month_num, year_label","compiled":true,"inline":true},{"id":"msf_stats_millennium","compiledQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\ndaily_returns AS (\n SELECT\n underlying_fund,\n date,\n daily_return\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n WHERE daily_return > -1\n),\nunderlying_month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n),\nreturns_raw AS (\n SELECT\n underlying_fund,\n month_start AS date,\n CAST(date_part('year', month_start) AS INTEGER) AS year_num,\n month_end_price / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS period_return\n FROM underlying_month_prices\n),\nreturns AS (\n SELECT\n underlying_fund,\n date,\n year_num,\n period_return\n FROM returns_raw\n WHERE period_return IS NOT NULL\n AND isfinite(period_return)\n AND period_return > -1\n),\ncum_returns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n period_return,\n exp(sum(ln(1 + period_return)) OVER (PARTITION BY underlying_fund, year_num ORDER BY date)) - 1 AS cumulative_return\n FROM returns\n),\ndrawdowns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n cumulative_return,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund, year_num ORDER BY date), 0) - 1 AS drawdown\n FROM cum_returns\n),\nyearly_core AS (\n WITH yearly_aggregate AS (\n SELECT\n underlying_fund,\n year_num,\n exp(sum(ln(1 + period_return))) - 1 AS total_return,\n count(*) AS n_periods,\n min(date) AS min_period_date,\n max(date) AS max_period_date,\n sqrt(12) * stddev_samp(period_return) AS vol,\n sqrt(12) * stddev_samp(CASE WHEN period_return < 0 THEN period_return END) AS drisk,\n quantile_cont(period_return, 0.05) AS q05\n FROM returns\n GROUP BY underlying_fund, year_num\n )\n SELECT\n underlying_fund,\n year_num,\n CASE\n WHEN n_periods <= 0 THEN NULL\n WHEN n_periods = 1 THEN total_return\n WHEN date_diff('day', min_period_date, max_period_date) <= 0 THEN total_return\n ELSE power(\n 1 + total_return,\n least(365.0 / NULLIF(date_diff('day', min_period_date, max_period_date), 0), 1.0)\n ) - 1\n END AS annualised_return,\n vol,\n drisk,\n q05\n FROM yearly_aggregate\n),\nyearly_es AS (\n SELECT\n yc.underlying_fund,\n yc.year_num,\n avg(CASE WHEN r.period_return <= yc.q05 THEN r.period_return END) * sqrt(12) AS es\n FROM yearly_core yc\n JOIN returns r\n ON yc.underlying_fund = r.underlying_fund\n AND yc.year_num = r.year_num\n GROUP BY yc.underlying_fund, yc.year_num\n),\nyearly_path AS (\n SELECT\n underlying_fund,\n year_num,\n max(cumulative_return) AS hwm\n FROM drawdowns\n GROUP BY underlying_fund, year_num\n),\nmsf_returns AS (\n WITH msf_daily AS (\n SELECT\n date,\n daily_return\n FROM (SELECT\n date,\n 'MSF' AS series_name,\n daily_return_pct / 100 AS daily_return,\n 1 AS is_primary\nFROM (SELECT\n date,\n id_fund,\n daily_return_pct\nFROM fund_daily_returns)\nWHERE id_fund = 'MSF'\n AND isfinite(daily_return_pct)\n\nUNION ALL\n\nSELECT\n date,\n underlying_fund AS series_name,\n daily_return,\n 0 AS is_primary\nFROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1)))\n WHERE series_name = 'MSF'\n AND daily_return > -1\n )\n SELECT\n CAST(date_trunc('month', date) AS DATE) AS date,\n CAST(date_part('year', date) AS INTEGER) AS year_num,\n exp(sum(ln(1 + daily_return))) - 1 AS period_return\n FROM msf_daily\n GROUP BY CAST(date_trunc('month', date) AS DATE), CAST(date_part('year', date) AS INTEGER)\n),\nyearly_beta AS (\n SELECT\n r.underlying_fund,\n r.year_num,\n abs(covar_samp(r.period_return, m.period_return) / NULLIF(var_samp(m.period_return), 0)) AS beta_abs\n FROM returns r\n JOIN msf_returns m\n ON r.date = m.date\n AND r.year_num = m.year_num\n GROUP BY r.underlying_fund, r.year_num\n),\nall_time AS (\n WITH all_time_path AS (\n SELECT\n underlying_fund,\n date,\n exp(sum(ln(1 + daily_return)) OVER (PARTITION BY underlying_fund ORDER BY date)) - 1 AS cumulative_return\n FROM daily_returns\n ),\n all_time_drawdown AS (\n SELECT\n underlying_fund,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund ORDER BY date), 0) - 1 AS drawdown\n FROM all_time_path\n ),\n drawdown_agg AS (\n SELECT\n underlying_fund,\n min(drawdown) AS mdd_all_time\n FROM all_time_drawdown\n GROUP BY underlying_fund\n ),\n loss_agg AS (\n SELECT\n underlying_fund,\n min(daily_return) AS max_loss\n FROM daily_returns\n GROUP BY underlying_fund\n )\n SELECT\n d.underlying_fund,\n d.mdd_all_time,\n l.max_loss\n FROM drawdown_agg d\n JOIN loss_agg l\n ON d.underlying_fund = l.underlying_fund\n),\nmetrics AS (\n SELECT\n yc.underlying_fund,\n CAST(yc.year_num AS VARCHAR) AS year_label,\n NULL::DOUBLE AS rfr,\n yc.vol AS risk,\n yc.drisk AS drisk,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS sharpe,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS rvol,\n ye.es AS es,\n yp.hwm AS hwm,\n all_t.mdd_all_time AS mdd,\n yb.beta_abs AS beta_abs,\n all_t.max_loss AS max_loss,\n yc.vol AS vol,\n yc.annualised_return AS annualised_return\n FROM yearly_core yc\n LEFT JOIN yearly_es ye\n ON yc.underlying_fund = ye.underlying_fund\n AND yc.year_num = ye.year_num\n LEFT JOIN yearly_path yp\n ON yc.underlying_fund = yp.underlying_fund\n AND yc.year_num = yp.year_num\n LEFT JOIN yearly_beta yb\n ON yc.underlying_fund = yb.underlying_fund\n AND yc.year_num = yb.year_num\n LEFT JOIN all_time all_t\n ON yc.underlying_fund = all_t.underlying_fund\n),\nlong_metrics AS (\n SELECT underlying_fund, 1 AS metric_order, 'Rfr (X)' AS metric, year_label, rfr AS metric_value FROM metrics\n UNION ALL SELECT underlying_fund, 2, 'DRisk (%)', year_label, drisk * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 3, 'Sharpe', year_label, sharpe FROM metrics\n UNION ALL SELECT underlying_fund, 4, 'Rvol', year_label, rvol FROM metrics\n UNION ALL SELECT underlying_fund, 5, 'ES (%)', year_label, es * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 6, 'HWM (%)', year_label, hwm * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 8, 'Beta (abs, high bad)', year_label, beta_abs FROM metrics\n UNION ALL SELECT underlying_fund, 10, 'Vol (%)', year_label, vol * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 11, 'Annualised return (%)', year_label, annualised_return * 100 FROM metrics\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 7 AS metric_order,\n 'MDD (%)' AS metric,\n yl.year_label,\n all_t.mdd_all_time * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 9 AS metric_order,\n 'Max loss (all-time, %)' AS metric,\n yl.year_label,\n all_t.max_loss * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n),\nmetric_catalog AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Rfr (X)'),\n (2, 'DRisk (%)'),\n (3, 'Sharpe'),\n (4, 'Rvol'),\n (5, 'ES (%)'),\n (6, 'HWM (%)'),\n (7, 'MDD (%)'),\n (8, 'Beta (abs, high bad)'),\n (9, 'Max loss (all-time, %)'),\n (10, 'Vol (%)'),\n (11, 'Annualised return (%)')\n ) AS mc(metric_order, metric)\n),\nyear_catalog AS (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n mc.metric_order,\n mc.metric,\n yc.year_label\n FROM underlyings u\n CROSS JOIN metric_catalog mc\n CROSS JOIN year_catalog yc\n),\nfilled_metrics AS (\n SELECT\n s.underlying_fund,\n s.metric_order,\n s.metric,\n s.year_label,\n lm.metric_value AS metric_value\n FROM skeleton s\n LEFT JOIN long_metrics lm\n ON s.underlying_fund = lm.underlying_fund\n AND s.metric_order = lm.metric_order\n AND s.year_label = lm.year_label\n)\nSELECT\n underlying_fund,\n metric_order,\n metric,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN metric_value END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN metric_value END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN metric_value END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN metric_value END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN metric_value END) AS year_5\nFROM filled_metrics\nGROUP BY underlying_fund, metric_order, metric\nORDER BY underlying_fund, metric_order)\nWHERE underlying_fund = 'Millennium'\nORDER BY metric_order","inputQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM ${msf_underlying_stats_pivot_all}\nWHERE underlying_fund = 'Millennium'\nORDER BY metric_order","compiled":true,"inline":true},{"id":"msf_monthly_heatmap_point72","compiledQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n CASE year_col\n WHEN 'year_1' THEN (SELECT y1 FROM selected_years)\n WHEN 'year_2' THEN (SELECT y2 FROM selected_years)\n WHEN 'year_3' THEN (SELECT y3 FROM selected_years)\n WHEN 'year_4' THEN (SELECT y4 FROM selected_years)\n WHEN 'year_5' THEN (SELECT y5 FROM selected_years)\n END AS year_label,\n monthly_return\nFROM (\n UNPIVOT (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\nmonths AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Jan'),\n (2, 'Feb'),\n (3, 'Mar'),\n (4, 'Apr'),\n (5, 'May'),\n (6, 'Jun'),\n (7, 'Jul'),\n (8, 'Aug'),\n (9, 'Sep'),\n (10, 'Oct'),\n (11, 'Nov'),\n (12, 'Dec')\n ) AS m(month_num, month_name)\n),\nbase_monthly AS (\n WITH month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n )\n SELECT\n underlying_fund,\n CAST(date_part('year', month_start) AS VARCHAR) AS year_label,\n CAST(date_part('month', month_start) AS INTEGER) AS month_num,\n CASE CAST(date_part('month', month_start) AS INTEGER)\n WHEN 1 THEN 'Jan'\n WHEN 2 THEN 'Feb'\n WHEN 3 THEN 'Mar'\n WHEN 4 THEN 'Apr'\n WHEN 5 THEN 'May'\n WHEN 6 THEN 'Jun'\n WHEN 7 THEN 'Jul'\n WHEN 8 THEN 'Aug'\n WHEN 9 THEN 'Sep'\n WHEN 10 THEN 'Oct'\n WHEN 11 THEN 'Nov'\n WHEN 12 THEN 'Dec'\n END AS month_name,\n month_end_price\n / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS monthly_return\n FROM month_prices\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n m.month_num,\n m.month_name,\n y.year_label\n FROM underlyings u\n CROSS JOIN months m\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) y\n),\nmonthly AS (\n SELECT\n s.underlying_fund,\n s.year_label,\n s.month_num,\n s.month_name,\n coalesce(bm.monthly_return, 0.0) AS monthly_return\n FROM skeleton s\n LEFT JOIN base_monthly bm\n ON s.underlying_fund = bm.underlying_fund\n AND s.year_label = bm.year_label\n AND s.month_num = bm.month_num\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN monthly_return END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN monthly_return END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN monthly_return END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN monthly_return END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN monthly_return END) AS year_5\nFROM monthly\nGROUP BY underlying_fund, month_num, month_name\nORDER BY underlying_fund, month_num)\n ON COLUMNS(* EXCLUDE (underlying_fund, month_num, month_name))\n INTO\n NAME year_col\n VALUE monthly_return\n)\nORDER BY underlying_fund, month_num, year_label)\nWHERE underlying_fund = 'Point72'\nORDER BY month_num, year_label","inputQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM ${msf_underlying_monthly_heatmap_all}\nWHERE underlying_fund = 'Point72'\nORDER BY month_num, year_label","compiled":true,"inline":true},{"id":"msf_stats_point72","compiledQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\ndaily_returns AS (\n SELECT\n underlying_fund,\n date,\n daily_return\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n WHERE daily_return > -1\n),\nunderlying_month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n),\nreturns_raw AS (\n SELECT\n underlying_fund,\n month_start AS date,\n CAST(date_part('year', month_start) AS INTEGER) AS year_num,\n month_end_price / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS period_return\n FROM underlying_month_prices\n),\nreturns AS (\n SELECT\n underlying_fund,\n date,\n year_num,\n period_return\n FROM returns_raw\n WHERE period_return IS NOT NULL\n AND isfinite(period_return)\n AND period_return > -1\n),\ncum_returns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n period_return,\n exp(sum(ln(1 + period_return)) OVER (PARTITION BY underlying_fund, year_num ORDER BY date)) - 1 AS cumulative_return\n FROM returns\n),\ndrawdowns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n cumulative_return,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund, year_num ORDER BY date), 0) - 1 AS drawdown\n FROM cum_returns\n),\nyearly_core AS (\n WITH yearly_aggregate AS (\n SELECT\n underlying_fund,\n year_num,\n exp(sum(ln(1 + period_return))) - 1 AS total_return,\n count(*) AS n_periods,\n min(date) AS min_period_date,\n max(date) AS max_period_date,\n sqrt(12) * stddev_samp(period_return) AS vol,\n sqrt(12) * stddev_samp(CASE WHEN period_return < 0 THEN period_return END) AS drisk,\n quantile_cont(period_return, 0.05) AS q05\n FROM returns\n GROUP BY underlying_fund, year_num\n )\n SELECT\n underlying_fund,\n year_num,\n CASE\n WHEN n_periods <= 0 THEN NULL\n WHEN n_periods = 1 THEN total_return\n WHEN date_diff('day', min_period_date, max_period_date) <= 0 THEN total_return\n ELSE power(\n 1 + total_return,\n least(365.0 / NULLIF(date_diff('day', min_period_date, max_period_date), 0), 1.0)\n ) - 1\n END AS annualised_return,\n vol,\n drisk,\n q05\n FROM yearly_aggregate\n),\nyearly_es AS (\n SELECT\n yc.underlying_fund,\n yc.year_num,\n avg(CASE WHEN r.period_return <= yc.q05 THEN r.period_return END) * sqrt(12) AS es\n FROM yearly_core yc\n JOIN returns r\n ON yc.underlying_fund = r.underlying_fund\n AND yc.year_num = r.year_num\n GROUP BY yc.underlying_fund, yc.year_num\n),\nyearly_path AS (\n SELECT\n underlying_fund,\n year_num,\n max(cumulative_return) AS hwm\n FROM drawdowns\n GROUP BY underlying_fund, year_num\n),\nmsf_returns AS (\n WITH msf_daily AS (\n SELECT\n date,\n daily_return\n FROM (SELECT\n date,\n 'MSF' AS series_name,\n daily_return_pct / 100 AS daily_return,\n 1 AS is_primary\nFROM (SELECT\n date,\n id_fund,\n daily_return_pct\nFROM fund_daily_returns)\nWHERE id_fund = 'MSF'\n AND isfinite(daily_return_pct)\n\nUNION ALL\n\nSELECT\n date,\n underlying_fund AS series_name,\n daily_return,\n 0 AS is_primary\nFROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1)))\n WHERE series_name = 'MSF'\n AND daily_return > -1\n )\n SELECT\n CAST(date_trunc('month', date) AS DATE) AS date,\n CAST(date_part('year', date) AS INTEGER) AS year_num,\n exp(sum(ln(1 + daily_return))) - 1 AS period_return\n FROM msf_daily\n GROUP BY CAST(date_trunc('month', date) AS DATE), CAST(date_part('year', date) AS INTEGER)\n),\nyearly_beta AS (\n SELECT\n r.underlying_fund,\n r.year_num,\n abs(covar_samp(r.period_return, m.period_return) / NULLIF(var_samp(m.period_return), 0)) AS beta_abs\n FROM returns r\n JOIN msf_returns m\n ON r.date = m.date\n AND r.year_num = m.year_num\n GROUP BY r.underlying_fund, r.year_num\n),\nall_time AS (\n WITH all_time_path AS (\n SELECT\n underlying_fund,\n date,\n exp(sum(ln(1 + daily_return)) OVER (PARTITION BY underlying_fund ORDER BY date)) - 1 AS cumulative_return\n FROM daily_returns\n ),\n all_time_drawdown AS (\n SELECT\n underlying_fund,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund ORDER BY date), 0) - 1 AS drawdown\n FROM all_time_path\n ),\n drawdown_agg AS (\n SELECT\n underlying_fund,\n min(drawdown) AS mdd_all_time\n FROM all_time_drawdown\n GROUP BY underlying_fund\n ),\n loss_agg AS (\n SELECT\n underlying_fund,\n min(daily_return) AS max_loss\n FROM daily_returns\n GROUP BY underlying_fund\n )\n SELECT\n d.underlying_fund,\n d.mdd_all_time,\n l.max_loss\n FROM drawdown_agg d\n JOIN loss_agg l\n ON d.underlying_fund = l.underlying_fund\n),\nmetrics AS (\n SELECT\n yc.underlying_fund,\n CAST(yc.year_num AS VARCHAR) AS year_label,\n NULL::DOUBLE AS rfr,\n yc.vol AS risk,\n yc.drisk AS drisk,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS sharpe,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS rvol,\n ye.es AS es,\n yp.hwm AS hwm,\n all_t.mdd_all_time AS mdd,\n yb.beta_abs AS beta_abs,\n all_t.max_loss AS max_loss,\n yc.vol AS vol,\n yc.annualised_return AS annualised_return\n FROM yearly_core yc\n LEFT JOIN yearly_es ye\n ON yc.underlying_fund = ye.underlying_fund\n AND yc.year_num = ye.year_num\n LEFT JOIN yearly_path yp\n ON yc.underlying_fund = yp.underlying_fund\n AND yc.year_num = yp.year_num\n LEFT JOIN yearly_beta yb\n ON yc.underlying_fund = yb.underlying_fund\n AND yc.year_num = yb.year_num\n LEFT JOIN all_time all_t\n ON yc.underlying_fund = all_t.underlying_fund\n),\nlong_metrics AS (\n SELECT underlying_fund, 1 AS metric_order, 'Rfr (X)' AS metric, year_label, rfr AS metric_value FROM metrics\n UNION ALL SELECT underlying_fund, 2, 'DRisk (%)', year_label, drisk * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 3, 'Sharpe', year_label, sharpe FROM metrics\n UNION ALL SELECT underlying_fund, 4, 'Rvol', year_label, rvol FROM metrics\n UNION ALL SELECT underlying_fund, 5, 'ES (%)', year_label, es * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 6, 'HWM (%)', year_label, hwm * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 8, 'Beta (abs, high bad)', year_label, beta_abs FROM metrics\n UNION ALL SELECT underlying_fund, 10, 'Vol (%)', year_label, vol * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 11, 'Annualised return (%)', year_label, annualised_return * 100 FROM metrics\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 7 AS metric_order,\n 'MDD (%)' AS metric,\n yl.year_label,\n all_t.mdd_all_time * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 9 AS metric_order,\n 'Max loss (all-time, %)' AS metric,\n yl.year_label,\n all_t.max_loss * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n),\nmetric_catalog AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Rfr (X)'),\n (2, 'DRisk (%)'),\n (3, 'Sharpe'),\n (4, 'Rvol'),\n (5, 'ES (%)'),\n (6, 'HWM (%)'),\n (7, 'MDD (%)'),\n (8, 'Beta (abs, high bad)'),\n (9, 'Max loss (all-time, %)'),\n (10, 'Vol (%)'),\n (11, 'Annualised return (%)')\n ) AS mc(metric_order, metric)\n),\nyear_catalog AS (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n mc.metric_order,\n mc.metric,\n