This section describes the analysis options in the Performance Analysis report. See the following figure.
These options become available when you click the Analysis option link in the report profile. For more information, refer to Create a Performance Analysis Report Profile. You can also use the Submit with Overrides option to temporarily change analysis options before you submit the report. For more information, refer to Run a Performance Analysis Report on an Ad Hoc Basis.
You can use the analysis options to specify the level of report output results and to define settings used in attribution reports and dynamic performance reports. You cannot define these options until you specify a report rule for the report profile. The following table describes the analysis options.
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Options
The table below describes the Analysis options.
Option | |
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Calculation & Display Level | |
Selected level to calculate attribution and display results down to | Specifies the lowest level of the performance model at which the report uses returns and weights to calculate risk, contribution, and attribution statistics. |
Limit results to the level selected above | If you set the prior field to a performance model level other than Security Level, this option allows you to limit the results you retrieve and display. It determines whether the report displays all results or only displays results down to the level specified in the prior field. If displaying results down to a selected level, you can specify whether the report retrieves security level data for rollup purposes, and whether the report additionally displays security level data. Options include:
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Show attribution inputs below selected level | For attribution reports, do one of the following:
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Suppress benchmark data not held by the profile portfolio | Select this check box to exclude benchmark data in the results for securities where the benchmark includes holdings that the related portfolio does not hold. |
Options for Security Returns | Select the type of Security Returns to Process. This enables the user to choose the security type to be processed. The options are Single Position (S), Positions by Strategy (SS), Positions by Strategy and Dictionary Classification (SP). The returns need to be committed independently for each security type through the Perf Calc report or uploaded into the performance tables. The legacy type (S) supports both stored model and dynamic grouping. SP supports grouping only based on stored model. SS potentially supports dynamic grouping. Show Partial Period Assignments option is available for S and SS. Enabling this option would show the security under multiple nodes if the security switches nodes during the reporting period. If SP is chosen in the above checkbox, this option is enabled and made inactive. |
Dynamic Performance | |
Portfolio Look Through | In dynamic performance reports, select this check box to use portfolio look through. This option is available only if you do not select a performance model as the report's grouping rule. For more information, refer to "Invoking Portfolio Look-Through." |
Adjust Securities Values to Match Parent | This checkbox becomes active when you select the checkbox for Portfolio Look Through. Check this box to adjust the returns of underlying securities by a drift factor so that they roll up to match the return of the look-through security they replaced. |
Apply Filter for Benchmark | In dynamic performance reports, select this check box to apply data filters to the benchmark. This option is available only if you do not select a performance model as the report's grouping rule. For more information, refer to "Classifications, Filters, and Range Rules." |
Limit Results Examples
The Limit Results to the Level Selected Above option affects whether you can view security level data directly below intervening performance model levels after you commit data once to a performance model.
Assume you use a performance model that groups data by Total / Region / Country / Security. The following examples illustrate what results display if you select various options for limiting results.
Do not limit results. In the following example, if you select a performance model level of Region and set this option to Do not limit results, you see results like the following.
Total | ||||
North America | ||||
United States | ||||
Security 1 | ||||
Security 2 | ||||
Canada | ||||
Security 3 | ||||
Security 4 | ||||
Europe | ||||
France | ||||
Security 5 | ||||
Security 6 | ||||
Germany | ||||
Security 7 |
Limit results or Limit results, fetch but do not display securities. In this example, assume you select a performance model level of Region and set this option to Limit Results or to Limit results, fetch but do not display securities. You see results like the following.
Total | ||||
North America | ||||
Europe |
Limit results, fetch and display securities. In this example, you select a performance model level of Region and set this field to Limit results, fetch and display securities. You can see results like the following. Notice that you can see the securities below each region, and those securities are not grouped by Country, the intervening performance model level.
Total | ||||
North America | ||||
Security 1 | ||||
Security 2 | ||||
Security 3 | ||||
Security 4 | ||||
Europe | ||||
Security 5 | ||||
Security 6 | ||||
Security 7 |
Report Outputs from Calculation & Display Level Settings
The following table summarizes the report outputs that you can produce by combining the following Calculation & Display Level option settings. The report processing shown is designed to provide more recent functions while preserving backward compatibility for existing report profiles.
