Time Series Fields Underlying Data Types
You can base Times Series fields on Holding and Security data. Security data includes Reference, Price, Ratings, and Analytics. You can also base Times Series fields on detailed calculation, and inference fields if those fields are based on holding and securities.
Times Series Fields, while based on these underlying data types, can be included within other custom fields. These custom fields include:
Rollup
Detail Calculation
Inference
Rollup Inference
Rollup Calculation
Although a rollup can be based on a Times Series, Time Series cannot be based on a rollup.
For example, given monthly prices for the holdings of Port A below, the average price can be calculated for each holding during the 3 month period.
Price- January | Price- February | Price - March | Average Price per Quarter | |
Port A | ||||
Security X | 95.00 | 95.25 | 95.50 | 95.250 |
Security Y | 73.00 | 74.50 | 75.00 | 74.167 |
Security Z | 85.25 | 86.00 | 88.45 | 85.233 |
You can also calculate weighted average of the times series at the group (portfolio) level.
Price - January | Price - February | Price - March | MV - March | Average Price per Quarter | Weight Average for Quarter | |
Port A | 82.0719 | |||||
Security X | 95.00 | 95.25 | 95.50 | 1500.00 | 95.250 | 95.250 |
Security Y | 73.00 | 74.50 | 75.00 | 2500.00 | 74.167 | 74.167 |
Security Z | 85.25 | 86.00 | 88.45 | 3500.00 | 85.233 | 85.233 |
The Eagle solution uses the Market Value field based on the report date to calculate the correct values.
Using Rollup fields, including Rollup Calculation and Rollup Inference, allows for enhanced data to be stored in the Data Mart group models. While Times Series Fields are based on detail level information, Rollup fields of a times series allow group level information to be stored.
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Eagle Reporting only calculates the rollup aggregations of the times series results and not the constituent data of the series. |
Grouping Rule
You can use Times Series fields with Grouping. Perform careful analysis to ensure that Time Series fields and Grouping are being used in a way that makes business sense.
Use Business Calendar and Date Rules
Since Times Series Fields aggregate data across time, each field must be configured to evaluate a date range. The date range can consist of the same two dates to fetch a single data point or two dates to fetch multiple data points.
When configuring Times Series Fields for use with a Business Calendar, you select either the Date Rule Period or the Business Calendar option:
To select the Date Rule Period, click Click here to define your reporting period options... These options are used to determine the range of dates for the engine to fetch the required data for the aggregation.
To select a Business Calendar, select the Use Business Calendar checkbox.
Business Calendar and Date Rule Example
For example, you configure a date rule to use a date range of the prior month begin to prior month end using business dates for the range delineation. Month begin should be a business day and Month end should be a business day. In the following table, the date evaluated by the Period option for Business Days is January 2nd and January 30th.
If you have set the Business Calendar option to On in the fields, the data used in the aggregation only includes those dates that are business dates. In this table, the shaded dates are the days included.
January | ||||||
Sunday | Monday | Tuesday | Wednesday | Thursday | Friday | Saturday |
1 | 2 | 3 | ||||
4 | 5 | 6 | 7 | 8 | 9 | 10 |
11 | 12 | 13 | 14 | 15 | 16 | 17 |
| 19 | 20 | 21 | 22 | 23 | 24 |
25 | 26 | 27 | 28 | 29 | 30 | 31 |
Set Up Time Series Fields
You create and edit Time Series field on the Time Series Fields dialog box. Complete the following procedure to set up Time Series Fields.
To access the Time Series Field dialog box, open the Custom folder, located on the Field Selector window.
Open the Time Series folder on the Field Selector window.
You see the Time Series field dialog box.Complete the following options on the Time Series Field dialog box and click OK.
Option | Description |
Name | Enter a name for the Time Series Field |
Precision | Select a Precision value from the dropdown list. |
Comments | Enter a comment regarding the Time Series Field. |
Field Options | Click to select Field options such as report type mapping, publishing, and inventory of fields. Set the parameters used to define the Range of dates used. |
Do not allows others to edit this field | Select this checkbox if you do not want other users to be able to edit this field, even if their user permissions are set to allow them to edit other user's field attributes. |
Effects | This populates the effects of the field. You must configure Category and Based on Field. |
Category |
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Period Options | In this section, click Click here to define your reporting period options... to select a time period to be used in calculations. You can select:
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Use Business Calendar | When you select this checkbox, the Business calendar in the drop down is checked when determining values to accumulate. |
Exclude Missing Values | When this checkbox is selected, if there are missing values in the accumulate data set, those missing values are not counted in the aggregation. |
Do not show if missing observations | When this checkbox is selected, if there are missing values in the data set, then no values are calculated and displayed for the given securities. |
Time Series Fields Restrictions Per-Share Data
Times Series
Note that some of your analytical data fields may not be appropriate candidates for Eagle's time series fields. These include the per-share fields for equities, such as price, earnings per share and dividend per share. This is because these fields are impacted by capital changes that companies experience, like splits and stock dividends that change the definition of a share. Eagle's prices are not adjusted for splits, and normally, security analytics are loaded as unadjusted. It is not meaningful to include both pre- and post-split data in a time series calculation. Fortunately, many important equity analytics such as beta, and financial ratios such as P/E do not have a share dimension and are unaffected by splits. The same is true of index levels, which are normally loaded as prices.
Data Mart
You may be able to obtain split-adjusted per-share data through a direct vendor load or exporter approach. If so, you can analyze that data using time series fields. However, if you want to build such fields in Data Mart, your data will reflect different share definitions every time a security has a capital change. To solve this issue, you must re-build all per-share fields, for all past dates, for every required date (perhaps only monthly depending upon reporting requirements) in order not to miss a split in any stock in the Mart. This may be facilitated by adding an extension to the Mart's Security Details table and dedicating it to your per-share fields, building only that extension since inception on a selective-fields basis.