yc.year_label\n FROM underlyings u\n CROSS JOIN metric_catalog mc\n CROSS JOIN year_catalog yc\n),\nfilled_metrics AS (\n SELECT\n s.underlying_fund,\n s.metric_order,\n s.metric,\n s.year_label,\n lm.metric_value AS metric_value\n FROM skeleton s\n LEFT JOIN long_metrics lm\n ON s.underlying_fund = lm.underlying_fund\n AND s.metric_order = lm.metric_order\n AND s.year_label = lm.year_label\n)\nSELECT\n underlying_fund,\n metric_order,\n metric,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN metric_value END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN metric_value END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN metric_value END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN metric_value END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN metric_value END) AS year_5\nFROM filled_metrics\nGROUP BY underlying_fund, metric_order, metric\nORDER BY underlying_fund, metric_order)\nWHERE underlying_fund = 'Point72'\nORDER BY metric_order","inputQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM ${msf_underlying_stats_pivot_all}\nWHERE underlying_fund = 'Point72'\nORDER BY metric_order","compiled":true,"inline":true},{"id":"msf_monthly_heatmap_two_sigma_spectrum","compiledQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n CASE year_col\n WHEN 'year_1' THEN (SELECT y1 FROM selected_years)\n WHEN 'year_2' THEN (SELECT y2 FROM selected_years)\n WHEN 'year_3' THEN (SELECT y3 FROM selected_years)\n WHEN 'year_4' THEN (SELECT y4 FROM selected_years)\n WHEN 'year_5' THEN (SELECT y5 FROM selected_years)\n END AS year_label,\n monthly_return\nFROM (\n UNPIVOT (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\nmonths AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Jan'),\n (2, 'Feb'),\n (3, 'Mar'),\n (4, 'Apr'),\n (5, 'May'),\n (6, 'Jun'),\n (7, 'Jul'),\n (8, 'Aug'),\n (9, 'Sep'),\n (10, 'Oct'),\n (11, 'Nov'),\n (12, 'Dec')\n ) AS m(month_num, month_name)\n),\nbase_monthly AS (\n WITH month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n )\n SELECT\n underlying_fund,\n CAST(date_part('year', month_start) AS VARCHAR) AS year_label,\n CAST(date_part('month', month_start) AS INTEGER) AS month_num,\n CASE CAST(date_part('month', month_start) AS INTEGER)\n WHEN 1 THEN 'Jan'\n WHEN 2 THEN 'Feb'\n WHEN 3 THEN 'Mar'\n WHEN 4 THEN 'Apr'\n WHEN 5 THEN 'May'\n WHEN 6 THEN 'Jun'\n WHEN 7 THEN 'Jul'\n WHEN 8 THEN 'Aug'\n WHEN 9 THEN 'Sep'\n WHEN 10 THEN 'Oct'\n WHEN 11 THEN 'Nov'\n WHEN 12 THEN 'Dec'\n END AS month_name,\n month_end_price\n / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS monthly_return\n FROM month_prices\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n m.month_num,\n m.month_name,\n y.year_label\n FROM underlyings u\n CROSS JOIN months m\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) y\n),\nmonthly AS (\n SELECT\n s.underlying_fund,\n s.year_label,\n s.month_num,\n s.month_name,\n coalesce(bm.monthly_return, 0.0) AS monthly_return\n FROM skeleton s\n LEFT JOIN base_monthly bm\n ON s.underlying_fund = bm.underlying_fund\n AND s.year_label = bm.year_label\n AND s.month_num = bm.month_num\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN monthly_return END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN monthly_return END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN monthly_return END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN monthly_return END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN monthly_return END) AS year_5\nFROM monthly\nGROUP BY underlying_fund, month_num, month_name\nORDER BY underlying_fund, month_num)\n ON COLUMNS(* EXCLUDE (underlying_fund, month_num, month_name))\n INTO\n NAME year_col\n VALUE monthly_return\n)\nORDER BY underlying_fund, month_num, year_label)\nWHERE underlying_fund = 'Two Sigma Spectrum'\nORDER BY month_num, year_label","inputQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM ${msf_underlying_monthly_heatmap_all}\nWHERE underlying_fund = 'Two Sigma Spectrum'\nORDER BY month_num, year_label","compiled":true,"inline":true},{"id":"msf_stats_two_sigma_spectrum","compiledQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\ndaily_returns AS (\n SELECT\n underlying_fund,\n date,\n daily_return\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n WHERE daily_return > -1\n),\nunderlying_month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n),\nreturns_raw AS (\n SELECT\n underlying_fund,\n month_start AS date,\n CAST(date_part('year', month_start) AS INTEGER) AS year_num,\n month_end_price / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS period_return\n FROM underlying_month_prices\n),\nreturns AS (\n SELECT\n underlying_fund,\n date,\n year_num,\n period_return\n FROM returns_raw\n WHERE period_return IS NOT NULL\n AND isfinite(period_return)\n AND period_return > -1\n),\ncum_returns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n period_return,\n exp(sum(ln(1 + period_return)) OVER (PARTITION BY underlying_fund, year_num ORDER BY date)) - 1 AS cumulative_return\n FROM returns\n),\ndrawdowns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n cumulative_return,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund, year_num ORDER BY date), 0) - 1 AS drawdown\n FROM cum_returns\n),\nyearly_core AS (\n WITH yearly_aggregate AS (\n SELECT\n underlying_fund,\n year_num,\n exp(sum(ln(1 + period_return))) - 1 AS total_return,\n count(*) AS n_periods,\n min(date) AS min_period_date,\n max(date) AS max_period_date,\n sqrt(12) * stddev_samp(period_return) AS vol,\n sqrt(12) * stddev_samp(CASE WHEN period_return < 0 THEN period_return END) AS drisk,\n quantile_cont(period_return, 0.05) AS q05\n FROM returns\n GROUP BY underlying_fund, year_num\n )\n SELECT\n underlying_fund,\n year_num,\n CASE\n WHEN n_periods <= 0 THEN NULL\n WHEN n_periods = 1 THEN total_return\n WHEN date_diff('day', min_period_date, max_period_date) <= 0 THEN total_return\n ELSE power(\n 1 + total_return,\n least(365.0 / NULLIF(date_diff('day', min_period_date, max_period_date), 0), 1.0)\n ) - 1\n END AS annualised_return,\n vol,\n drisk,\n q05\n FROM yearly_aggregate\n),\nyearly_es AS (\n SELECT\n yc.underlying_fund,\n yc.year_num,\n avg(CASE WHEN r.period_return <= yc.q05 THEN r.period_return END) * sqrt(12) AS es\n FROM yearly_core yc\n JOIN returns r\n ON yc.underlying_fund = r.underlying_fund\n AND yc.year_num = r.year_num\n GROUP BY yc.underlying_fund, yc.year_num\n),\nyearly_path AS (\n SELECT\n underlying_fund,\n year_num,\n max(cumulative_return) AS hwm\n FROM drawdowns\n GROUP BY underlying_fund, year_num\n),\nmsf_returns AS (\n WITH msf_daily AS (\n SELECT\n date,\n daily_return\n FROM (SELECT\n date,\n 'MSF' AS series_name,\n daily_return_pct / 100 AS daily_return,\n 1 AS is_primary\nFROM (SELECT\n date,\n id_fund,\n daily_return_pct\nFROM fund_daily_returns)\nWHERE id_fund = 'MSF'\n AND isfinite(daily_return_pct)\n\nUNION ALL\n\nSELECT\n date,\n underlying_fund AS series_name,\n daily_return,\n 0 AS is_primary\nFROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1)))\n WHERE series_name = 'MSF'\n AND daily_return > -1\n )\n SELECT\n CAST(date_trunc('month', date) AS DATE) AS date,\n CAST(date_part('year', date) AS INTEGER) AS year_num,\n exp(sum(ln(1 + daily_return))) - 1 AS period_return\n FROM msf_daily\n GROUP BY CAST(date_trunc('month', date) AS DATE), CAST(date_part('year', date) AS INTEGER)\n),\nyearly_beta AS (\n SELECT\n r.underlying_fund,\n r.year_num,\n abs(covar_samp(r.period_return, m.period_return) / NULLIF(var_samp(m.period_return), 0)) AS beta_abs\n FROM returns r\n JOIN msf_returns m\n ON r.date = m.date\n AND r.year_num = m.year_num\n GROUP BY r.underlying_fund, r.year_num\n),\nall_time AS (\n WITH all_time_path AS (\n SELECT\n underlying_fund,\n date,\n exp(sum(ln(1 + daily_return)) OVER (PARTITION BY underlying_fund ORDER BY date)) - 1 AS cumulative_return\n FROM daily_returns\n ),\n all_time_drawdown AS (\n SELECT\n underlying_fund,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund ORDER BY date), 0) - 1 AS drawdown\n FROM all_time_path\n ),\n drawdown_agg AS (\n SELECT\n underlying_fund,\n min(drawdown) AS mdd_all_time\n FROM all_time_drawdown\n GROUP BY underlying_fund\n ),\n loss_agg AS (\n SELECT\n underlying_fund,\n min(daily_return) AS max_loss\n FROM daily_returns\n GROUP BY underlying_fund\n )\n SELECT\n d.underlying_fund,\n d.mdd_all_time,\n l.max_loss\n FROM drawdown_agg d\n JOIN loss_agg l\n ON d.underlying_fund = l.underlying_fund\n),\nmetrics AS (\n SELECT\n yc.underlying_fund,\n CAST(yc.year_num AS VARCHAR) AS year_label,\n NULL::DOUBLE AS rfr,\n yc.vol AS risk,\n yc.drisk AS drisk,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS sharpe,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS rvol,\n ye.es AS es,\n yp.hwm AS hwm,\n all_t.mdd_all_time AS mdd,\n yb.beta_abs AS beta_abs,\n all_t.max_loss AS max_loss,\n yc.vol AS vol,\n yc.annualised_return AS annualised_return\n FROM yearly_core yc\n LEFT JOIN yearly_es ye\n ON yc.underlying_fund = ye.underlying_fund\n AND yc.year_num = ye.year_num\n LEFT JOIN yearly_path yp\n ON yc.underlying_fund = yp.underlying_fund\n AND yc.year_num = yp.year_num\n LEFT JOIN yearly_beta yb\n ON yc.underlying_fund = yb.underlying_fund\n AND yc.year_num = yb.year_num\n LEFT JOIN all_time all_t\n ON yc.underlying_fund = all_t.underlying_fund\n),\nlong_metrics AS (\n SELECT underlying_fund, 1 AS metric_order, 'Rfr (X)' AS metric, year_label, rfr AS metric_value FROM metrics\n UNION ALL SELECT underlying_fund, 2, 'DRisk (%)', year_label, drisk * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 3, 'Sharpe', year_label, sharpe FROM metrics\n UNION ALL SELECT underlying_fund, 4, 'Rvol', year_label, rvol FROM metrics\n UNION ALL SELECT underlying_fund, 5, 'ES (%)', year_label, es * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 6, 'HWM (%)', year_label, hwm * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 8, 'Beta (abs, high bad)', year_label, beta_abs FROM metrics\n UNION ALL SELECT underlying_fund, 10, 'Vol (%)', year_label, vol * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 11, 'Annualised return (%)', year_label, annualised_return * 100 FROM metrics\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 7 AS metric_order,\n 'MDD (%)' AS metric,\n yl.year_label,\n all_t.mdd_all_time * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 9 AS metric_order,\n 'Max loss (all-time, %)' AS metric,\n yl.year_label,\n all_t.max_loss * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n),\nmetric_catalog AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Rfr (X)'),\n (2, 'DRisk (%)'),\n (3, 'Sharpe'),\n (4, 'Rvol'),\n (5, 'ES (%)'),\n (6, 'HWM (%)'),\n (7, 'MDD (%)'),\n (8, 'Beta (abs, high bad)'),\n (9, 'Max loss (all-time, %)'),\n (10, 'Vol (%)'),\n (11, 'Annualised return (%)')\n ) AS mc(metric_order, metric)\n),\nyear_catalog AS (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n mc.metric_order,\n mc.metric,\n yc.year_label\n FROM underlyings u\n CROSS JOIN metric_catalog mc\n CROSS JOIN year_catalog yc\n),\nfilled_metrics AS (\n SELECT\n s.underlying_fund,\n s.metric_order,\n s.metric,\n s.year_label,\n lm.metric_value AS metric_value\n FROM skeleton s\n LEFT JOIN long_metrics lm\n ON s.underlying_fund = lm.underlying_fund\n AND s.metric_order = lm.metric_order\n AND s.year_label = lm.year_label\n)\nSELECT\n underlying_fund,\n metric_order,\n metric,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN metric_value END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN metric_value END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN metric_value END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN metric_value END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN metric_value END) AS year_5\nFROM filled_metrics\nGROUP BY underlying_fund, metric_order, metric\nORDER BY underlying_fund, metric_order)\nWHERE underlying_fund = 'Two Sigma Spectrum'\nORDER BY metric_order","inputQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM ${msf_underlying_stats_pivot_all}\nWHERE underlying_fund = 'Two Sigma Spectrum'\nORDER BY metric_order","compiled":true,"inline":true},{"id":"msf_monthly_heatmap_bam_atlas_enhanced","compiledQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n CASE year_col\n WHEN 'year_1' THEN (SELECT y1 FROM selected_years)\n WHEN 'year_2' THEN (SELECT y2 FROM selected_years)\n WHEN 'year_3' THEN (SELECT y3 FROM selected_years)\n WHEN 'year_4' THEN (SELECT y4 FROM selected_years)\n WHEN 'year_5' THEN (SELECT y5 FROM selected_years)\n END AS year_label,\n monthly_return\nFROM (\n UNPIVOT (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\nmonths AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Jan'),\n (2, 'Feb'),\n (3, 'Mar'),\n (4, 'Apr'),\n (5, 'May'),\n (6, 'Jun'),\n (7, 'Jul'),\n (8, 'Aug'),\n (9, 'Sep'),\n (10, 'Oct'),\n (11, 'Nov'),\n (12, 'Dec')\n ) AS m(month_num, month_name)\n),\nbase_monthly AS (\n WITH month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n )\n SELECT\n underlying_fund,\n CAST(date_part('year', month_start) AS VARCHAR) AS year_label,\n CAST(date_part('month', month_start) AS INTEGER) AS month_num,\n CASE CAST(date_part('month', month_start) AS INTEGER)\n WHEN 1 THEN 'Jan'\n WHEN 2 THEN 'Feb'\n WHEN 3 THEN 'Mar'\n WHEN 4 THEN 'Apr'\n WHEN 5 THEN 'May'\n WHEN 6 THEN 'Jun'\n WHEN 7 THEN 'Jul'\n WHEN 8 THEN 'Aug'\n WHEN 9 THEN 'Sep'\n WHEN 10 THEN 'Oct'\n WHEN 11 THEN 'Nov'\n WHEN 12 THEN 'Dec'\n END AS month_name,\n month_end_price\n / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS monthly_return\n FROM month_prices\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n m.month_num,\n m.month_name,\n y.year_label\n FROM underlyings u\n CROSS JOIN months m\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) y\n),\nmonthly AS (\n SELECT\n s.underlying_fund,\n s.year_label,\n s.month_num,\n s.month_name,\n coalesce(bm.monthly_return, 0.0) AS monthly_return\n FROM skeleton s\n LEFT JOIN base_monthly bm\n ON s.underlying_fund = bm.underlying_fund\n AND s.year_label = bm.year_label\n AND s.month_num = bm.month_num\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN monthly_return END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN monthly_return END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN monthly_return END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN monthly_return END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN monthly_return END) AS year_5\nFROM monthly\nGROUP BY underlying_fund, month_num, month_name\nORDER BY underlying_fund, month_num)\n ON COLUMNS(* EXCLUDE (underlying_fund, month_num, month_name))\n INTO\n NAME year_col\n VALUE monthly_return\n)\nORDER BY underlying_fund, month_num, year_label)\nWHERE underlying_fund = 'BAM Atlas Enhanced'\nORDER BY month_num, year_label","inputQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM ${msf_underlying_monthly_heatmap_all}\nWHERE underlying_fund = 'BAM Atlas Enhanced'\nORDER BY month_num, year_label","compiled":true,"inline":true},{"id":"msf_stats_bam_atlas_enhanced","compiledQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\ndaily_returns AS (\n SELECT\n underlying_fund,\n date,\n daily_return\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n WHERE daily_return > -1\n),\nunderlying_month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n),\nreturns_raw AS (\n SELECT\n underlying_fund,\n month_start AS date,\n CAST(date_part('year', month_start) AS INTEGER) AS year_num,\n month_end_price / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS period_return\n FROM underlying_month_prices\n),\nreturns AS (\n SELECT\n underlying_fund,\n date,\n year_num,\n period_return\n FROM returns_raw\n WHERE period_return IS NOT NULL\n AND isfinite(period_return)\n AND period_return > -1\n),\ncum_returns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n period_return,\n exp(sum(ln(1 + period_return)) OVER (PARTITION BY underlying_fund, year_num ORDER BY date)) - 1 AS cumulative_return\n FROM returns\n),\ndrawdowns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n cumulative_return,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund, year_num ORDER BY date), 0) - 1 AS drawdown\n FROM cum_returns\n),\nyearly_core AS (\n WITH yearly_aggregate AS (\n SELECT\n underlying_fund,\n year_num,\n exp(sum(ln(1 + period_return))) - 1 AS total_return,\n count(*) AS n_periods,\n min(date) AS min_period_date,\n max(date) AS max_period_date,\n sqrt(12) * stddev_samp(period_return) AS vol,\n sqrt(12) * stddev_samp(CASE WHEN period_return < 0 THEN period_return END) AS drisk,\n quantile_cont(period_return, 0.05) AS q05\n FROM returns\n GROUP BY underlying_fund, year_num\n )\n SELECT\n underlying_fund,\n year_num,\n CASE\n WHEN n_periods <= 0 THEN NULL\n WHEN n_periods = 1 THEN total_return\n WHEN date_diff('day', min_period_date, max_period_date) <= 0 THEN total_return\n ELSE power(\n 1 + total_return,\n least(365.0 / NULLIF(date_diff('day', min_period_date, max_period_date), 0), 1.0)\n ) - 1\n END AS annualised_return,\n vol,\n drisk,\n q05\n FROM yearly_aggregate\n),\nyearly_es AS (\n SELECT\n yc.underlying_fund,\n yc.year_num,\n avg(CASE WHEN r.period_return <= yc.q05 THEN r.period_return END) * sqrt(12) AS es\n FROM yearly_core yc\n JOIN returns r\n ON yc.underlying_fund = r.underlying_fund\n AND yc.year_num = r.year_num\n GROUP BY yc.underlying_fund, yc.year_num\n),\nyearly_path AS (\n SELECT\n underlying_fund,\n year_num,\n max(cumulative_return) AS hwm\n FROM drawdowns\n GROUP BY underlying_fund, year_num\n),\nmsf_returns AS (\n WITH msf_daily AS (\n SELECT\n date,\n daily_return\n FROM (SELECT\n date,\n 'MSF' AS series_name,\n daily_return_pct / 100 AS daily_return,\n 1 AS is_primary\nFROM (SELECT\n date,\n id_fund,\n daily_return_pct\nFROM fund_daily_returns)\nWHERE id_fund = 'MSF'\n AND isfinite(daily_return_pct)\n\nUNION