E-22 — Metric Definition
The governed definition of a metric — its formula, inputs, conventions and variant forms, owned and versioned. The single authoritative statement of how a number is defined, that the stored results computed to it (E-20, E-19) reference.
Purpose
A buy-side firm computes the same metric many ways unless it governs the definition. “Return” is time-weighted or money-weighted, gross or net, in base currency or local; “exposure” is notional or delta-adjusted; “yield” is one of several conventions. The Metric Definition entity is the governed statement of one such metric — the formula, the inputs it consumes, the currency and period conventions, the variant forms, the owner and the version — so that everyone computing the metric computes the same thing, and a stored result can name the exact definition it was computed to.
It is the semantic-layer counterpart to the stored-result entities: where E-20 Performance Result and E-19 Risk Measurement are the numbers, E-22 is the definition the numbers were computed to. A stored result references its Metric Definition, so a change in how a metric is defined is a new version of the definition — not a silent rewrite of the figures already reported under the old one.
Attribute schema
| Column | Type | Definition |
|---|---|---|
metric_definition_id | varchar | Primary key. |
metric_name | varchar | Canonical name — time_weighted_return, value_at_risk_99_1d, tracking_error, dpi. |
metric_family | varchar | The domain the metric belongs to — performance / risk / exposure / accounting / esg. |
formula_spec | document (JSON) | The structured specification of the computation — the inputs, the operations, the conventions — in the computation-as-data spirit of the E-17 shock_set and PM-10 fund terms. |
input_metrics | array | The metric definitions or entities this metric is computed from, where it composes lower-level metrics. |
currency_convention | varchar | The currency basis — base / local / hedged, where applicable. |
period_convention | varchar | The period basis — daily / monthly / since_inception / annualised, where applicable. |
version | varchar | The version of the definition. |
effective_from | date | When this version of the definition became active. |
effective_to | date | When it was superseded; null while active. |
owner | varchar | The steward accountable for the definition. |
status | varchar | draft / certified / deprecated. |
Notes
- Versioned, not edited in place. A metric whose formula or convention is changed is a new version; the prior version is retained, so a stored result computed under the old definition stays traceable to the exact definition it used.
- The
formula_specis structured data, not prose — it is the typed specification the analytics layer reads and applies, the same discipline as the E-17 Scenarioshock_set. - This is the one governance-layer promotion in the entity model: the data-quality rule, the lineage record and the certified-dataset register stay as Service-Domain artefacts (SD-13.7), but the Metric Definition is first-class because a stored result (E-20, E-19) needs to reference it.
Out of scope
- The computed result of applying a metric definition — that is E-20 Performance Result, E-19 Risk Measurement, or E-07 Valuation; E-22 is the definition, not the number produced from it.
- The data-quality rule, the lineage record and the certified-dataset register — these stay Service-Domain artefacts of SD-13.7 Data Quality & Governance, not first-class entities; E-22 is promoted because stored results reference it, which those records do not require.
- The semantic model and the business glossary as a whole — that is the broader SD-13.8 estate; E-22 is the single governed metric definition within it.
Owned and consumed by
- Owned by: SD-13.8 Semantic & Metric Layer.
- Consumed by: SD-09.1 Performance Measurement (E-20 references it), SD-07.1 / SD-07.2 / SD-07.3 / SD-07.4 Investment Risk Management (E-19 references it), SD-16.2 Owner & Investor Reporting, SD-16.4 Financial Reporting & Disclosure.
Open extensions
- The
formula_specdocument grammar — the typed vocabulary a metric’s computation is expressed in. - The dependency graph between composed metrics — a portfolio metric built from instrument-level metrics.
- The relationship between a Metric Definition and the certified-dataset register it is computed over.