Field Types Included in Field Rule | Calculate Attribution Statistics at the Level | Limit Results to the Level Selected Above | Show Attribution Inputs Below Selected Level | Report Processing |
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Mixed Performance Analysis and attribution group | Total or rollup | Do not limit results | Cleared | Data is retrieved to security level, attribution is calculated from selected level, non-attribution data is displayed down to security level. |
Mixed Performance Analysis and attribution group | Total or rollup | Do not limit results | Selected | Data is retrieved to security level, attribution is calculated from selected level, all data is displayed down to security level. |
Mixed Performance Analysis and attribution group | Total or rollup | Limit results | Cleared (Unavailable) | Data is retrieved to selected level, attribution is calculated from selected level, all data is displayed down to selected level. |
Mixed Performance Analysis and attribution group | Total or rollup | Limit results, fetch but do not display securities | Cleared (Unavailable) | Data is retrieved to security level, attribution is calculated from selected level, all data is displayed down to selected level. |
Mixed Performance Analysis and attribution group | Total or rollup | Limit results, fetch and display securities | Selected (Unavailable) | Data is retrieved to security level, attribution is calculated from selected level, all data is displayed down to security level. |
Mixed Performance Analysis and attribution group | Security | Do not limit results (Unavailable) | Cleared (Unavailable) | Data is retrieved to security level, attribution is calculated from security level, all data is displayed down to security level. |
Attribution group only | Total or rollup | Do not limit results | Selected | Data is retrieved to security level, attribution is calculated from selected level, all data is displayed down to security level. |
Attribution group only | Total or rollup | Limit results | Cleared (Unavailable) | Data is retrieved to selected level, attribution is calculated to selected level, all data is displayed down to selected level. |
Attribution group only | Total or rollup | Limit results, fetch and display securities | Selected (Unavailable) | Data is retrieved to security level, attribution is calculated from selected level, all data is displayed down to security level. |
Attribution group only | Security | Do not limit results (Unavailable) | Cleared (Unavailable) | Data is retrieved to security level, attribution is calculated to security level, all data is displayed down to security level |
Display and Hide the Total Row
All Performance analysis reports are displayed without the Total row. This makes the report more consistent with other OLAP reports.
You can choose to display the Total row using the Include TOTAL row in results option as shown in the following figure. Click Options from the second step of the report profile.
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If you have an Advanced Report created prior to Release 9.0 that is based on a Performance Analysis report, hiding the Total row may cause the Advanced Report to fail. By default, any existing report created before Release 9.0 displays the Total row to avoid this issue. Only new Performance Analysis reports created in Release 9.0 or later have the Total row hidden by default. |
Set Report Thresholds for Entities and Time Periods
You can set report thresholds for Performance Analysis reports to control the number of entities and time periods used when running the report to provide a more manageable response time and to eliminate scenarios where reports run for unacceptable times and/or finish unsuccessfully. For example, you may want one report to run for hundreds of entities for any time period while intend another report to run for one entity for a maximum of one year.
If you run a report and exceed a report threshold, the report fails with an error message that identifies the threshold limit.
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Be aware that the Performance System Parameter, Sys Item 28, Maximum number of entities in performance data fetch, is available as a system-wide parameter that can help to optimize overall report time. This parameter specifies the maximum number of entities allowed per query in the performance data fetch associated with the Performance Analysis report, along with other reports. It allows queries to run more predictably when you run the Performance Analysis report for complex queries, such as those used for Data Mart builds or on an ad hoc basis. For details, refer to the Performance System Parameters section of the Performance Calculation User Guide. |
To set report thresholds for a Performance Analysis report profile:
Select the Create/Edit Performance Analysis report Step 2 dialog box, as described in "Creating a Performance Analysis Report Profile", and click Options.
The Report Options dialog box appears.Select the Set Report thresholds check box.
The Set Report thresholds dialog box appears.In the Entity thresholds field, specify the maximum number of entities for which to run the report. The field displays a default value of 0 (zero), indicating an unlimited number of entities are acceptable. For LIST-type entities, the system enumerates the LIST-type entities before it applies the threshold. For composites, the system counts the entities and applies them towards the threshold before it enumerates them.
In the Date range threshold in days field, specify the maximum of days for which to retrieve time series data when running the report.
The field displays a default value of 0 (zero), indicating an unlimited number of days are acceptable.