ALL\n\nSELECT\n date,\n underlying_fund AS series_name,\n daily_return,\n 0 AS is_primary\nFROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1)))\n WHERE series_name = 'MSF'\n AND daily_return > -1\n )\n SELECT\n CAST(date_trunc('month', date) AS DATE) AS date,\n CAST(date_part('year', date) AS INTEGER) AS year_num,\n exp(sum(ln(1 + daily_return))) - 1 AS period_return\n FROM msf_daily\n GROUP BY CAST(date_trunc('month', date) AS DATE), CAST(date_part('year', date) AS INTEGER)\n),\nyearly_beta AS (\n SELECT\n r.underlying_fund,\n r.year_num,\n abs(covar_samp(r.period_return, m.period_return) / NULLIF(var_samp(m.period_return), 0)) AS beta_abs\n FROM returns r\n JOIN msf_returns m\n ON r.date = m.date\n AND r.year_num = m.year_num\n GROUP BY r.underlying_fund, r.year_num\n),\nall_time AS (\n WITH all_time_path AS (\n SELECT\n underlying_fund,\n date,\n exp(sum(ln(1 + daily_return)) OVER (PARTITION BY underlying_fund ORDER BY date)) - 1 AS cumulative_return\n FROM daily_returns\n ),\n all_time_drawdown AS (\n SELECT\n underlying_fund,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund ORDER BY date), 0) - 1 AS drawdown\n FROM all_time_path\n ),\n drawdown_agg AS (\n SELECT\n underlying_fund,\n min(drawdown) AS mdd_all_time\n FROM all_time_drawdown\n GROUP BY underlying_fund\n ),\n loss_agg AS (\n SELECT\n underlying_fund,\n min(daily_return) AS max_loss\n FROM daily_returns\n GROUP BY underlying_fund\n )\n SELECT\n d.underlying_fund,\n d.mdd_all_time,\n l.max_loss\n FROM drawdown_agg d\n JOIN loss_agg l\n ON d.underlying_fund = l.underlying_fund\n),\nmetrics AS (\n SELECT\n yc.underlying_fund,\n CAST(yc.year_num AS VARCHAR) AS year_label,\n NULL::DOUBLE AS rfr,\n yc.vol AS risk,\n yc.drisk AS drisk,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS sharpe,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS rvol,\n ye.es AS es,\n yp.hwm AS hwm,\n all_t.mdd_all_time AS mdd,\n yb.beta_abs AS beta_abs,\n all_t.max_loss AS max_loss,\n yc.vol AS vol,\n yc.annualised_return AS annualised_return\n FROM yearly_core yc\n LEFT JOIN yearly_es ye\n ON yc.underlying_fund = ye.underlying_fund\n AND yc.year_num = ye.year_num\n LEFT JOIN yearly_path yp\n ON yc.underlying_fund = yp.underlying_fund\n AND yc.year_num = yp.year_num\n LEFT JOIN yearly_beta yb\n ON yc.underlying_fund = yb.underlying_fund\n AND yc.year_num = yb.year_num\n LEFT JOIN all_time all_t\n ON yc.underlying_fund = all_t.underlying_fund\n),\nlong_metrics AS (\n SELECT underlying_fund, 1 AS metric_order, 'Rfr (X)' AS metric, year_label, rfr AS metric_value FROM metrics\n UNION ALL SELECT underlying_fund, 2, 'DRisk (%)', year_label, drisk * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 3, 'Sharpe', year_label, sharpe FROM metrics\n UNION ALL SELECT underlying_fund, 4, 'Rvol', year_label, rvol FROM metrics\n UNION ALL SELECT underlying_fund, 5, 'ES (%)', year_label, es * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 6, 'HWM (%)', year_label, hwm * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 8, 'Beta (abs, high bad)', year_label, beta_abs FROM metrics\n UNION ALL SELECT underlying_fund, 10, 'Vol (%)', year_label, vol * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 11, 'Annualised return (%)', year_label, annualised_return * 100 FROM metrics\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 7 AS metric_order,\n 'MDD (%)' AS metric,\n yl.year_label,\n all_t.mdd_all_time * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 9 AS metric_order,\n 'Max loss (all-time, %)' AS metric,\n yl.year_label,\n all_t.max_loss * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n),\nmetric_catalog AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Rfr (X)'),\n (2, 'DRisk (%)'),\n (3, 'Sharpe'),\n (4, 'Rvol'),\n (5, 'ES (%)'),\n (6, 'HWM (%)'),\n (7, 'MDD (%)'),\n (8, 'Beta (abs, high bad)'),\n (9, 'Max loss (all-time, %)'),\n (10, 'Vol (%)'),\n (11, 'Annualised return (%)')\n ) AS mc(metric_order, metric)\n),\nyear_catalog AS (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n mc.metric_order,\n mc.metric,\n yc.year_label\n FROM underlyings u\n CROSS JOIN metric_catalog mc\n CROSS JOIN year_catalog yc\n),\nfilled_metrics AS (\n SELECT\n s.underlying_fund,\n s.metric_order,\n s.metric,\n s.year_label,\n lm.metric_value AS metric_value\n FROM skeleton s\n LEFT JOIN long_metrics lm\n ON s.underlying_fund = lm.underlying_fund\n AND s.metric_order = lm.metric_order\n AND s.year_label = lm.year_label\n)\nSELECT\n underlying_fund,\n metric_order,\n metric,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN metric_value END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN metric_value END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN metric_value END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN metric_value END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN metric_value END) AS year_5\nFROM filled_metrics\nGROUP BY underlying_fund, metric_order, metric\nORDER BY underlying_fund, metric_order)\nWHERE underlying_fund = 'BAM Atlas Enhanced'\nORDER BY metric_order","inputQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM ${msf_underlying_stats_pivot_all}\nWHERE underlying_fund = 'BAM Atlas Enhanced'\nORDER BY metric_order","compiled":true,"inline":true},{"id":"msf_monthly_heatmap_verition","compiledQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n CASE year_col\n WHEN 'year_1' THEN (SELECT y1 FROM selected_years)\n WHEN 'year_2' THEN (SELECT y2 FROM selected_years)\n WHEN 'year_3' THEN (SELECT y3 FROM selected_years)\n WHEN 'year_4' THEN (SELECT y4 FROM selected_years)\n WHEN 'year_5' THEN (SELECT y5 FROM selected_years)\n END AS year_label,\n monthly_return\nFROM (\n UNPIVOT (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\nmonths AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Jan'),\n (2, 'Feb'),\n (3, 'Mar'),\n (4, 'Apr'),\n (5, 'May'),\n (6, 'Jun'),\n (7, 'Jul'),\n (8, 'Aug'),\n (9, 'Sep'),\n (10, 'Oct'),\n (11, 'Nov'),\n (12, 'Dec')\n ) AS m(month_num, month_name)\n),\nbase_monthly AS (\n WITH month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n )\n SELECT\n underlying_fund,\n CAST(date_part('year', month_start) AS VARCHAR) AS year_label,\n CAST(date_part('month', month_start) AS INTEGER) AS month_num,\n CASE CAST(date_part('month', month_start) AS INTEGER)\n WHEN 1 THEN 'Jan'\n WHEN 2 THEN 'Feb'\n WHEN 3 THEN 'Mar'\n WHEN 4 THEN 'Apr'\n WHEN 5 THEN 'May'\n WHEN 6 THEN 'Jun'\n WHEN 7 THEN 'Jul'\n WHEN 8 THEN 'Aug'\n WHEN 9 THEN 'Sep'\n WHEN 10 THEN 'Oct'\n WHEN 11 THEN 'Nov'\n WHEN 12 THEN 'Dec'\n END AS month_name,\n month_end_price\n / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS monthly_return\n FROM month_prices\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n m.month_num,\n m.month_name,\n y.year_label\n FROM underlyings u\n CROSS JOIN months m\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) y\n),\nmonthly AS (\n SELECT\n s.underlying_fund,\n s.year_label,\n s.month_num,\n s.month_name,\n coalesce(bm.monthly_return, 0.0) AS monthly_return\n FROM skeleton s\n LEFT JOIN base_monthly bm\n ON s.underlying_fund = bm.underlying_fund\n AND s.year_label = bm.year_label\n AND s.month_num = bm.month_num\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN monthly_return END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN monthly_return END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN monthly_return END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN monthly_return END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN monthly_return END) AS year_5\nFROM monthly\nGROUP BY underlying_fund, month_num, month_name\nORDER BY underlying_fund, month_num)\n ON COLUMNS(* EXCLUDE (underlying_fund, month_num, month_name))\n INTO\n NAME year_col\n VALUE monthly_return\n)\nORDER BY underlying_fund, month_num, year_label)\nWHERE underlying_fund = 'Verition'\nORDER BY month_num, year_label","inputQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM ${msf_underlying_monthly_heatmap_all}\nWHERE underlying_fund = 'Verition'\nORDER BY month_num, year_label","compiled":true,"inline":true},{"id":"msf_stats_verition","compiledQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\ndaily_returns AS (\n SELECT\n underlying_fund,\n date,\n daily_return\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n WHERE daily_return > -1\n),\nunderlying_month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n),\nreturns_raw AS (\n SELECT\n underlying_fund,\n month_start AS date,\n CAST(date_part('year', month_start) AS INTEGER) AS year_num,\n month_end_price / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS period_return\n FROM underlying_month_prices\n),\nreturns AS (\n SELECT\n underlying_fund,\n date,\n year_num,\n period_return\n FROM returns_raw\n WHERE period_return IS NOT NULL\n AND isfinite(period_return)\n AND period_return > -1\n),\ncum_returns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n period_return,\n exp(sum(ln(1 + period_return)) OVER (PARTITION BY underlying_fund, year_num ORDER BY date)) - 1 AS cumulative_return\n FROM returns\n),\ndrawdowns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n cumulative_return,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund, year_num ORDER BY date), 0) - 1 AS drawdown\n FROM cum_returns\n),\nyearly_core AS (\n WITH yearly_aggregate AS (\n SELECT\n underlying_fund,\n year_num,\n exp(sum(ln(1 + period_return))) - 1 AS total_return,\n count(*) AS n_periods,\n min(date) AS min_period_date,\n max(date) AS max_period_date,\n sqrt(12) * stddev_samp(period_return) AS vol,\n sqrt(12) * stddev_samp(CASE WHEN period_return < 0 THEN period_return END) AS drisk,\n quantile_cont(period_return, 0.05) AS q05\n FROM returns\n GROUP BY underlying_fund, year_num\n )\n SELECT\n underlying_fund,\n year_num,\n CASE\n WHEN n_periods <= 0 THEN NULL\n WHEN n_periods = 1 THEN total_return\n WHEN date_diff('day', min_period_date, max_period_date) <= 0 THEN total_return\n ELSE power(\n 1 + total_return,\n least(365.0 / NULLIF(date_diff('day', min_period_date, max_period_date), 0), 1.0)\n ) - 1\n END AS annualised_return,\n vol,\n drisk,\n q05\n FROM yearly_aggregate\n),\nyearly_es AS (\n SELECT\n yc.underlying_fund,\n yc.year_num,\n avg(CASE WHEN r.period_return <= yc.q05 THEN r.period_return END) * sqrt(12) AS es\n FROM yearly_core yc\n JOIN returns r\n ON yc.underlying_fund = r.underlying_fund\n AND yc.year_num = r.year_num\n GROUP BY yc.underlying_fund, yc.year_num\n),\nyearly_path AS (\n SELECT\n underlying_fund,\n year_num,\n max(cumulative_return) AS hwm\n FROM drawdowns\n GROUP BY underlying_fund, year_num\n),\nmsf_returns AS (\n WITH msf_daily AS (\n SELECT\n date,\n daily_return\n FROM (SELECT\n date,\n 'MSF' AS series_name,\n daily_return_pct / 100 AS daily_return,\n 1 AS is_primary\nFROM (SELECT\n date,\n id_fund,\n daily_return_pct\nFROM fund_daily_returns)\nWHERE id_fund = 'MSF'\n AND isfinite(daily_return_pct)\n\nUNION ALL\n\nSELECT\n date,\n underlying_fund AS series_name,\n daily_return,\n 0 AS is_primary\nFROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1)))\n WHERE series_name = 'MSF'\n AND daily_return > -1\n )\n SELECT\n CAST(date_trunc('month', date) AS DATE) AS date,\n CAST(date_part('year', date) AS INTEGER) AS year_num,\n exp(sum(ln(1 + daily_return))) - 1 AS period_return\n FROM msf_daily\n GROUP BY CAST(date_trunc('month', date) AS DATE), CAST(date_part('year', date) AS INTEGER)\n),\nyearly_beta AS (\n SELECT\n r.underlying_fund,\n r.year_num,\n abs(covar_samp(r.period_return, m.period_return) / NULLIF(var_samp(m.period_return), 0)) AS beta_abs\n FROM returns r\n JOIN msf_returns m\n ON r.date = m.date\n AND r.year_num = m.year_num\n GROUP BY r.underlying_fund, r.year_num\n),\nall_time AS (\n WITH all_time_path AS (\n SELECT\n underlying_fund,\n date,\n exp(sum(ln(1 + daily_return)) OVER (PARTITION BY underlying_fund ORDER BY date)) - 1 AS cumulative_return\n FROM daily_returns\n ),\n all_time_drawdown AS (\n SELECT\n underlying_fund,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund ORDER BY date), 0) - 1 AS drawdown\n FROM all_time_path\n ),\n drawdown_agg AS (\n SELECT\n underlying_fund,\n min(drawdown) AS mdd_all_time\n FROM all_time_drawdown\n GROUP BY underlying_fund\n ),\n loss_agg AS (\n SELECT\n underlying_fund,\n min(daily_return) AS max_loss\n FROM daily_returns\n GROUP BY underlying_fund\n )\n SELECT\n d.underlying_fund,\n d.mdd_all_time,\n l.max_loss\n FROM drawdown_agg d\n JOIN loss_agg l\n ON d.underlying_fund = l.underlying_fund\n),\nmetrics AS (\n SELECT\n yc.underlying_fund,\n CAST(yc.year_num AS VARCHAR) AS year_label,\n NULL::DOUBLE AS rfr,\n yc.vol AS risk,\n yc.drisk AS drisk,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS sharpe,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS rvol,\n ye.es AS es,\n yp.hwm AS hwm,\n all_t.mdd_all_time AS mdd,\n yb.beta_abs AS beta_abs,\n all_t.max_loss AS max_loss,\n yc.vol AS vol,\n yc.annualised_return AS annualised_return\n FROM yearly_core yc\n LEFT JOIN yearly_es ye\n ON yc.underlying_fund = ye.underlying_fund\n AND yc.year_num = ye.year_num\n LEFT JOIN yearly_path yp\n ON yc.underlying_fund = yp.underlying_fund\n AND yc.year_num = yp.year_num\n LEFT JOIN yearly_beta yb\n ON yc.underlying_fund = yb.underlying_fund\n AND yc.year_num = yb.year_num\n LEFT JOIN all_time all_t\n ON yc.underlying_fund = all_t.underlying_fund\n),\nlong_metrics AS (\n SELECT underlying_fund, 1 AS metric_order, 'Rfr (X)' AS metric, year_label, rfr AS metric_value FROM metrics\n UNION ALL SELECT underlying_fund, 2, 'DRisk (%)', year_label, drisk * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 3, 'Sharpe', year_label, sharpe FROM metrics\n UNION ALL SELECT underlying_fund, 4, 'Rvol', year_label, rvol FROM metrics\n UNION ALL SELECT underlying_fund, 5, 'ES (%)', year_label, es * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 6, 'HWM (%)', year_label, hwm * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 8, 'Beta (abs, high bad)', year_label, beta_abs FROM metrics\n UNION ALL SELECT underlying_fund, 10, 'Vol (%)', year_label, vol * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 11, 'Annualised return (%)', year_label, annualised_return * 100 FROM metrics\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 7 AS metric_order,\n 'MDD (%)' AS metric,\n yl.year_label,\n all_t.mdd_all_time * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 9 AS metric_order,\n 'Max loss (all-time, %)' AS metric,\n yl.year_label,\n all_t.max_loss * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n),\nmetric_catalog AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Rfr (X)'),\n (2, 'DRisk (%)'),\n (3, 'Sharpe'),\n (4, 'Rvol'),\n (5, 'ES (%)'),\n (6, 'HWM (%)'),\n (7, 'MDD (%)'),\n (8, 'Beta (abs, high bad)'),\n (9, 'Max loss (all-time, %)'),\n (10, 'Vol (%)'),\n (11, 'Annualised return (%)')\n ) AS mc(metric_order, metric)\n),\nyear_catalog AS (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n mc.metric_order,\n mc.metric,\n yc.year_label\n FROM underlyings u\n CROSS JOIN metric_catalog mc\n CROSS JOIN year_catalog yc\n),\nfilled_metrics AS (\n SELECT\n s.underlying_fund,\n s.metric_order,\n s.metric,\n s.year_label,\n lm.metric_value AS metric_value\n FROM skeleton s\n LEFT JOIN long_metrics lm\n ON s.underlying_fund = lm.underlying_fund\n AND s.metric_order = lm.metric_order\n AND s.year_label = lm.year_label\n)\nSELECT\n underlying_fund,\n metric_order,\n metric,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN metric_value END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN metric_value END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN metric_value END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN metric_value END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN metric_value END) AS year_5\nFROM filled_metrics\nGROUP BY underlying_fund, metric_order, metric\nORDER BY underlying_fund, metric_order)\nWHERE underlying_fund = 'Verition'\nORDER BY metric_order","inputQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM ${msf_underlying_stats_pivot_all}\nWHERE underlying_fund = 'Verition'\nORDER BY metric_order","compiled":true,"inline":true},{"id":"msf_monthly_heatmap_capula_msf_initial_series","compiledQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n CASE year_col\n WHEN 'year_1' THEN (SELECT y1 FROM selected_years)\n WHEN 'year_2' THEN (SELECT y2 FROM selected_years)\n WHEN 'year_3' THEN (SELECT y3 FROM selected_years)\n WHEN 'year_4' THEN (SELECT y4 FROM selected_years)\n WHEN 'year_5' THEN (SELECT y5 FROM selected_years)\n END AS year_label,\n monthly_return\nFROM (\n UNPIVOT (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\nmonths AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Jan'),\n (2, 'Feb'),\n (3, 'Mar'),\n (4, 'Apr'),\n (5, 'May'),\n (6, 'Jun'),\n (7, 'Jul'),\n (8, 'Aug'),\n (9, 'Sep'),\n (10, 'Oct'),\n (11, 'Nov'),\n (12, 'Dec')\n ) AS m(month_num, month_name)\n),\nbase_monthly AS (\n WITH month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n )\n SELECT\n underlying_fund,\n CAST(date_part('year', month_start) AS VARCHAR) AS year_label,\n CAST(date_part('month', month_start) AS INTEGER) AS month_num,\n CASE CAST(date_part('month', month_start) AS INTEGER)\n WHEN 1 THEN 'Jan'\n WHEN 2 THEN 'Feb'\n WHEN 3 THEN 'Mar'\n WHEN 4 THEN 'Apr'\n WHEN 5 THEN 'May'\n WHEN 6 THEN 'Jun'\n WHEN 7 THEN 'Jul'\n WHEN 8 THEN 'Aug'\n WHEN 9 THEN 'Sep'\n WHEN 10 THEN 'Oct'\n WHEN 11 THEN 'Nov'\n WHEN 12 THEN 'Dec'\n END AS month_name,\n month_end_price\n / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS monthly_return\n FROM month_prices\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n m.month_num,\n m.month_name,\n y.year_label\n FROM underlyings u\n CROSS JOIN months m\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) y\n),\nmonthly AS (\n SELECT\n s.underlying_fund,\n