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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. 
By default, the field displays a value of Total. You must select a level other than Total for a meaningful attribution analysis.

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:

• Do not limit results. (Default) Displays all results.
• Limit results. Displays report results down to the level specified in the prior field in this section. Does not retrieve security level data so that it can roll up that data. 
  
  This is the most optimized option, resulting in the fastest report run time. The system processes records for Performance Analysis, Performance Link Analysis, and Risk Statistic field types only down to the same limit level used for the Attribution fields. Selecting this value can result in the processing of many less records and correspondingly faster report run times. However, this option does lead to the limitation that any security level and entity rollup fields included on the report show as blank due to the lack of record processing below the limit level.
• Limit results, fetch and display securities. Displays report results down to the level specified in the prior field in this section. In addition, retrieves and displays security level data below the selected level. This option allows you to view securities below a performance model level when that level is not the lowest level in the model.
• The system retrieves records and processes them down to the security level for Performance Analysis, Performance Link Analysis, Performance Risk Analysis, Performance IRR Analysis, Performance Attribution Group, and Global Attribution Group fields even though the report level is limited above the security level.
• Limit results, fetch but do not display securities. (This option is provided for backward compatibility only.) Displays report results down to the level specified in the prior field in this section, the Selected level to calculate attribution and display results down to field. Does not display security level data, but retrieves security level data so that it can roll up that data. 
  
  The system retrieves records and processes them down to the security level for Performance Analysis, Performance Link Analysis, and Risk Statistic fields even though the report level is limited to above the security level. The chief benefit of this option is that it allows you to display security and entity fields in rollup fields on Performance Analysis reports. 
  Some examples of report results you receive after selecting these options appear in the next section.

Show attribution inputs below selected level

For attribution reports, do one of the following:

• Select this check box to display the attribution input weights and returns below the level selected for the calculation of attribution statistics in the Selected level to calculate attribution and display results down to field.
• Clear the check box to prevent display of the attribution inputs below the selected level. 
  
  By default, if you set the Limit results to the level selected above field to:
• Do not limit results, this check box is selected.
• Limit results, this check box is cleared and unavailable.
• Limit results, fetch and display securities, this check box is selected and unavailable.
• Limit results, fetch but do not display securities, this check box is cleared and unavailable.

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.

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."