s.year_label,\n s.month_num,\n s.month_name,\n coalesce(bm.monthly_return, 0.0) AS monthly_return\n FROM skeleton s\n LEFT JOIN base_monthly bm\n ON s.underlying_fund = bm.underlying_fund\n AND s.year_label = bm.year_label\n AND s.month_num = bm.month_num\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN monthly_return END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN monthly_return END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN monthly_return END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN monthly_return END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN monthly_return END) AS year_5\nFROM monthly\nGROUP BY underlying_fund, month_num, month_name\nORDER BY underlying_fund, month_num)\n ON COLUMNS(* EXCLUDE (underlying_fund, month_num, month_name))\n INTO\n NAME year_col\n VALUE monthly_return\n)\nORDER BY underlying_fund, month_num, year_label)\nWHERE underlying_fund = 'Capula MSF - Initial Series'\nORDER BY month_num, year_label","inputQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM ${msf_underlying_monthly_heatmap_all}\nWHERE underlying_fund = 'Capula MSF - Initial Series'\nORDER BY month_num, year_label","compiled":true,"inline":true},{"id":"msf_stats_capula_msf_initial_series","compiledQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\ndaily_returns AS (\n SELECT\n underlying_fund,\n date,\n daily_return\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n WHERE daily_return > -1\n),\nunderlying_month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n),\nreturns_raw AS (\n SELECT\n underlying_fund,\n month_start AS date,\n CAST(date_part('year', month_start) AS INTEGER) AS year_num,\n month_end_price / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS period_return\n FROM underlying_month_prices\n),\nreturns AS (\n SELECT\n underlying_fund,\n date,\n year_num,\n period_return\n FROM returns_raw\n WHERE period_return IS NOT NULL\n AND isfinite(period_return)\n AND period_return > -1\n),\ncum_returns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n period_return,\n exp(sum(ln(1 + period_return)) OVER (PARTITION BY underlying_fund, year_num ORDER BY date)) - 1 AS cumulative_return\n FROM returns\n),\ndrawdowns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n cumulative_return,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund, year_num ORDER BY date), 0) - 1 AS drawdown\n FROM cum_returns\n),\nyearly_core AS (\n WITH yearly_aggregate AS (\n SELECT\n underlying_fund,\n year_num,\n exp(sum(ln(1 + period_return))) - 1 AS total_return,\n count(*) AS n_periods,\n min(date) AS min_period_date,\n max(date) AS max_period_date,\n sqrt(12) * stddev_samp(period_return) AS vol,\n sqrt(12) * stddev_samp(CASE WHEN period_return < 0 THEN period_return END) AS drisk,\n quantile_cont(period_return, 0.05) AS q05\n FROM returns\n GROUP BY underlying_fund, year_num\n )\n SELECT\n underlying_fund,\n year_num,\n CASE\n WHEN n_periods <= 0 THEN NULL\n WHEN n_periods = 1 THEN total_return\n WHEN date_diff('day', min_period_date, max_period_date) <= 0 THEN total_return\n ELSE power(\n 1 + total_return,\n least(365.0 / NULLIF(date_diff('day', min_period_date, max_period_date), 0), 1.0)\n ) - 1\n END AS annualised_return,\n vol,\n drisk,\n q05\n FROM yearly_aggregate\n),\nyearly_es AS (\n SELECT\n yc.underlying_fund,\n yc.year_num,\n avg(CASE WHEN r.period_return <= yc.q05 THEN r.period_return END) * sqrt(12) AS es\n FROM yearly_core yc\n JOIN returns r\n ON yc.underlying_fund = r.underlying_fund\n AND yc.year_num = r.year_num\n GROUP BY yc.underlying_fund, yc.year_num\n),\nyearly_path AS (\n SELECT\n underlying_fund,\n year_num,\n max(cumulative_return) AS hwm\n FROM drawdowns\n GROUP BY underlying_fund, year_num\n),\nmsf_returns AS (\n WITH msf_daily AS (\n SELECT\n date,\n daily_return\n FROM (SELECT\n date,\n 'MSF' AS series_name,\n daily_return_pct / 100 AS daily_return,\n 1 AS is_primary\nFROM (SELECT\n date,\n id_fund,\n daily_return_pct\nFROM fund_daily_returns)\nWHERE id_fund = 'MSF'\n AND isfinite(daily_return_pct)\n\nUNION ALL\n\nSELECT\n date,\n underlying_fund AS series_name,\n daily_return,\n 0 AS is_primary\nFROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1)))\n WHERE series_name = 'MSF'\n AND daily_return > -1\n )\n SELECT\n CAST(date_trunc('month', date) AS DATE) AS date,\n CAST(date_part('year', date) AS INTEGER) AS year_num,\n exp(sum(ln(1 + daily_return))) - 1 AS period_return\n FROM msf_daily\n GROUP BY CAST(date_trunc('month', date) AS DATE), CAST(date_part('year', date) AS INTEGER)\n),\nyearly_beta AS (\n SELECT\n r.underlying_fund,\n r.year_num,\n abs(covar_samp(r.period_return, m.period_return) / NULLIF(var_samp(m.period_return), 0)) AS beta_abs\n FROM returns r\n JOIN msf_returns m\n ON r.date = m.date\n AND r.year_num = m.year_num\n GROUP BY r.underlying_fund, r.year_num\n),\nall_time AS (\n WITH all_time_path AS (\n SELECT\n underlying_fund,\n date,\n exp(sum(ln(1 + daily_return)) OVER (PARTITION BY underlying_fund ORDER BY date)) - 1 AS cumulative_return\n FROM daily_returns\n ),\n all_time_drawdown AS (\n SELECT\n underlying_fund,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund ORDER BY date), 0) - 1 AS drawdown\n FROM all_time_path\n ),\n drawdown_agg AS (\n SELECT\n underlying_fund,\n min(drawdown) AS mdd_all_time\n FROM all_time_drawdown\n GROUP BY underlying_fund\n ),\n loss_agg AS (\n SELECT\n underlying_fund,\n min(daily_return) AS max_loss\n FROM daily_returns\n GROUP BY underlying_fund\n )\n SELECT\n d.underlying_fund,\n d.mdd_all_time,\n l.max_loss\n FROM drawdown_agg d\n JOIN loss_agg l\n ON d.underlying_fund = l.underlying_fund\n),\nmetrics AS (\n SELECT\n yc.underlying_fund,\n CAST(yc.year_num AS VARCHAR) AS year_label,\n NULL::DOUBLE AS rfr,\n yc.vol AS risk,\n yc.drisk AS drisk,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS sharpe,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS rvol,\n ye.es AS es,\n yp.hwm AS hwm,\n all_t.mdd_all_time AS mdd,\n yb.beta_abs AS beta_abs,\n all_t.max_loss AS max_loss,\n yc.vol AS vol,\n yc.annualised_return AS annualised_return\n FROM yearly_core yc\n LEFT JOIN yearly_es ye\n ON yc.underlying_fund = ye.underlying_fund\n AND yc.year_num = ye.year_num\n LEFT JOIN yearly_path yp\n ON yc.underlying_fund = yp.underlying_fund\n AND yc.year_num = yp.year_num\n LEFT JOIN yearly_beta yb\n ON yc.underlying_fund = yb.underlying_fund\n AND yc.year_num = yb.year_num\n LEFT JOIN all_time all_t\n ON yc.underlying_fund = all_t.underlying_fund\n),\nlong_metrics AS (\n SELECT underlying_fund, 1 AS metric_order, 'Rfr (X)' AS metric, year_label, rfr AS metric_value FROM metrics\n UNION ALL SELECT underlying_fund, 2, 'DRisk (%)', year_label, drisk * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 3, 'Sharpe', year_label, sharpe FROM metrics\n UNION ALL SELECT underlying_fund, 4, 'Rvol', year_label, rvol FROM metrics\n UNION ALL SELECT underlying_fund, 5, 'ES (%)', year_label, es * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 6, 'HWM (%)', year_label, hwm * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 8, 'Beta (abs, high bad)', year_label, beta_abs FROM metrics\n UNION ALL SELECT underlying_fund, 10, 'Vol (%)', year_label, vol * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 11, 'Annualised return (%)', year_label, annualised_return * 100 FROM metrics\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 7 AS metric_order,\n 'MDD (%)' AS metric,\n yl.year_label,\n all_t.mdd_all_time * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 9 AS metric_order,\n 'Max loss (all-time, %)' AS metric,\n yl.year_label,\n all_t.max_loss * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n),\nmetric_catalog AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Rfr (X)'),\n (2, 'DRisk (%)'),\n (3, 'Sharpe'),\n (4, 'Rvol'),\n (5, 'ES (%)'),\n (6, 'HWM (%)'),\n (7, 'MDD (%)'),\n (8, 'Beta (abs, high bad)'),\n (9, 'Max loss (all-time, %)'),\n (10, 'Vol (%)'),\n (11, 'Annualised return (%)')\n ) AS mc(metric_order, metric)\n),\nyear_catalog AS (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n mc.metric_order,\n mc.metric,\n yc.year_label\n FROM underlyings u\n CROSS JOIN metric_catalog mc\n CROSS JOIN year_catalog yc\n),\nfilled_metrics AS (\n SELECT\n s.underlying_fund,\n s.metric_order,\n s.metric,\n s.year_label,\n lm.metric_value AS metric_value\n FROM skeleton s\n LEFT JOIN long_metrics lm\n ON s.underlying_fund = lm.underlying_fund\n AND s.metric_order = lm.metric_order\n AND s.year_label = lm.year_label\n)\nSELECT\n underlying_fund,\n metric_order,\n metric,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN metric_value END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN metric_value END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN metric_value END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN metric_value END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN metric_value END) AS year_5\nFROM filled_metrics\nGROUP BY underlying_fund, metric_order, metric\nORDER BY underlying_fund, metric_order)\nWHERE underlying_fund = 'Capula MSF - Initial Series'\nORDER BY metric_order","inputQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM ${msf_underlying_stats_pivot_all}\nWHERE underlying_fund = 'Capula MSF - Initial Series'\nORDER BY metric_order","compiled":true,"inline":true},{"id":"msf_monthly_heatmap_two_sigma_absolute_return","compiledQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n CASE year_col\n WHEN 'year_1' THEN (SELECT y1 FROM selected_years)\n WHEN 'year_2' THEN (SELECT y2 FROM selected_years)\n WHEN 'year_3' THEN (SELECT y3 FROM selected_years)\n WHEN 'year_4' THEN (SELECT y4 FROM selected_years)\n WHEN 'year_5' THEN (SELECT y5 FROM selected_years)\n END AS year_label,\n monthly_return\nFROM (\n UNPIVOT (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\nmonths AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Jan'),\n (2, 'Feb'),\n (3, 'Mar'),\n (4, 'Apr'),\n (5, 'May'),\n (6, 'Jun'),\n (7, 'Jul'),\n (8, 'Aug'),\n (9, 'Sep'),\n (10, 'Oct'),\n (11, 'Nov'),\n (12, 'Dec')\n ) AS m(month_num, month_name)\n),\nbase_monthly AS (\n WITH month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n )\n SELECT\n underlying_fund,\n CAST(date_part('year', month_start) AS VARCHAR) AS year_label,\n CAST(date_part('month', month_start) AS INTEGER) AS month_num,\n CASE CAST(date_part('month', month_start) AS INTEGER)\n WHEN 1 THEN 'Jan'\n WHEN 2 THEN 'Feb'\n WHEN 3 THEN 'Mar'\n WHEN 4 THEN 'Apr'\n WHEN 5 THEN 'May'\n WHEN 6 THEN 'Jun'\n WHEN 7 THEN 'Jul'\n WHEN 8 THEN 'Aug'\n WHEN 9 THEN 'Sep'\n WHEN 10 THEN 'Oct'\n WHEN 11 THEN 'Nov'\n WHEN 12 THEN 'Dec'\n END AS month_name,\n month_end_price\n / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS monthly_return\n FROM month_prices\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n m.month_num,\n m.month_name,\n y.year_label\n FROM underlyings u\n CROSS JOIN months m\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) y\n),\nmonthly AS (\n SELECT\n s.underlying_fund,\n s.year_label,\n s.month_num,\n s.month_name,\n coalesce(bm.monthly_return, 0.0) AS monthly_return\n FROM skeleton s\n LEFT JOIN base_monthly bm\n ON s.underlying_fund = bm.underlying_fund\n AND s.year_label = bm.year_label\n AND s.month_num = bm.month_num\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN monthly_return END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN monthly_return END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN monthly_return END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN monthly_return END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN monthly_return END) AS year_5\nFROM monthly\nGROUP BY underlying_fund, month_num, month_name\nORDER BY underlying_fund, month_num)\n ON COLUMNS(* EXCLUDE (underlying_fund, month_num, month_name))\n INTO\n NAME year_col\n VALUE monthly_return\n)\nORDER BY underlying_fund, month_num, year_label)\nWHERE underlying_fund = 'Two Sigma Absolute Return'\nORDER BY month_num, year_label","inputQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM ${msf_underlying_monthly_heatmap_all}\nWHERE underlying_fund = 'Two Sigma Absolute Return'\nORDER BY month_num, year_label","compiled":true,"inline":true},{"id":"msf_stats_two_sigma_absolute_return","compiledQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\ndaily_returns AS (\n SELECT\n underlying_fund,\n date,\n daily_return\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n WHERE daily_return > -1\n),\nunderlying_month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n),\nreturns_raw AS (\n SELECT\n underlying_fund,\n month_start AS date,\n CAST(date_part('year', month_start) AS INTEGER) AS year_num,\n month_end_price / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS period_return\n FROM underlying_month_prices\n),\nreturns AS (\n SELECT\n underlying_fund,\n date,\n year_num,\n period_return\n FROM returns_raw\n WHERE period_return IS NOT NULL\n AND isfinite(period_return)\n AND period_return > -1\n),\ncum_returns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n period_return,\n exp(sum(ln(1 + period_return)) OVER (PARTITION BY underlying_fund, year_num ORDER BY date)) - 1 AS cumulative_return\n FROM returns\n),\ndrawdowns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n cumulative_return,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund, year_num ORDER BY date), 0) - 1 AS drawdown\n FROM cum_returns\n),\nyearly_core AS (\n WITH yearly_aggregate AS (\n SELECT\n underlying_fund,\n year_num,\n exp(sum(ln(1 + period_return))) - 1 AS total_return,\n count(*) AS n_periods,\n min(date) AS min_period_date,\n max(date) AS max_period_date,\n sqrt(12) * stddev_samp(period_return) AS vol,\n sqrt(12) * stddev_samp(CASE WHEN period_return < 0 THEN period_return END) AS drisk,\n quantile_cont(period_return, 0.05) AS q05\n FROM returns\n GROUP BY underlying_fund, year_num\n )\n SELECT\n underlying_fund,\n year_num,\n CASE\n WHEN n_periods <= 0 THEN NULL\n WHEN n_periods = 1 THEN total_return\n WHEN date_diff('day', min_period_date, max_period_date) <= 0 THEN total_return\n ELSE power(\n 1 + total_return,\n least(365.0 / NULLIF(date_diff('day', min_period_date, max_period_date), 0), 1.0)\n ) - 1\n END AS annualised_return,\n vol,\n drisk,\n q05\n FROM yearly_aggregate\n),\nyearly_es AS (\n SELECT\n yc.underlying_fund,\n yc.year_num,\n avg(CASE WHEN r.period_return <= yc.q05 THEN r.period_return END) * sqrt(12) AS es\n FROM yearly_core yc\n JOIN returns r\n ON yc.underlying_fund = r.underlying_fund\n AND yc.year_num = r.year_num\n GROUP BY yc.underlying_fund, yc.year_num\n),\nyearly_path AS (\n SELECT\n underlying_fund,\n year_num,\n max(cumulative_return) AS hwm\n FROM drawdowns\n GROUP BY underlying_fund, year_num\n),\nmsf_returns AS (\n WITH msf_daily AS (\n SELECT\n date,\n daily_return\n FROM (SELECT\n date,\n 'MSF' AS series_name,\n daily_return_pct / 100 AS daily_return,\n 1 AS is_primary\nFROM (SELECT\n date,\n id_fund,\n daily_return_pct\nFROM fund_daily_returns)\nWHERE id_fund = 'MSF'\n AND isfinite(daily_return_pct)\n\nUNION ALL\n\nSELECT\n date,\n underlying_fund AS series_name,\n daily_return,\n 0 AS is_primary\nFROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1)))\n WHERE series_name = 'MSF'\n AND daily_return > -1\n )\n SELECT\n CAST(date_trunc('month', date) AS DATE) AS date,\n CAST(date_part('year', date) AS INTEGER) AS year_num,\n exp(sum(ln(1 + daily_return))) - 1 AS period_return\n FROM msf_daily\n GROUP BY CAST(date_trunc('month', date) AS DATE), CAST(date_part('year', date) AS INTEGER)\n),\nyearly_beta AS (\n SELECT\n r.underlying_fund,\n r.year_num,\n abs(covar_samp(r.period_return, m.period_return) / NULLIF(var_samp(m.period_return), 0)) AS beta_abs\n FROM returns r\n JOIN msf_returns m\n ON r.date = m.date\n AND r.year_num = m.year_num\n GROUP BY r.underlying_fund, r.year_num\n),\nall_time AS (\n WITH all_time_path AS (\n SELECT\n underlying_fund,\n date,\n exp(sum(ln(1 + daily_return)) OVER (PARTITION BY underlying_fund ORDER BY date)) - 1 AS cumulative_return\n FROM daily_returns\n ),\n all_time_drawdown AS (\n SELECT\n underlying_fund,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund ORDER BY date), 0) - 1 AS drawdown\n FROM all_time_path\n ),\n drawdown_agg AS (\n SELECT\n underlying_fund,\n min(drawdown) AS mdd_all_time\n FROM all_time_drawdown\n GROUP BY underlying_fund\n ),\n loss_agg AS (\n SELECT\n underlying_fund,\n min(daily_return) AS max_loss\n FROM daily_returns\n GROUP BY underlying_fund\n )\n SELECT\n d.underlying_fund,\n d.mdd_all_time,\n l.max_loss\n FROM drawdown_agg d\n JOIN loss_agg l\n ON d.underlying_fund = l.underlying_fund\n),\nmetrics AS (\n SELECT\n yc.underlying_fund,\n CAST(yc.year_num AS VARCHAR) AS year_label,\n NULL::DOUBLE AS rfr,\n yc.vol AS risk,\n yc.drisk AS drisk,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS sharpe,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS rvol,\n ye.es AS es,\n yp.hwm AS hwm,\n all_t.mdd_all_time AS mdd,\n yb.beta_abs AS beta_abs,\n all_t.max_loss AS max_loss,\n yc.vol AS vol,\n yc.annualised_return AS annualised_return\n FROM yearly_core yc\n LEFT JOIN yearly_es ye\n ON yc.underlying_fund = ye.underlying_fund\n AND yc.year_num = ye.year_num\n LEFT JOIN yearly_path yp\n ON yc.underlying_fund = yp.underlying_fund\n AND yc.year_num = yp.year_num\n LEFT JOIN yearly_beta yb\n ON yc.underlying_fund = yb.underlying_fund\n AND yc.year_num = yb.year_num\n LEFT JOIN all_time all_t\n ON yc.underlying_fund = all_t.underlying_fund\n),\nlong_metrics AS (\n SELECT underlying_fund, 1 AS metric_order, 'Rfr (X)' AS metric, year_label, rfr AS metric_value FROM metrics\n UNION ALL SELECT underlying_fund, 2, 'DRisk (%)', year_label, drisk * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 3, 'Sharpe', year_label, sharpe FROM metrics\n UNION ALL SELECT underlying_fund, 4, 'Rvol', year_label, rvol FROM metrics\n UNION ALL SELECT underlying_fund, 5, 'ES (%)', year_label, es * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 6, 'HWM (%)', year_label, hwm * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 8, 'Beta (abs, high bad)', year_label, beta_abs FROM metrics\n UNION ALL SELECT underlying_fund, 10, 'Vol (%)', year_label, vol * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 11, 'Annualised return (%)', year_label, annualised_return * 100 FROM metrics\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 7 AS metric_order,\n 'MDD (%)' AS metric,\n yl.year_label,\n all_t.mdd_all_time * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 9 AS metric_order,\n 'Max loss (all-time, %)' AS metric,\n yl.year_label,\n all_t.max_loss * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n),\nmetric_catalog AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Rfr (X)'),\n (2, 'DRisk (%)'),\n (3, 'Sharpe'),\n (4, 'Rvol'),\n (5, 'ES (%)'),\n (6, 'HWM (%)'),\n (7, 'MDD (%)'),\n (8, 'Beta (abs, high bad)'),\n (9, 'Max loss (all-time, %)'),\n (10, 'Vol (%)'),\n (11, 'Annualised return (%)')\n ) AS mc(metric_order, metric)\n),\nyear_catalog AS (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n mc.metric_order,\n mc.metric,\n yc.year_label\n FROM underlyings u\n CROSS JOIN metric_catalog mc\n CROSS JOIN year_catalog yc\n),\nfilled_metrics AS (\n SELECT\n s.underlying_fund,\n s.metric_order,\n s.metric,\n s.year_label,\n lm.metric_value AS metric_value\n FROM skeleton s\n LEFT JOIN long_metrics lm\n ON s.underlying_fund = lm.underlying_fund\n AND s.metric_order = lm.metric_order\n AND s.year_label = lm.year_label\n)\nSELECT\n underlying_fund,\n metric_order,\n metric,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN metric_value END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN metric_value END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN metric_value END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN metric_value END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN metric_value END) AS year_5\nFROM filled_metrics\nGROUP BY underlying_fund, metric_order, metric\nORDER BY underlying_fund, metric_order)\nWHERE underlying_fund = 'Two Sigma Absolute Return'\nORDER BY metric_order","inputQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM ${msf_underlying_stats_pivot_all}\nWHERE underlying_fund = 'Two Sigma Absolute Return'\nORDER BY metric_order","compiled":true,"inline":true},{"id":"msf_monthly_heatmap_walleye_initial_series","compiledQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n CASE year_col\n WHEN 'year_1' THEN (SELECT y1 FROM selected_years)\n WHEN 'year_2' THEN (SELECT y2 FROM selected_years)\n WHEN 'year_3' THEN (SELECT y3 FROM selected_years)\n WHEN 'year_4' THEN (SELECT y4 FROM selected_years)\n WHEN 'year_5' THEN (SELECT y5 FROM selected_years)\n END AS year_label,\n monthly_return\nFROM (\n UNPIVOT (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\nmonths AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Jan'),\n (2, 'Feb'),\n (3, 'Mar'),\n (4, 'Apr'),\n (5, 'May'),\n (6, 'Jun'),\n (7, 'Jul'),\n (8, 'Aug'),\n (9, 'Sep'),\n (10, 'Oct'),\n (11, 'Nov'),\n (12, 'Dec')\n ) AS m(month_num, month_name)\n),\nbase_monthly AS (\n WITH month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n )\n SELECT\n underlying_fund,\n CAST(date_part('year', month_start) AS VARCHAR) AS year_label,\n CAST(date_part('month', month_start) AS INTEGER) AS month_num,\n CASE CAST(date_part('month', month_start) AS INTEGER)\n WHEN 1 THEN 'Jan'\n WHEN 2 THEN 'Feb'\n WHEN 3 THEN 'Mar'\n WHEN 4 THEN 'Apr'\n WHEN 5 THEN 'May'\n WHEN 6 THEN 'Jun'\n WHEN 7 THEN 'Jul'\n WHEN 8 THEN 'Aug'\n WHEN 9 THEN 'Sep'\n WHEN 10 THEN 'Oct'\n WHEN 11 THEN 'Nov'\n WHEN 12 THEN 'Dec'\n END AS month_name,\n month_end_price\n / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS monthly_return\n FROM month_prices\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n m.month_num,\n m.month_name,\n y.year_label\n FROM underlyings u\n CROSS JOIN months m\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) y\n),\nmonthly AS (\n SELECT\n s.underlying_fund,\n s.year_label,\n s.month_num,\n s.month_name,\n coalesce(bm.monthly_return, 0.0) AS monthly_return\n FROM skeleton s\n LEFT JOIN base_monthly bm\n ON s.underlying_fund = bm.underlying_fund\n AND s.year_label = bm.year_label\n AND s.month_num = bm.month_num\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN monthly_return END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN monthly_return END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN monthly_return END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN monthly_return END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN monthly_return END) AS year_5\nFROM monthly\nGROUP BY underlying_fund, month_num, month_name\nORDER BY underlying_fund, month_num)\n ON COLUMNS(* EXCLUDE (underlying_fund, month_num, month_name))\n INTO\n NAME year_col\n VALUE monthly_return\n)\nORDER BY underlying_fund, month_num, year_label)\nWHERE underlying_fund = 'Walleye - Initial Series'\nORDER BY month_num, year_label","inputQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM ${msf_underlying_monthly_heatmap_all}\nWHERE underlying_fund = 'Walleye - Initial Series'\nORDER BY month_num, year_label","compiled":true,"inline":true},{"id":"msf_stats_walleye_initial_series","compiledQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\ndaily_returns AS (\n SELECT\n underlying_fund,\n date,\n daily_return\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n WHERE daily_return > -1\n),\nunderlying_month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n),\nreturns_raw AS (\n SELECT\n underlying_fund,\n month_start AS date,\n CAST(date_part('year', month_start) AS INTEGER) AS year_num,\n month_end_price / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS period_return\n FROM underlying_month_prices\n),\nreturns AS (\n SELECT\n underlying_fund,\n date,\n year_num,\n period_return\n FROM returns_raw\n WHERE period_return IS NOT NULL\n AND isfinite(period_return)\n AND period_return > -1\n),\ncum_returns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n period_return,\n exp(sum(ln(1 + period_return)) OVER (PARTITION BY underlying_fund, year_num ORDER BY date)) - 1 AS cumulative_return\n FROM returns\n),\ndrawdowns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n cumulative_return,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund, year_num ORDER BY date), 0) - 1 AS drawdown\n FROM cum_returns\n),\nyearly_core AS (\n WITH yearly_aggregate AS (\n SELECT\n underlying_fund,\n year_num,\n exp(sum(ln(1 + period_return))) - 1 AS total_return,\n count(*) AS n_periods,\n min(date) AS min_period_date,\n max(date) AS max_period_date,\n sqrt(12) * stddev_samp(period_return) AS vol,\n sqrt(12) * stddev_samp(CASE WHEN period_return < 0 THEN period_return END) AS drisk,\n quantile_cont(period_return, 0.05) AS q05\n FROM returns\n GROUP BY underlying_fund, year_num\n )\n SELECT\n underlying_fund,\n year_num,\n CASE\n WHEN n_periods <= 0 THEN NULL\n WHEN n_periods = 1 THEN total_return\n WHEN date_diff('day', min_period_date, max_period_date) <= 0 THEN total_return\n ELSE power(\n 1 + total_return,\n least(365.0 / NULLIF(date_diff('day', min_period_date, max_period_date), 0), 1.0)\n ) - 1\n END AS annualised_return,\n vol,\n drisk,\n q05\n FROM yearly_aggregate\n),\nyearly_es AS (\n SELECT\n yc.underlying_fund,\n yc.year_num,\n avg(CASE WHEN r.period_return <= yc.q05 THEN r.period_return END) * sqrt(12) AS es\n FROM yearly_core yc\n JOIN returns r\n ON yc.underlying_fund = r.underlying_fund\n AND yc.year_num = r.year_num\n GROUP BY yc.underlying_fund, yc.year_num\n),\nyearly_path AS (\n SELECT\n underlying_fund,\n year_num,\n max(cumulative_return) AS hwm\n FROM drawdowns\n GROUP BY underlying_fund, year_num\n),\nmsf_returns AS (\n WITH msf_daily AS (\n SELECT\n date,\n daily_return\n FROM (SELECT\n date,\n 'MSF' AS series_name,\n daily_return_pct / 100 AS daily_return,\n 1 AS is_primary\nFROM (SELECT\n date,\n id_fund,\n daily_return_pct\nFROM fund_daily_returns)\nWHERE id_fund = 'MSF'\n AND isfinite(daily_return_pct)\n\nUNION ALL\n\nSELECT\n date,\n underlying_fund AS series_name,\n daily_return,\n 0 AS is_primary\nFROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1)))\n WHERE series_name = 'MSF'\n AND daily_return > -1\n )\n SELECT\n CAST(date_trunc('month', date) AS DATE) AS date,\n CAST(date_part('year', date) AS INTEGER) AS year_num,\n exp(sum(ln(1 + daily_return))) - 1 AS period_return\n FROM msf_daily\n GROUP BY CAST(date_trunc('month', date) AS DATE), CAST(date_part('year', date) AS INTEGER)\n),\nyearly_beta AS (\n SELECT\n r.underlying_fund,\n r.year_num,\n abs(covar_samp(r.period_return, m.period_return) / NULLIF(var_samp(m.period_return), 0)) AS beta_abs\n FROM returns r\n JOIN msf_returns m\n ON r.date = m.date\n AND r.year_num = m.year_num\n GROUP BY r.underlying_fund, r.year_num\n),\nall_time AS (\n WITH all_time_path AS (\n SELECT\n underlying_fund,\n date,\n exp(sum(ln(1 + daily_return)) OVER (PARTITION BY underlying_fund ORDER BY date)) - 1 AS cumulative_return\n FROM daily_returns\n ),\n all_time_drawdown AS (\n SELECT\n underlying_fund,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund ORDER BY date), 0) - 1 AS drawdown\n FROM all_time_path\n ),\n drawdown_agg AS (\n SELECT\n underlying_fund,\n min(drawdown) AS mdd_all_time\n FROM all_time_drawdown\n GROUP BY underlying_fund\n ),\n loss_agg AS (\n SELECT\n underlying_fund,\n min(daily_return) AS max_loss\n FROM daily_returns\n GROUP BY underlying_fund\n )\n SELECT\n d.underlying_fund,\n d.mdd_all_time,\n l.max_loss\n FROM drawdown_agg d\n JOIN loss_agg l\n ON d.underlying_fund = l.underlying_fund\n),\nmetrics AS (\n SELECT\n yc.underlying_fund,\n CAST(yc.year_num AS VARCHAR) AS year_label,\n NULL::DOUBLE AS rfr,\n yc.vol AS risk,\n yc.drisk AS drisk,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS sharpe,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS rvol,\n ye.es AS es,\n yp.hwm AS hwm,\n all_t.mdd_all_time AS mdd,\n yb.beta_abs AS beta_abs,\n all_t.max_loss AS max_loss,\n yc.vol AS vol,\n yc.annualised_return AS annualised_return\n FROM yearly_core yc\n LEFT JOIN yearly_es ye\n ON yc.underlying_fund = ye.underlying_fund\n AND yc.year_num = ye.year_num\n LEFT JOIN yearly_path yp\n ON yc.underlying_fund = yp.underlying_fund\n AND yc.year_num = yp.year_num\n LEFT JOIN yearly_beta yb\n ON yc.underlying_fund = yb.underlying_fund\n AND yc.year_num = yb.year_num\n LEFT JOIN all_time all_t\n ON yc.underlying_fund = all_t.underlying_fund\n),\nlong_metrics AS (\n SELECT underlying_fund, 1 AS metric_order, 'Rfr (X)' AS metric, year_label, rfr AS metric_value FROM metrics\n UNION ALL SELECT underlying_fund, 2, 'DRisk (%)', year_label, drisk * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 3, 'Sharpe', year_label, sharpe FROM metrics\n UNION ALL SELECT underlying_fund, 4, 'Rvol', year_label, rvol FROM metrics\n UNION ALL SELECT underlying_fund, 5, 'ES (%)', year_label, es * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 6, 'HWM (%)', year_label, hwm * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 8, 'Beta (abs, high bad)', year_label, beta_abs FROM metrics\n UNION ALL SELECT underlying_fund, 10, 'Vol (%)', year_label, vol * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 11, 'Annualised return (%)', year_label, annualised_return * 100 FROM metrics\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 7 AS metric_order,\n 'MDD (%)' AS metric,\n yl.year_label,\n all_t.mdd_all_time * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 9 AS metric_order,\n 'Max loss (all-time, %)' AS metric,\n yl.year_label,\n all_t.max_loss * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n),\nmetric_catalog AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Rfr (X)'),\n (2, 'DRisk (%)'),\n (3, 'Sharpe'),\n (4, 'Rvol'),\n (5, 'ES (%)'),\n (6, 'HWM (%)'),\n (7, 'MDD (%)'),\n (8, 'Beta (abs, high bad)'),\n (9, 'Max loss (all-time, %)'),\n (10, 'Vol (%)'),\n (11, 'Annualised return (%)')\n ) AS mc(metric_order, metric)\n),\nyear_catalog AS (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n mc.metric_order,\n mc.metric,\n yc.year_label\n FROM underlyings u\n CROSS JOIN metric_catalog mc\n CROSS JOIN year_catalog yc\n),\nfilled_metrics AS (\n SELECT\n s.underlying_fund,\n s.metric_order,\n s.metric,\n s.year_label,\n lm.metric_value AS metric_value\n FROM skeleton s\n LEFT JOIN long_metrics lm\n ON s.underlying_fund = lm.underlying_fund\n AND s.metric_order = lm.metric_order\n AND s.year_label = lm.year_label\n)\nSELECT\n underlying_fund,\n metric_order,\n metric,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN metric_value END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN metric_value END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN metric_value END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN metric_value END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN metric_value END) AS year_5\nFROM filled_metrics\nGROUP BY underlying_fund, metric_order, metric\nORDER BY underlying_fund, metric_order)\nWHERE underlying_fund = 'Walleye - Initial Series'\nORDER BY metric_order","inputQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM ${msf_underlying_stats_pivot_all}\nWHERE underlying_fund = 'Walleye - Initial Series'\nORDER BY metric_order","compiled":true,"inline":true},{"id":"msf_monthly_heatmap_boothbay_absolute_return","compiledQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n CASE year_col\n WHEN 'year_1' THEN (SELECT y1 FROM selected_years)\n WHEN 'year_2' THEN (SELECT y2 FROM selected_years)\n WHEN 'year_3' THEN (SELECT y3 FROM selected_years)\n WHEN 'year_4' THEN (SELECT y4 FROM selected_years)\n WHEN 'year_5' THEN (SELECT y5 FROM selected_years)\n END AS year_label,\n monthly_return\nFROM (\n UNPIVOT (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\nmonths AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Jan'),\n (2, 'Feb'),\n (3, 'Mar'),\n (4, 'Apr'),\n (5, 'May'),\n (6, 'Jun'),\n (7, 'Jul'),\n (8, 'Aug'),\n (9, 'Sep'),\n (10, 'Oct'),\n (11, 'Nov'),\n (12, 'Dec')\n ) AS m(month_num, month_name)\n),\nbase_monthly AS (\n WITH month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n )\n SELECT\n underlying_fund,\n CAST(date_part('year', month_start) AS VARCHAR) AS year_label,\n CAST(date_part('month', month_start) AS INTEGER) AS month_num,\n CASE CAST(date_part('month', month_start) AS INTEGER)\n WHEN 1 THEN 'Jan'\n WHEN 2 THEN 'Feb'\n WHEN 3 THEN 'Mar'\n WHEN 4 THEN 'Apr'\n WHEN 5 THEN 'May'\n WHEN 6 THEN 'Jun'\n WHEN 7 THEN 'Jul'\n WHEN 8 THEN 'Aug'\n WHEN 9 THEN 'Sep'\n WHEN 10 THEN 'Oct'\n WHEN 11 THEN 'Nov'\n WHEN 12 THEN 'Dec'\n END AS month_name,\n month_end_price\n / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS monthly_return\n FROM month_prices\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n m.month_num,\n m.month_name,\n y.year_label\n FROM underlyings u\n CROSS JOIN months m\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) y\n),\nmonthly AS (\n SELECT\n s.underlying_fund,\n s.year_label,\n s.month_num,\n s.month_name,\n coalesce(bm.monthly_return, 0.0) AS monthly_return\n FROM skeleton s\n LEFT JOIN base_monthly bm\n ON s.underlying_fund = bm.underlying_fund\n AND s.year_label = bm.year_label\n AND s.month_num = bm.month_num\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN monthly_return END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN monthly_return END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN monthly_return END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN monthly_return END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN monthly_return END) AS year_5\nFROM monthly\nGROUP BY underlying_fund, month_num, month_name\nORDER BY underlying_fund, month_num)\n ON COLUMNS(* EXCLUDE (underlying_fund, month_num, month_name))\n INTO\n NAME year_col\n VALUE monthly_return\n)\nORDER BY underlying_fund, month_num, year_label)\nWHERE underlying_fund = 'Boothbay Absolute Return'\nORDER BY month_num, year_label","inputQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM ${msf_underlying_monthly_heatmap_all}\nWHERE underlying_fund = 'Boothbay Absolute Return'\nORDER BY month_num, year_label","compiled":true,"inline":true},{"id":"msf_stats_boothbay_absolute_return","compiledQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\ndaily_returns AS (\n SELECT\n underlying_fund,\n date,\n daily_return\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n WHERE daily_return > -1\n),\nunderlying_month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n),\nreturns_raw AS (\n SELECT\n underlying_fund,\n month_start AS date,\n CAST(date_part('year', month_start) AS INTEGER) AS year_num,\n month_end_price / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS period_return\n FROM underlying_month_prices\n),\nreturns AS (\n SELECT\n underlying_fund,\n date,\n year_num,\n period_return\n FROM returns_raw\n WHERE period_return IS NOT NULL\n AND isfinite(period_return)\n AND period_return > -1\n),\ncum_returns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n period_return,\n exp(sum(ln(1 + period_return)) OVER (PARTITION BY underlying_fund, year_num ORDER BY date)) - 1 AS cumulative_return\n FROM returns\n),\ndrawdowns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n cumulative_return,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund, year_num ORDER BY date), 0) - 1 AS drawdown\n FROM cum_returns\n),\nyearly_core AS (\n WITH yearly_aggregate AS (\n SELECT\n underlying_fund,\n year_num,\n exp(sum(ln(1 + period_return))) - 1 AS total_return,\n count(*) AS n_periods,\n min(date) AS min_period_date,\n max(date) AS max_period_date,\n sqrt(12) * stddev_samp(period_return) AS vol,\n sqrt(12) * stddev_samp(CASE WHEN period_return < 0 THEN period_return END) AS drisk,\n quantile_cont(period_return, 0.05) AS q05\n FROM returns\n GROUP BY underlying_fund, year_num\n )\n SELECT\n underlying_fund,\n year_num,\n CASE\n WHEN n_periods <= 0 THEN NULL\n WHEN n_periods = 1 THEN total_return\n WHEN date_diff('day', min_period_date, max_period_date) <= 0 THEN total_return\n ELSE power(\n 1 + total_return,\n least(365.0 / NULLIF(date_diff('day', min_period_date, max_period_date), 0), 1.0)\n ) - 1\n END AS annualised_return,\n vol,\n drisk,\n q05\n FROM yearly_aggregate\n),\nyearly_es AS (\n SELECT\n yc.underlying_fund,\n yc.year_num,\n avg(CASE WHEN r.period_return <= yc.q05 THEN r.period_return END) * sqrt(12) AS es\n FROM yearly_core yc\n JOIN returns r\n ON yc.underlying_fund = r.underlying_fund\n AND yc.year_num = r.year_num\n GROUP BY yc.underlying_fund, yc.year_num\n),\nyearly_path AS (\n SELECT\n underlying_fund,\n year_num,\n max(cumulative_return) AS hwm\n FROM drawdowns\n GROUP BY underlying_fund, year_num\n),\nmsf_returns AS (\n WITH msf_daily AS (\n SELECT\n date,\n daily_return\n FROM (SELECT\n date,\n 'MSF' AS series_name,\n daily_return_pct / 100 AS daily_return,\n 1 AS is_primary\nFROM (SELECT\n date,\n id_fund,\n daily_return_pct\nFROM fund_daily_returns)\nWHERE id_fund = 'MSF'\n AND isfinite(daily_return_pct)\n\nUNION ALL\n\nSELECT\n date,\n underlying_fund AS series_name,\n daily_return,\n 0 AS is_primary\nFROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1)))\n WHERE series_name = 'MSF'\n AND daily_return > -1\n )\n SELECT\n CAST(date_trunc('month', date) AS DATE) AS date,\n CAST(date_part('year', date) AS INTEGER) AS year_num,\n exp(sum(ln(1 + daily_return))) - 1 AS period_return\n FROM msf_daily\n GROUP BY CAST(date_trunc('month', date) AS DATE), CAST(date_part('year', date) AS INTEGER)\n),\nyearly_beta AS (\n SELECT\n r.underlying_fund,\n r.year_num,\n abs(covar_samp(r.period_return, m.period_return) / NULLIF(var_samp(m.period_return), 0)) AS beta_abs\n FROM returns r\n JOIN msf_returns m\n ON r.date = m.date\n AND r.year_num = m.year_num\n GROUP BY r.underlying_fund, r.year_num\n),\nall_time AS (\n WITH all_time_path AS (\n SELECT\n underlying_fund,\n date,\n exp(sum(ln(1 + daily_return)) OVER (PARTITION BY underlying_fund ORDER BY date)) - 1 AS cumulative_return\n FROM daily_returns\n ),\n all_time_drawdown AS (\n SELECT\n underlying_fund,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund ORDER BY date), 0) - 1 AS drawdown\n FROM all_time_path\n ),\n drawdown_agg AS (\n SELECT\n underlying_fund,\n min(drawdown) AS mdd_all_time\n FROM all_time_drawdown\n GROUP BY underlying_fund\n ),\n loss_agg AS (\n SELECT\n underlying_fund,\n min(daily_return) AS max_loss\n FROM daily_returns\n GROUP BY underlying_fund\n )\n SELECT\n d.underlying_fund,\n d.mdd_all_time,\n l.max_loss\n FROM drawdown_agg d\n JOIN loss_agg l\n ON d.underlying_fund = l.underlying_fund\n),\nmetrics AS (\n SELECT\n yc.underlying_fund,\n CAST(yc.year_num AS VARCHAR) AS year_label,\n NULL::DOUBLE AS rfr,\n yc.vol AS risk,\n yc.drisk AS drisk,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS sharpe,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS rvol,\n ye.es AS es,\n yp.hwm AS hwm,\n all_t.mdd_all_time AS mdd,\n yb.beta_abs AS beta_abs,\n all_t.max_loss AS max_loss,\n yc.vol AS vol,\n yc.annualised_return AS annualised_return\n FROM yearly_core yc\n LEFT JOIN yearly_es ye\n ON yc.underlying_fund = ye.underlying_fund\n AND yc.year_num = ye.year_num\n LEFT JOIN yearly_path yp\n ON yc.underlying_fund = yp.underlying_fund\n AND yc.year_num = yp.year_num\n LEFT JOIN yearly_beta yb\n ON yc.underlying_fund = yb.underlying_fund\n AND yc.year_num = yb.year_num\n LEFT JOIN all_time all_t\n ON yc.underlying_fund = all_t.underlying_fund\n),\nlong_metrics AS (\n SELECT underlying_fund, 1 AS metric_order, 'Rfr (X)' AS metric, year_label, rfr AS metric_value FROM metrics\n UNION ALL SELECT underlying_fund, 2, 'DRisk (%)', year_label, drisk * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 3, 'Sharpe', year_label, sharpe FROM metrics\n UNION ALL SELECT underlying_fund, 4, 'Rvol', year_label, rvol FROM metrics\n UNION ALL SELECT underlying_fund, 5, 'ES (%)', year_label, es * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 6, 'HWM (%)', year_label, hwm * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 8, 'Beta (abs, high bad)', year_label, beta_abs FROM metrics\n UNION ALL SELECT underlying_fund, 10, 'Vol (%)', year_label, vol * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 11, 'Annualised return (%)', year_label, annualised_return * 100 FROM metrics\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 7 AS metric_order,\n 'MDD (%)' AS metric,\n yl.year_label,\n all_t.mdd_all_time * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 9 AS metric_order,\n 'Max loss (all-time, %)' AS metric,\n yl.year_label,\n all_t.max_loss * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n),\nmetric_catalog AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Rfr (X)'),\n (2, 'DRisk (%)'),\n (3, 'Sharpe'),\n (4, 'Rvol'),\n (5, 'ES (%)'),\n (6, 'HWM (%)'),\n (7, 'MDD (%)'),\n (8, 'Beta (abs, high bad)'),\n (9, 'Max loss (all-time, %)'),\n (10, 'Vol (%)'),\n (11, 'Annualised return (%)')\n ) AS mc(metric_order, metric)\n),\nyear_catalog AS (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n mc.metric_order,\n mc.metric,\n yc.year_label\n FROM underlyings u\n CROSS JOIN metric_catalog mc\n CROSS JOIN year_catalog yc\n),\nfilled_metrics AS (\n SELECT\n s.underlying_fund,\n s.metric_order,\n s.metric,\n s.year_label,\n lm.metric_value AS metric_value\n FROM skeleton s\n LEFT JOIN long_metrics lm\n ON s.underlying_fund = lm.underlying_fund\n AND s.metric_order = lm.metric_order\n AND s.year_label = lm.year_label\n)\nSELECT\n underlying_fund,\n metric_order,\n metric,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN metric_value END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN metric_value END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN metric_value END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN metric_value END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN metric_value END) AS year_5\nFROM filled_metrics\nGROUP BY underlying_fund, metric_order, metric\nORDER BY underlying_fund, metric_order)\nWHERE underlying_fund = 'Boothbay Absolute Return'\nORDER BY metric_order","inputQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM ${msf_underlying_stats_pivot_all}\nWHERE underlying_fund = 'Boothbay Absolute Return'\nORDER BY metric_order","compiled":true,"inline":true},{"id":"msf_monthly_heatmap_hudson_bay","compiledQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n CASE year_col\n WHEN 'year_1' THEN (SELECT y1 FROM selected_years)\n WHEN 'year_2' THEN (SELECT y2 FROM selected_years)\n WHEN 'year_3' THEN (SELECT y3 FROM selected_years)\n WHEN 'year_4' THEN (SELECT y4 FROM selected_years)\n WHEN 'year_5' THEN (SELECT y5 FROM selected_years)\n END AS year_label,\n monthly_return\nFROM (\n UNPIVOT (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\nmonths AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Jan'),\n (2, 'Feb'),\n (3, 'Mar'),\n (4, 'Apr'),\n (5, 'May'),\n (6, 'Jun'),\n (7, 'Jul'),\n (8, 'Aug'),\n (9, 'Sep'),\n (10, 'Oct'),\n (11, 'Nov'),\n (12, 'Dec')\n ) AS m(month_num, month_name)\n),\nbase_monthly AS (\n WITH month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n )\n SELECT\n underlying_fund,\n CAST(date_part('year', month_start) AS VARCHAR) AS year_label,\n CAST(date_part('month', month_start) AS INTEGER) AS month_num,\n CASE CAST(date_part('month', month_start) AS INTEGER)\n WHEN 1 THEN 'Jan'\n WHEN 2 THEN 'Feb'\n WHEN 3 THEN 'Mar'\n WHEN 4 THEN 'Apr'\n WHEN 5 THEN 'May'\n WHEN 6 THEN 'Jun'\n WHEN 7 THEN 'Jul'\n WHEN 8 THEN 'Aug'\n WHEN 9 THEN 'Sep'\n WHEN 10 THEN 'Oct'\n WHEN 11 THEN 'Nov'\n WHEN 12 THEN 'Dec'\n END AS month_name,\n month_end_price\n / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS monthly_return\n FROM month_prices\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n m.month_num,\n m.month_name,\n y.year_label\n FROM underlyings u\n CROSS JOIN months m\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) y\n),\nmonthly AS (\n SELECT\n s.underlying_fund,\n s.year_label,\n s.month_num,\n s.month_name,\n coalesce(bm.monthly_return, 0.0) AS monthly_return\n FROM skeleton s\n LEFT JOIN base_monthly bm\n ON s.underlying_fund = bm.underlying_fund\n AND s.year_label = bm.year_label\n AND s.month_num = bm.month_num\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN monthly_return END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN monthly_return END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN monthly_return END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN monthly_return END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN monthly_return END) AS year_5\nFROM monthly\nGROUP BY underlying_fund, month_num, month_name\nORDER BY underlying_fund, month_num)\n ON COLUMNS(* EXCLUDE (underlying_fund, month_num, month_name))\n INTO\n NAME year_col\n VALUE monthly_return\n)\nORDER BY underlying_fund, month_num, year_label)\nWHERE underlying_fund = 'Hudson Bay'\nORDER BY month_num, year_label","inputQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM ${msf_underlying_monthly_heatmap_all}\nWHERE underlying_fund = 'Hudson Bay'\nORDER BY month_num, year_label","compiled":true,"inline":true},{"id":"msf_stats_hudson_bay","compiledQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\ndaily_returns AS (\n SELECT\n underlying_fund,\n date,\n daily_return\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n WHERE daily_return > -1\n),\nunderlying_month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n),\nreturns_raw AS (\n SELECT\n underlying_fund,\n month_start AS date,\n CAST(date_part('year', month_start) AS INTEGER) AS year_num,\n month_end_price / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS period_return\n FROM underlying_month_prices\n),\nreturns AS (\n SELECT\n underlying_fund,\n date,\n year_num,\n period_return\n FROM returns_raw\n WHERE period_return IS NOT NULL\n AND isfinite(period_return)\n AND period_return > -1\n),\ncum_returns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n period_return,\n exp(sum(ln(1 + period_return)) OVER (PARTITION BY underlying_fund, year_num ORDER BY date)) - 1 AS cumulative_return\n FROM returns\n),\ndrawdowns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n cumulative_return,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund, year_num ORDER BY date), 0) - 1 AS drawdown\n FROM cum_returns\n),\nyearly_core AS (\n WITH yearly_aggregate AS (\n SELECT\n underlying_fund,\n year_num,\n exp(sum(ln(1 + period_return))) - 1 AS total_return,\n count(*) AS n_periods,\n min(date) AS min_period_date,\n max(date) AS max_period_date,\n sqrt(12) * stddev_samp(period_return) AS vol,\n sqrt(12) * stddev_samp(CASE WHEN period_return < 0 THEN period_return END) AS drisk,\n quantile_cont(period_return, 0.05) AS q05\n FROM returns\n GROUP BY underlying_fund, year_num\n )\n SELECT\n underlying_fund,\n year_num,\n CASE\n WHEN n_periods <= 0 THEN NULL\n WHEN n_periods = 1 THEN total_return\n WHEN date_diff('day', min_period_date, max_period_date) <= 0 THEN total_return\n ELSE power(\n 1 + total_return,\n least(365.0 / NULLIF(date_diff('day', min_period_date, max_period_date), 0), 1.0)\n ) - 1\n END AS annualised_return,\n vol,\n drisk,\n q05\n FROM yearly_aggregate\n),\nyearly_es AS (\n SELECT\n yc.underlying_fund,\n yc.year_num,\n avg(CASE WHEN r.period_return <= yc.q05 THEN r.period_return END) * sqrt(12) AS es\n FROM yearly_core yc\n JOIN returns r\n ON yc.underlying_fund = r.underlying_fund\n AND yc.year_num = r.year_num\n GROUP BY yc.underlying_fund, yc.year_num\n),\nyearly_path AS (\n SELECT\n underlying_fund,\n year_num,\n max(cumulative_return) AS hwm\n FROM drawdowns\n GROUP BY underlying_fund, year_num\n),\nmsf_returns AS (\n WITH msf_daily AS (\n SELECT\n date,\n daily_return\n FROM (SELECT\n date,\n 'MSF' AS series_name,\n daily_return_pct / 100 AS daily_return,\n 1 AS is_primary\nFROM (SELECT\n date,\n id_fund,\n daily_return_pct\nFROM fund_daily_returns)\nWHERE id_fund = 'MSF'\n AND isfinite(daily_return_pct)\n\nUNION ALL\n\nSELECT\n date,\n underlying_fund AS series_name,\n daily_return,\n 0 AS is_primary\nFROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1)))\n WHERE series_name = 'MSF'\n AND daily_return > -1\n )\n SELECT\n CAST(date_trunc('month', date) AS DATE) AS date,\n CAST(date_part('year', date) AS INTEGER) AS year_num,\n exp(sum(ln(1 + daily_return))) - 1 AS period_return\n FROM msf_daily\n GROUP BY CAST(date_trunc('month', date) AS DATE), CAST(date_part('year', date) AS INTEGER)\n),\nyearly_beta AS (\n SELECT\n r.underlying_fund,\n r.year_num,\n abs(covar_samp(r.period_return, m.period_return) / NULLIF(var_samp(m.period_return), 0)) AS beta_abs\n FROM returns r\n JOIN msf_returns m\n ON r.date = m.date\n AND r.year_num = m.year_num\n GROUP BY r.underlying_fund, r.year_num\n),\nall_time AS (\n WITH all_time_path AS (\n SELECT\n underlying_fund,\n date,\n exp(sum(ln(1 + daily_return)) OVER (PARTITION BY underlying_fund ORDER BY date)) - 1 AS cumulative_return\n FROM daily_returns\n ),\n all_time_drawdown AS (\n SELECT\n underlying_fund,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund ORDER BY date), 0) - 1 AS drawdown\n FROM all_time_path\n ),\n drawdown_agg AS (\n SELECT\n underlying_fund,\n min(drawdown) AS mdd_all_time\n FROM all_time_drawdown\n GROUP BY underlying_fund\n ),\n loss_agg AS (\n SELECT\n underlying_fund,\n min(daily_return) AS max_loss\n FROM daily_returns\n GROUP BY underlying_fund\n )\n SELECT\n d.underlying_fund,\n d.mdd_all_time,\n l.max_loss\n FROM drawdown_agg d\n JOIN loss_agg l\n ON d.underlying_fund = l.underlying_fund\n),\nmetrics AS (\n SELECT\n yc.underlying_fund,\n CAST(yc.year_num AS VARCHAR) AS year_label,\n NULL::DOUBLE AS rfr,\n yc.vol AS risk,\n yc.drisk AS drisk,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS sharpe,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS rvol,\n ye.es AS es,\n yp.hwm AS hwm,\n all_t.mdd_all_time AS mdd,\n yb.beta_abs AS beta_abs,\n all_t.max_loss AS max_loss,\n yc.vol AS vol,\n yc.annualised_return AS annualised_return\n FROM yearly_core yc\n LEFT JOIN yearly_es ye\n ON yc.underlying_fund = ye.underlying_fund\n AND yc.year_num = ye.year_num\n LEFT JOIN yearly_path yp\n ON yc.underlying_fund = yp.underlying_fund\n AND yc.year_num = yp.year_num\n LEFT JOIN yearly_beta yb\n ON yc.underlying_fund = yb.underlying_fund\n AND yc.year_num = yb.year_num\n LEFT JOIN all_time all_t\n ON yc.underlying_fund = all_t.underlying_fund\n),\nlong_metrics AS (\n SELECT underlying_fund, 1 AS metric_order, 'Rfr (X)' AS metric, year_label, rfr AS metric_value FROM metrics\n UNION ALL SELECT underlying_fund, 2, 'DRisk (%)', year_label, drisk * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 3, 'Sharpe', year_label, sharpe FROM metrics\n UNION ALL SELECT underlying_fund, 4, 'Rvol', year_label, rvol FROM metrics\n UNION ALL SELECT underlying_fund, 5, 'ES (%)', year_label, es * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 6, 'HWM (%)', year_label, hwm * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 8, 'Beta (abs, high bad)', year_label, beta_abs FROM metrics\n UNION ALL SELECT underlying_fund, 10, 'Vol (%)', year_label, vol * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 11, 'Annualised return (%)', year_label, annualised_return * 100 FROM metrics\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 7 AS metric_order,\n 'MDD (%)' AS metric,\n yl.year_label,\n all_t.mdd_all_time * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 9 AS metric_order,\n 'Max loss (all-time, %)' AS metric,\n yl.year_label,\n all_t.max_loss * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n),\nmetric_catalog AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Rfr (X)'),\n (2, 'DRisk (%)'),\n (3, 'Sharpe'),\n (4, 'Rvol'),\n (5, 'ES (%)'),\n (6, 'HWM (%)'),\n (7, 'MDD (%)'),\n (8, 'Beta (abs, high bad)'),\n (9, 'Max loss (all-time, %)'),\n (10, 'Vol (%)'),\n (11, 'Annualised return (%)')\n ) AS mc(metric_order, metric)\n),\nyear_catalog AS (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n mc.metric_order,\n mc.metric,\n yc.year_label\n FROM underlyings u\n CROSS JOIN metric_catalog mc\n CROSS JOIN year_catalog yc\n),\nfilled_metrics AS (\n SELECT\n s.underlying_fund,\n s.metric_order,\n s.metric,\n s.year_label,\n lm.metric_value AS metric_value\n FROM skeleton s\n LEFT JOIN long_metrics lm\n ON s.underlying_fund = lm.underlying_fund\n AND s.metric_order = lm.metric_order\n AND s.year_label = lm.year_label\n)\nSELECT\n underlying_fund,\n metric_order,\n metric,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN metric_value END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN metric_value END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN metric_value END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN metric_value END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN metric_value END) AS year_5\nFROM filled_metrics\nGROUP BY underlying_fund, metric_order, metric\nORDER BY underlying_fund, metric_order)\nWHERE underlying_fund = 'Hudson Bay'\nORDER BY metric_order","inputQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM ${msf_underlying_stats_pivot_all}\nWHERE underlying_fund = 'Hudson Bay'\nORDER BY metric_order","compiled":true,"inline":true},{"id":"msf_monthly_heatmap_taula","compiledQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n CASE year_col\n WHEN 'year_1' THEN (SELECT y1 FROM selected_years)\n WHEN 'year_2' THEN (SELECT y2 FROM selected_years)\n WHEN 'year_3' THEN (SELECT y3 FROM selected_years)\n WHEN 'year_4' THEN (SELECT y4 FROM selected_years)\n WHEN 'year_5' THEN (SELECT y5 FROM selected_years)\n END AS year_label,\n monthly_return\nFROM (\n UNPIVOT (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\nmonths AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Jan'),\n (2, 'Feb'),\n (3, 'Mar'),\n (4, 'Apr'),\n (5, 'May'),\n (6, 'Jun'),\n (7, 'Jul'),\n (8, 'Aug'),\n (9, 'Sep'),\n (10, 'Oct'),\n (11, 'Nov'),\n (12, 'Dec')\n ) AS m(month_num, month_name)\n),\nbase_monthly AS (\n WITH month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n )\n SELECT\n underlying_fund,\n CAST(date_part('year', month_start) AS VARCHAR) AS year_label,\n CAST(date_part('month', month_start) AS INTEGER) AS month_num,\n CASE CAST(date_part('month', month_start) AS INTEGER)\n WHEN 1 THEN 'Jan'\n WHEN 2 THEN 'Feb'\n WHEN 3 THEN 'Mar'\n WHEN 4 THEN 'Apr'\n WHEN 5 THEN 'May'\n WHEN 6 THEN 'Jun'\n WHEN 7 THEN 'Jul'\n WHEN 8 THEN 'Aug'\n WHEN 9 THEN 'Sep'\n WHEN 10 THEN 'Oct'\n WHEN 11 THEN 'Nov'\n WHEN 12 THEN 'Dec'\n END AS month_name,\n month_end_price\n / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS monthly_return\n FROM month_prices\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n m.month_num,\n m.month_name,\n y.year_label\n FROM underlyings u\n CROSS JOIN months m\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) y\n),\nmonthly AS (\n SELECT\n s.underlying_fund,\n s.year_label,\n s.month_num,\n s.month_name,\n coalesce(bm.monthly_return, 0.0) AS monthly_return\n FROM skeleton s\n LEFT JOIN base_monthly bm\n ON s.underlying_fund = bm.underlying_fund\n AND s.year_label = bm.year_label\n AND s.month_num = bm.month_num\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN monthly_return END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN monthly_return END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN monthly_return END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN monthly_return END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN monthly_return END) AS year_5\nFROM monthly\nGROUP BY underlying_fund, month_num, month_name\nORDER BY underlying_fund, month_num)\n ON COLUMNS(* EXCLUDE (underlying_fund, month_num, month_name))\n INTO\n NAME year_col\n VALUE monthly_return\n)\nORDER BY underlying_fund, month_num, year_label)\nWHERE underlying_fund = 'Taula'\nORDER BY month_num, year_label","inputQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM ${msf_underlying_monthly_heatmap_all}\nWHERE underlying_fund = 'Taula'\nORDER BY month_num, year_label","compiled":true,"inline":true},{"id":"msf_stats_taula","compiledQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\ndaily_returns AS (\n SELECT\n underlying_fund,\n date,\n daily_return\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n WHERE daily_return > -1\n),\nunderlying_month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n),\nreturns_raw AS (\n SELECT\n underlying_fund,\n month_start AS date,\n CAST(date_part('year', month_start) AS INTEGER) AS year_num,\n month_end_price / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS period_return\n FROM underlying_month_prices\n),\nreturns AS (\n SELECT\n underlying_fund,\n date,\n year_num,\n period_return\n FROM returns_raw\n WHERE period_return IS NOT NULL\n AND isfinite(period_return)\n AND period_return > -1\n),\ncum_returns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n period_return,\n exp(sum(ln(1 + period_return)) OVER (PARTITION BY underlying_fund, year_num ORDER BY date)) - 1 AS cumulative_return\n FROM returns\n),\ndrawdowns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n cumulative_return,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund, year_num ORDER BY date), 0) - 1 AS drawdown\n FROM cum_returns\n),\nyearly_core AS (\n WITH yearly_aggregate AS (\n SELECT\n underlying_fund,\n year_num,\n exp(sum(ln(1 + period_return))) - 1 AS total_return,\n count(*) AS n_periods,\n min(date) AS min_period_date,\n max(date) AS max_period_date,\n sqrt(12) * stddev_samp(period_return) AS vol,\n sqrt(12) * stddev_samp(CASE WHEN period_return < 0 THEN period_return END) AS drisk,\n quantile_cont(period_return, 0.05) AS q05\n FROM returns\n GROUP BY underlying_fund, year_num\n )\n SELECT\n underlying_fund,\n year_num,\n CASE\n WHEN n_periods <= 0 THEN NULL\n WHEN n_periods = 1 THEN total_return\n WHEN date_diff('day', min_period_date, max_period_date) <= 0 THEN total_return\n ELSE power(\n 1 + total_return,\n least(365.0 / NULLIF(date_diff('day', min_period_date, max_period_date), 0), 1.0)\n ) - 1\n END AS annualised_return,\n vol,\n drisk,\n q05\n FROM yearly_aggregate\n),\nyearly_es AS (\n SELECT\n yc.underlying_fund,\n yc.year_num,\n avg(CASE WHEN r.period_return <= yc.q05 THEN r.period_return END) * sqrt(12) AS es\n FROM yearly_core yc\n JOIN returns r\n ON yc.underlying_fund = r.underlying_fund\n AND yc.year_num = r.year_num\n GROUP BY yc.underlying_fund, yc.year_num\n),\nyearly_path AS (\n SELECT\n underlying_fund,\n year_num,\n max(cumulative_return) AS hwm\n FROM drawdowns\n GROUP BY underlying_fund, year_num\n),\nmsf_returns AS (\n WITH msf_daily AS (\n SELECT\n date,\n daily_return\n FROM (SELECT\n date,\n 'MSF' AS series_name,\n daily_return_pct / 100 AS daily_return,\n 1 AS is_primary\nFROM (SELECT\n date,\n id_fund,\n daily_return_pct\nFROM fund_daily_returns)\nWHERE id_fund = 'MSF'\n AND isfinite(daily_return_pct)\n\nUNION ALL\n\nSELECT\n date,\n underlying_fund AS series_name,\n daily_return,\n 0 AS is_primary\nFROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1)))\n WHERE series_name = 'MSF'\n AND daily_return > -1\n )\n SELECT\n CAST(date_trunc('month', date) AS DATE) AS date,\n CAST(date_part('year', date) AS INTEGER) AS year_num,\n exp(sum(ln(1 + daily_return))) - 1 AS period_return\n FROM msf_daily\n GROUP BY CAST(date_trunc('month', date) AS DATE), CAST(date_part('year', date) AS INTEGER)\n),\nyearly_beta AS (\n SELECT\n r.underlying_fund,\n r.year_num,\n abs(covar_samp(r.period_return, m.period_return) / NULLIF(var_samp(m.period_return), 0)) AS beta_abs\n FROM returns r\n JOIN msf_returns m\n ON r.date = m.date\n AND r.year_num = m.year_num\n GROUP BY r.underlying_fund, r.year_num\n),\nall_time AS (\n WITH all_time_path AS (\n SELECT\n underlying_fund,\n date,\n exp(sum(ln(1 + daily_return)) OVER (PARTITION BY underlying_fund ORDER BY date)) - 1 AS cumulative_return\n FROM daily_returns\n ),\n all_time_drawdown AS (\n SELECT\n underlying_fund,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund ORDER BY date), 0) - 1 AS drawdown\n FROM all_time_path\n ),\n drawdown_agg AS (\n SELECT\n underlying_fund,\n min(drawdown) AS mdd_all_time\n FROM all_time_drawdown\n GROUP BY underlying_fund\n ),\n loss_agg AS (\n SELECT\n underlying_fund,\n min(daily_return) AS max_loss\n FROM daily_returns\n GROUP BY underlying_fund\n )\n SELECT\n d.underlying_fund,\n d.mdd_all_time,\n l.max_loss\n FROM drawdown_agg d\n JOIN loss_agg l\n ON d.underlying_fund = l.underlying_fund\n),\nmetrics AS (\n SELECT\n yc.underlying_fund,\n CAST(yc.year_num AS VARCHAR) AS year_label,\n NULL::DOUBLE AS rfr,\n yc.vol AS risk,\n yc.drisk AS drisk,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS sharpe,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS rvol,\n ye.es AS es,\n yp.hwm AS hwm,\n all_t.mdd_all_time AS mdd,\n yb.beta_abs AS beta_abs,\n all_t.max_loss AS max_loss,\n yc.vol AS vol,\n yc.annualised_return AS annualised_return\n FROM yearly_core yc\n LEFT JOIN yearly_es ye\n ON yc.underlying_fund = ye.underlying_fund\n AND yc.year_num = ye.year_num\n LEFT JOIN yearly_path yp\n ON yc.underlying_fund = yp.underlying_fund\n AND yc.year_num = yp.year_num\n LEFT JOIN yearly_beta yb\n ON yc.underlying_fund = yb.underlying_fund\n AND yc.year_num = yb.year_num\n LEFT JOIN all_time all_t\n ON yc.underlying_fund = all_t.underlying_fund\n),\nlong_metrics AS (\n SELECT underlying_fund, 1 AS metric_order, 'Rfr (X)' AS metric, year_label, rfr AS metric_value FROM metrics\n UNION ALL SELECT underlying_fund, 2, 'DRisk (%)', year_label, drisk * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 3, 'Sharpe', year_label, sharpe FROM metrics\n UNION ALL SELECT underlying_fund, 4, 'Rvol', year_label, rvol FROM metrics\n UNION ALL SELECT underlying_fund, 5, 'ES (%)', year_label, es * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 6, 'HWM (%)', year_label, hwm * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 8, 'Beta (abs, high bad)', year_label, beta_abs FROM metrics\n UNION ALL SELECT underlying_fund, 10, 'Vol (%)', year_label, vol * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 11, 'Annualised return (%)', year_label, annualised_return * 100 FROM metrics\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 7 AS metric_order,\n 'MDD (%)' AS metric,\n yl.year_label,\n all_t.mdd_all_time * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 9 AS metric_order,\n 'Max loss (all-time, %)' AS metric,\n yl.year_label,\n all_t.max_loss * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n),\nmetric_catalog AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Rfr (X)'),\n (2, 'DRisk (%)'),\n (3, 'Sharpe'),\n (4, 'Rvol'),\n (5, 'ES (%)'),\n (6, 'HWM (%)'),\n (7, 'MDD (%)'),\n (8, 'Beta (abs, high bad)'),\n (9, 'Max loss (all-time, %)'),\n (10, 'Vol (%)'),\n (11, 'Annualised return (%)')\n ) AS mc(metric_order, metric)\n),\nyear_catalog AS (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n mc.metric_order,\n mc.metric,\n yc.year_label\n FROM underlyings u\n CROSS JOIN metric_catalog mc\n CROSS JOIN year_catalog yc\n),\nfilled_metrics AS (\n SELECT\n s.underlying_fund,\n s.metric_order,\n s.metric,\n s.year_label,\n lm.metric_value AS metric_value\n FROM skeleton s\n LEFT JOIN long_metrics lm\n ON s.underlying_fund = lm.underlying_fund\n AND s.metric_order = lm.metric_order\n AND s.year_label = lm.year_label\n)\nSELECT\n underlying_fund,\n metric_order,\n metric,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN metric_value END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN metric_value END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN metric_value END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN metric_value END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN metric_value END) AS year_5\nFROM filled_metrics\nGROUP BY underlying_fund, metric_order, metric\nORDER BY underlying_fund, metric_order)\nWHERE underlying_fund = 'Taula'\nORDER BY metric_order","inputQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM ${msf_underlying_stats_pivot_all}\nWHERE underlying_fund = 'Taula'\nORDER BY metric_order","compiled":true,"inline":true},{"id":"msf_monthly_heatmap_walleye_jan_2025","compiledQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n CASE year_col\n WHEN 'year_1' THEN (SELECT y1 FROM selected_years)\n WHEN 'year_2' THEN (SELECT y2 FROM selected_years)\n WHEN 'year_3' THEN (SELECT y3 FROM selected_years)\n WHEN 'year_4' THEN (SELECT y4 FROM selected_years)\n WHEN 'year_5' THEN (SELECT y5 FROM selected_years)\n END AS year_label,\n monthly_return\nFROM (\n UNPIVOT (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\nmonths AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Jan'),\n (2, 'Feb'),\n (3, 'Mar'),\n (4, 'Apr'),\n (5, 'May'),\n (6, 'Jun'),\n (7, 'Jul'),\n (8, 'Aug'),\n (9, 'Sep'),\n (10, 'Oct'),\n (11, 'Nov'),\n (12, 'Dec')\n ) AS m(month_num, month_name)\n),\nbase_monthly AS (\n WITH month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n )\n SELECT\n underlying_fund,\n CAST(date_part('year', month_start) AS VARCHAR) AS year_label,\n CAST(date_part('month', month_start) AS INTEGER) AS month_num,\n CASE CAST(date_part('month', month_start) AS INTEGER)\n WHEN 1 THEN 'Jan'\n WHEN 2 THEN 'Feb'\n WHEN 3 THEN 'Mar'\n WHEN 4 THEN 'Apr'\n WHEN 5 THEN 'May'\n WHEN 6 THEN 'Jun'\n WHEN 7 THEN 'Jul'\n WHEN 8 THEN 'Aug'\n WHEN 9 THEN 'Sep'\n WHEN 10 THEN 'Oct'\n WHEN 11 THEN 'Nov'\n WHEN 12 THEN 'Dec'\n END AS month_name,\n month_end_price\n / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS monthly_return\n FROM month_prices\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n m.month_num,\n m.month_name,\n y.year_label\n FROM underlyings u\n CROSS JOIN months m\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) y\n),\nmonthly AS (\n SELECT\n s.underlying_fund,\n s.year_label,\n s.month_num,\n s.month_name,\n coalesce(bm.monthly_return, 0.0) AS monthly_return\n FROM skeleton s\n LEFT JOIN base_monthly bm\n ON s.underlying_fund = bm.underlying_fund\n AND s.year_label = bm.year_label\n AND s.month_num = bm.month_num\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN monthly_return END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN monthly_return END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN monthly_return END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN monthly_return END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN monthly_return END) AS year_5\nFROM monthly\nGROUP BY underlying_fund, month_num, month_name\nORDER BY underlying_fund, month_num)\n ON COLUMNS(* EXCLUDE (underlying_fund, month_num, month_name))\n INTO\n NAME year_col\n VALUE monthly_return\n)\nORDER BY underlying_fund, month_num, year_label)\nWHERE underlying_fund = 'Walleye - Jan 2025'\nORDER BY month_num, year_label","inputQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM ${msf_underlying_monthly_heatmap_all}\nWHERE underlying_fund = 'Walleye - Jan 2025'\nORDER BY month_num, year_label","compiled":true,"inline":true},{"id":"msf_stats_walleye_jan_2025","compiledQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\ndaily_returns AS (\n SELECT\n underlying_fund,\n date,\n daily_return\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n WHERE daily_return > -1\n),\nunderlying_month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n),\nreturns_raw AS (\n SELECT\n underlying_fund,\n month_start AS date,\n CAST(date_part('year', month_start) AS INTEGER) AS year_num,\n month_end_price / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS period_return\n FROM underlying_month_prices\n),\nreturns AS (\n SELECT\n underlying_fund,\n date,\n year_num,\n period_return\n FROM returns_raw\n WHERE period_return IS NOT NULL\n AND isfinite(period_return)\n AND period_return > -1\n),\ncum_returns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n period_return,\n exp(sum(ln(1 + period_return)) OVER (PARTITION BY underlying_fund, year_num ORDER BY date)) - 1 AS cumulative_return\n FROM returns\n),\ndrawdowns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n cumulative_return,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund, year_num ORDER BY date), 0) - 1 AS drawdown\n FROM cum_returns\n),\nyearly_core AS (\n WITH yearly_aggregate AS (\n SELECT\n underlying_fund,\n year_num,\n exp(sum(ln(1 + period_return))) - 1 AS total_return,\n count(*) AS n_periods,\n min(date) AS min_period_date,\n max(date) AS max_period_date,\n sqrt(12) * stddev_samp(period_return) AS vol,\n sqrt(12) * stddev_samp(CASE WHEN period_return < 0 THEN period_return END) AS drisk,\n quantile_cont(period_return, 0.05) AS q05\n FROM returns\n GROUP BY underlying_fund, year_num\n )\n SELECT\n underlying_fund,\n year_num,\n CASE\n WHEN n_periods <= 0 THEN NULL\n WHEN n_periods = 1 THEN total_return\n WHEN date_diff('day', min_period_date, max_period_date) <= 0 THEN total_return\n ELSE power(\n 1 + total_return,\n least(365.0 / NULLIF(date_diff('day', min_period_date, max_period_date), 0), 1.0)\n ) - 1\n END AS annualised_return,\n vol,\n drisk,\n q05\n FROM yearly_aggregate\n),\nyearly_es AS (\n SELECT\n yc.underlying_fund,\n yc.year_num,\n avg(CASE WHEN r.period_return <= yc.q05 THEN r.period_return END) * sqrt(12) AS es\n FROM yearly_core yc\n JOIN returns r\n ON yc.underlying_fund = r.underlying_fund\n AND yc.year_num = r.year_num\n GROUP BY yc.underlying_fund, yc.year_num\n),\nyearly_path AS (\n SELECT\n underlying_fund,\n year_num,\n max(cumulative_return) AS hwm\n FROM drawdowns\n GROUP BY underlying_fund, year_num\n),\nmsf_returns AS (\n WITH msf_daily AS (\n SELECT\n date,\n daily_return\n FROM (SELECT\n date,\n 'MSF' AS series_name,\n daily_return_pct / 100 AS daily_return,\n 1 AS is_primary\nFROM (SELECT\n date,\n id_fund,\n daily_return_pct\nFROM fund_daily_returns)\nWHERE id_fund = 'MSF'\n AND isfinite(daily_return_pct)\n\nUNION ALL\n\nSELECT\n date,\n underlying_fund AS series_name,\n daily_return,\n 0 AS is_primary\nFROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1)))\n WHERE series_name = 'MSF'\n AND daily_return > -1\n )\n SELECT\n CAST(date_trunc('month', date) AS DATE) AS date,\n CAST(date_part('year', date) AS INTEGER) AS year_num,\n exp(sum(ln(1 + daily_return))) - 1 AS period_return\n FROM msf_daily\n GROUP BY CAST(date_trunc('month', date) AS DATE), CAST(date_part('year', date) AS INTEGER)\n),\nyearly_beta AS (\n SELECT\n r.underlying_fund,\n r.year_num,\n abs(covar_samp(r.period_return, m.period_return) / NULLIF(var_samp(m.period_return), 0)) AS beta_abs\n FROM returns r\n JOIN msf_returns m\n ON r.date = m.date\n AND r.year_num = m.year_num\n GROUP BY r.underlying_fund, r.year_num\n),\nall_time AS (\n WITH all_time_path AS (\n SELECT\n underlying_fund,\n date,\n exp(sum(ln(1 + daily_return)) OVER (PARTITION BY underlying_fund ORDER BY date)) - 1 AS cumulative_return\n FROM daily_returns\n ),\n all_time_drawdown AS (\n SELECT\n underlying_fund,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund ORDER BY date), 0) - 1 AS drawdown\n FROM all_time_path\n ),\n drawdown_agg AS (\n SELECT\n underlying_fund,\n min(drawdown) AS mdd_all_time\n FROM all_time_drawdown\n GROUP BY underlying_fund\n ),\n loss_agg AS (\n SELECT\n underlying_fund,\n min(daily_return) AS max_loss\n FROM daily_returns\n GROUP BY underlying_fund\n )\n SELECT\n d.underlying_fund,\n d.mdd_all_time,\n l.max_loss\n FROM drawdown_agg d\n JOIN loss_agg l\n ON d.underlying_fund = l.underlying_fund\n),\nmetrics AS (\n SELECT\n yc.underlying_fund,\n CAST(yc.year_num AS VARCHAR) AS year_label,\n NULL::DOUBLE AS rfr,\n yc.vol AS risk,\n yc.drisk AS drisk,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS sharpe,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS rvol,\n ye.es AS es,\n yp.hwm AS hwm,\n all_t.mdd_all_time AS mdd,\n yb.beta_abs AS beta_abs,\n all_t.max_loss AS max_loss,\n yc.vol AS vol,\n yc.annualised_return AS annualised_return\n FROM yearly_core yc\n LEFT JOIN yearly_es ye\n ON yc.underlying_fund = ye.underlying_fund\n AND yc.year_num = ye.year_num\n LEFT JOIN yearly_path yp\n ON yc.underlying_fund = yp.underlying_fund\n AND yc.year_num = yp.year_num\n LEFT JOIN yearly_beta yb\n ON yc.underlying_fund = yb.underlying_fund\n AND yc.year_num = yb.year_num\n LEFT JOIN all_time all_t\n ON yc.underlying_fund = all_t.underlying_fund\n),\nlong_metrics AS (\n SELECT underlying_fund, 1 AS metric_order, 'Rfr (X)' AS metric, year_label, rfr AS metric_value FROM metrics\n UNION ALL SELECT underlying_fund, 2, 'DRisk (%)', year_label, drisk * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 3, 'Sharpe', year_label, sharpe FROM metrics\n UNION ALL SELECT underlying_fund, 4, 'Rvol', year_label, rvol FROM metrics\n UNION ALL SELECT underlying_fund, 5, 'ES (%)', year_label, es * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 6, 'HWM (%)', year_label, hwm * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 8, 'Beta (abs, high bad)', year_label, beta_abs FROM metrics\n UNION ALL SELECT underlying_fund, 10, 'Vol (%)', year_label, vol * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 11, 'Annualised return (%)', year_label, annualised_return * 100 FROM metrics\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 7 AS metric_order,\n 'MDD (%)' AS metric,\n yl.year_label,\n all_t.mdd_all_time * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 9 AS metric_order,\n 'Max loss (all-time, %)' AS metric,\n yl.year_label,\n all_t.max_loss * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n),\nmetric_catalog AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Rfr (X)'),\n (2, 'DRisk (%)'),\n (3, 'Sharpe'),\n (4, 'Rvol'),\n (5, 'ES (%)'),\n (6, 'HWM (%)'),\n (7, 'MDD (%)'),\n (8, 'Beta (abs, high bad)'),\n (9, 'Max loss (all-time, %)'),\n (10, 'Vol (%)'),\n (11, 'Annualised return (%)')\n ) AS mc(metric_order, metric)\n),\nyear_catalog AS (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n mc.metric_order,\n mc.metric,\n yc.year_label\n FROM underlyings u\n CROSS JOIN metric_catalog mc\n CROSS JOIN year_catalog yc\n),\nfilled_metrics AS (\n SELECT\n s.underlying_fund,\n s.metric_order,\n s.metric,\n s.year_label,\n lm.metric_value AS metric_value\n FROM skeleton s\n LEFT JOIN long_metrics lm\n ON s.underlying_fund = lm.underlying_fund\n AND s.metric_order = lm.metric_order\n AND s.year_label = lm.year_label\n)\nSELECT\n underlying_fund,\n metric_order,\n metric,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN metric_value END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN metric_value END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN metric_value END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN metric_value END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN metric_value END) AS year_5\nFROM filled_metrics\nGROUP BY underlying_fund, metric_order, metric\nORDER BY underlying_fund, metric_order)\nWHERE underlying_fund = 'Walleye - Jan 2025'\nORDER BY metric_order","inputQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM ${msf_underlying_stats_pivot_all}\nWHERE underlying_fund = 'Walleye - Jan 2025'\nORDER BY metric_order","compiled":true,"inline":true},{"id":"msf_monthly_heatmap_centiva","compiledQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n CASE year_col\n WHEN 'year_1' THEN (SELECT y1 FROM selected_years)\n WHEN 'year_2' THEN (SELECT y2 FROM selected_years)\n WHEN 'year_3' THEN (SELECT y3 FROM selected_years)\n WHEN 'year_4' THEN (SELECT y4 FROM selected_years)\n WHEN 'year_5' THEN (SELECT y5 FROM selected_years)\n END AS year_label,\n monthly_return\nFROM (\n UNPIVOT (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\nmonths AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Jan'),\n (2, 'Feb'),\n (3, 'Mar'),\n (4, 'Apr'),\n (5, 'May'),\n (6, 'Jun'),\n (7, 'Jul'),\n (8, 'Aug'),\n (9, 'Sep'),\n (10, 'Oct'),\n (11, 'Nov'),\n (12, 'Dec')\n ) AS m(month_num, month_name)\n),\nbase_monthly AS (\n WITH month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n )\n SELECT\n underlying_fund,\n CAST(date_part('year', month_start) AS VARCHAR) AS year_label,\n CAST(date_part('month', month_start) AS INTEGER) AS month_num,\n CASE CAST(date_part('month', month_start) AS INTEGER)\n WHEN 1 THEN 'Jan'\n WHEN 2 THEN 'Feb'\n WHEN 3 THEN 'Mar'\n WHEN 4 THEN 'Apr'\n WHEN 5 THEN 'May'\n WHEN 6 THEN 'Jun'\n WHEN 7 THEN 'Jul'\n WHEN 8 THEN 'Aug'\n WHEN 9 THEN 'Sep'\n WHEN 10 THEN 'Oct'\n WHEN 11 THEN 'Nov'\n WHEN 12 THEN 'Dec'\n END AS month_name,\n month_end_price\n / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS monthly_return\n FROM month_prices\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n m.month_num,\n m.month_name,\n y.year_label\n FROM underlyings u\n CROSS JOIN months m\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) y\n),\nmonthly AS (\n SELECT\n s.underlying_fund,\n s.year_label,\n s.month_num,\n s.month_name,\n coalesce(bm.monthly_return, 0.0) AS monthly_return\n FROM skeleton s\n LEFT JOIN base_monthly bm\n ON s.underlying_fund = bm.underlying_fund\n AND s.year_label = bm.year_label\n AND s.month_num = bm.month_num\n)\nSELECT\n underlying_fund,\n month_num,\n month_name,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN monthly_return END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN monthly_return END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN monthly_return END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN monthly_return END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN monthly_return END) AS year_5\nFROM monthly\nGROUP BY underlying_fund, month_num, month_name\nORDER BY underlying_fund, month_num)\n ON COLUMNS(* EXCLUDE (underlying_fund, month_num, month_name))\n INTO\n NAME year_col\n VALUE monthly_return\n)\nORDER BY underlying_fund, month_num, year_label)\nWHERE underlying_fund = 'Centiva'\nORDER BY month_num, year_label","inputQueryString":"SELECT\n month_num,\n month_name,\n year_label,\n monthly_return\nFROM ${msf_underlying_monthly_heatmap_all}\nWHERE underlying_fund = 'Centiva'\nORDER BY month_num, year_label","compiled":true,"inline":true},{"id":"msf_stats_centiva","compiledQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM (WITH selected_years AS (\n SELECT * FROM (WITH ranked_years AS (\n SELECT\n year_value,\n ROW_NUMBER() OVER (ORDER BY year_value DESC) AS rn\n FROM (SELECT CAST(year_num AS VARCHAR) AS year_value\nFROM (\n SELECT DISTINCT CAST(date_part('year', date) AS INTEGER) AS year_num\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n)\nORDER BY year_num DESC)\n),\nfallback AS (\n SELECT\n max(CASE WHEN rn = 1 THEN year_value END) AS y1_fallback,\n max(CASE WHEN rn = 2 THEN year_value END) AS y2_fallback,\n max(CASE WHEN rn = 3 THEN year_value END) AS y3_fallback,\n max(CASE WHEN rn = 4 THEN year_value END) AS y4_fallback,\n max(CASE WHEN rn = 5 THEN year_value END) AS y5_fallback\n FROM ranked_years\n)\nSELECT\n coalesce(\n CASE WHEN '${inputs.msf_year_1.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_1.value}' END,\n y1_fallback\n ) AS y1,\n coalesce(\n CASE WHEN '${inputs.msf_year_2.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_2.value}' END,\n y2_fallback\n ) AS y2,\n coalesce(\n CASE WHEN '${inputs.msf_year_3.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_3.value}' END,\n y3_fallback\n ) AS y3,\n coalesce(\n CASE WHEN '${inputs.msf_year_4.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_4.value}' END,\n y4_fallback\n ) AS y4,\n coalesce(\n CASE WHEN '${inputs.msf_year_5.value}' IN ('', 'undefined', 'null') THEN NULL ELSE '${inputs.msf_year_5.value}' END,\n y5_fallback\n ) AS y5\nFROM fallback)\n),\nunderlyings AS (\n SELECT DISTINCT underlying_fund\n FROM (SELECT\n underlying_fund,\n weight_pct\nFROM (SELECT\n instance_date,\n underlying_fund,\n nav_contribution_fund_ccy,\n weight_pct / 100 AS weight_pct\nFROM msf_underlying_weights_latest\nORDER BY ABS(nav_contribution_fund_ccy) DESC)\nORDER BY weight_pct DESC)\n),\ndaily_returns AS (\n SELECT\n underlying_fund,\n date,\n daily_return\n FROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1))\n WHERE daily_return > -1\n),\nunderlying_month_prices AS (\n SELECT\n underlying_fund,\n CAST(date_trunc('month', date) AS DATE) AS month_start,\n last(price ORDER BY date) AS month_end_price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n WHERE price IS NOT NULL\n AND price > 0\n GROUP BY underlying_fund, CAST(date_trunc('month', date) AS DATE)\n),\nreturns_raw AS (\n SELECT\n underlying_fund,\n month_start AS date,\n CAST(date_part('year', month_start) AS INTEGER) AS year_num,\n month_end_price / NULLIF(lag(month_end_price) OVER (PARTITION BY underlying_fund ORDER BY month_start), 0) - 1 AS period_return\n FROM underlying_month_prices\n),\nreturns AS (\n SELECT\n underlying_fund,\n date,\n year_num,\n period_return\n FROM returns_raw\n WHERE period_return IS NOT NULL\n AND isfinite(period_return)\n AND period_return > -1\n),\ncum_returns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n period_return,\n exp(sum(ln(1 + period_return)) OVER (PARTITION BY underlying_fund, year_num ORDER BY date)) - 1 AS cumulative_return\n FROM returns\n),\ndrawdowns AS (\n SELECT\n underlying_fund,\n year_num,\n date,\n cumulative_return,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund, year_num ORDER BY date), 0) - 1 AS drawdown\n FROM cum_returns\n),\nyearly_core AS (\n WITH yearly_aggregate AS (\n SELECT\n underlying_fund,\n year_num,\n exp(sum(ln(1 + period_return))) - 1 AS total_return,\n count(*) AS n_periods,\n min(date) AS min_period_date,\n max(date) AS max_period_date,\n sqrt(12) * stddev_samp(period_return) AS vol,\n sqrt(12) * stddev_samp(CASE WHEN period_return < 0 THEN period_return END) AS drisk,\n quantile_cont(period_return, 0.05) AS q05\n FROM returns\n GROUP BY underlying_fund, year_num\n )\n SELECT\n underlying_fund,\n year_num,\n CASE\n WHEN n_periods <= 0 THEN NULL\n WHEN n_periods = 1 THEN total_return\n WHEN date_diff('day', min_period_date, max_period_date) <= 0 THEN total_return\n ELSE power(\n 1 + total_return,\n least(365.0 / NULLIF(date_diff('day', min_period_date, max_period_date), 0), 1.0)\n ) - 1\n END AS annualised_return,\n vol,\n drisk,\n q05\n FROM yearly_aggregate\n),\nyearly_es AS (\n SELECT\n yc.underlying_fund,\n yc.year_num,\n avg(CASE WHEN r.period_return <= yc.q05 THEN r.period_return END) * sqrt(12) AS es\n FROM yearly_core yc\n JOIN returns r\n ON yc.underlying_fund = r.underlying_fund\n AND yc.year_num = r.year_num\n GROUP BY yc.underlying_fund, yc.year_num\n),\nyearly_path AS (\n SELECT\n underlying_fund,\n year_num,\n max(cumulative_return) AS hwm\n FROM drawdowns\n GROUP BY underlying_fund, year_num\n),\nmsf_returns AS (\n WITH msf_daily AS (\n SELECT\n date,\n daily_return\n FROM (SELECT\n date,\n 'MSF' AS series_name,\n daily_return_pct / 100 AS daily_return,\n 1 AS is_primary\nFROM (SELECT\n date,\n id_fund,\n daily_return_pct\nFROM fund_daily_returns)\nWHERE id_fund = 'MSF'\n AND isfinite(daily_return_pct)\n\nUNION ALL\n\nSELECT\n date,\n underlying_fund AS series_name,\n daily_return,\n 0 AS is_primary\nFROM (WITH base AS (\n SELECT\n date,\n underlying_fund,\n price\n FROM (SELECT\n instrument_id,\n underlying_fund,\n date,\n price\nFROM msf_underlying_price_history)\n),\nwith_prev AS (\n SELECT\n date,\n underlying_fund,\n price,\n lag(price) OVER (PARTITION BY underlying_fund ORDER BY date) AS prev_price\n FROM base\n)\nSELECT\n date,\n underlying_fund,\n (price / prev_price) - 1 AS daily_return\nFROM with_prev\nWHERE prev_price IS NOT NULL\n AND prev_price > 0\n AND price > 0\n AND isfinite((price / prev_price) - 1)))\n WHERE series_name = 'MSF'\n AND daily_return > -1\n )\n SELECT\n CAST(date_trunc('month', date) AS DATE) AS date,\n CAST(date_part('year', date) AS INTEGER) AS year_num,\n exp(sum(ln(1 + daily_return))) - 1 AS period_return\n FROM msf_daily\n GROUP BY CAST(date_trunc('month', date) AS DATE), CAST(date_part('year', date) AS INTEGER)\n),\nyearly_beta AS (\n SELECT\n r.underlying_fund,\n r.year_num,\n abs(covar_samp(r.period_return, m.period_return) / NULLIF(var_samp(m.period_return), 0)) AS beta_abs\n FROM returns r\n JOIN msf_returns m\n ON r.date = m.date\n AND r.year_num = m.year_num\n GROUP BY r.underlying_fund, r.year_num\n),\nall_time AS (\n WITH all_time_path AS (\n SELECT\n underlying_fund,\n date,\n exp(sum(ln(1 + daily_return)) OVER (PARTITION BY underlying_fund ORDER BY date)) - 1 AS cumulative_return\n FROM daily_returns\n ),\n all_time_drawdown AS (\n SELECT\n underlying_fund,\n (1 + cumulative_return)\n / NULLIF(1 + max(cumulative_return) OVER (PARTITION BY underlying_fund ORDER BY date), 0) - 1 AS drawdown\n FROM all_time_path\n ),\n drawdown_agg AS (\n SELECT\n underlying_fund,\n min(drawdown) AS mdd_all_time\n FROM all_time_drawdown\n GROUP BY underlying_fund\n ),\n loss_agg AS (\n SELECT\n underlying_fund,\n min(daily_return) AS max_loss\n FROM daily_returns\n GROUP BY underlying_fund\n )\n SELECT\n d.underlying_fund,\n d.mdd_all_time,\n l.max_loss\n FROM drawdown_agg d\n JOIN loss_agg l\n ON d.underlying_fund = l.underlying_fund\n),\nmetrics AS (\n SELECT\n yc.underlying_fund,\n CAST(yc.year_num AS VARCHAR) AS year_label,\n NULL::DOUBLE AS rfr,\n yc.vol AS risk,\n yc.drisk AS drisk,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS sharpe,\n CASE WHEN yc.vol IS NULL OR yc.vol = 0 THEN NULL ELSE yc.annualised_return / yc.vol END AS rvol,\n ye.es AS es,\n yp.hwm AS hwm,\n all_t.mdd_all_time AS mdd,\n yb.beta_abs AS beta_abs,\n all_t.max_loss AS max_loss,\n yc.vol AS vol,\n yc.annualised_return AS annualised_return\n FROM yearly_core yc\n LEFT JOIN yearly_es ye\n ON yc.underlying_fund = ye.underlying_fund\n AND yc.year_num = ye.year_num\n LEFT JOIN yearly_path yp\n ON yc.underlying_fund = yp.underlying_fund\n AND yc.year_num = yp.year_num\n LEFT JOIN yearly_beta yb\n ON yc.underlying_fund = yb.underlying_fund\n AND yc.year_num = yb.year_num\n LEFT JOIN all_time all_t\n ON yc.underlying_fund = all_t.underlying_fund\n),\nlong_metrics AS (\n SELECT underlying_fund, 1 AS metric_order, 'Rfr (X)' AS metric, year_label, rfr AS metric_value FROM metrics\n UNION ALL SELECT underlying_fund, 2, 'DRisk (%)', year_label, drisk * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 3, 'Sharpe', year_label, sharpe FROM metrics\n UNION ALL SELECT underlying_fund, 4, 'Rvol', year_label, rvol FROM metrics\n UNION ALL SELECT underlying_fund, 5, 'ES (%)', year_label, es * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 6, 'HWM (%)', year_label, hwm * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 8, 'Beta (abs, high bad)', year_label, beta_abs FROM metrics\n UNION ALL SELECT underlying_fund, 10, 'Vol (%)', year_label, vol * 100 FROM metrics\n UNION ALL SELECT underlying_fund, 11, 'Annualised return (%)', year_label, annualised_return * 100 FROM metrics\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 7 AS metric_order,\n 'MDD (%)' AS metric,\n yl.year_label,\n all_t.mdd_all_time * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n UNION ALL\n SELECT\n all_t.underlying_fund,\n 9 AS metric_order,\n 'Max loss (all-time, %)' AS metric,\n yl.year_label,\n all_t.max_loss * 100 AS metric_value\n FROM all_time all_t\n CROSS JOIN (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n ) yl\n),\nmetric_catalog AS (\n SELECT *\n FROM (\n VALUES\n (1, 'Rfr (X)'),\n (2, 'DRisk (%)'),\n (3, 'Sharpe'),\n (4, 'Rvol'),\n (5, 'ES (%)'),\n (6, 'HWM (%)'),\n (7, 'MDD (%)'),\n (8, 'Beta (abs, high bad)'),\n (9, 'Max loss (all-time, %)'),\n (10, 'Vol (%)'),\n (11, 'Annualised return (%)')\n ) AS mc(metric_order, metric)\n),\nyear_catalog AS (\n SELECT y1 AS year_label FROM selected_years\n UNION ALL SELECT y2 FROM selected_years\n UNION ALL SELECT y3 FROM selected_years\n UNION ALL SELECT y4 FROM selected_years\n UNION ALL SELECT y5 FROM selected_years\n),\nskeleton AS (\n SELECT\n u.underlying_fund,\n mc.metric_order,\n mc.metric,\n yc.year_label\n FROM underlyings u\n CROSS JOIN metric_catalog mc\n CROSS JOIN year_catalog yc\n),\nfilled_metrics AS (\n SELECT\n s.underlying_fund,\n s.metric_order,\n s.metric,\n s.year_label,\n lm.metric_value AS metric_value\n FROM skeleton s\n LEFT JOIN long_metrics lm\n ON s.underlying_fund = lm.underlying_fund\n AND s.metric_order = lm.metric_order\n AND s.year_label = lm.year_label\n)\nSELECT\n underlying_fund,\n metric_order,\n metric,\n max(CASE WHEN year_label = (SELECT y1 FROM selected_years) THEN metric_value END) AS year_1,\n max(CASE WHEN year_label = (SELECT y2 FROM selected_years) THEN metric_value END) AS year_2,\n max(CASE WHEN year_label = (SELECT y3 FROM selected_years) THEN metric_value END) AS year_3,\n max(CASE WHEN year_label = (SELECT y4 FROM selected_years) THEN metric_value END) AS year_4,\n max(CASE WHEN year_label = (SELECT y5 FROM selected_years) THEN metric_value END) AS year_5\nFROM filled_metrics\nGROUP BY underlying_fund, metric_order, metric\nORDER BY underlying_fund, metric_order)\nWHERE underlying_fund = 'Centiva'\nORDER BY metric_order","inputQueryString":"SELECT\n metric_order,\n metric,\n year_1,\n year_2,\n year_3,\n year_4,\n year_5\nFROM ${msf_underlying_stats_pivot_all}\nWHERE underlying_fund = 'Centiva'\nORDER BY metric_order","compiled":true,"inline":true}]}

MSF Underlying Funds

Monthly performance and yearly statistics (underlyings)

No Results