First, create a new Performance Analysis Report Rule and set the grouping rule and source rules, as shown in the following figure. The grouping rule for a Performance Analysis report should always include an entity field like entity name, followed by a performance model.
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- Create Hierarchy Levels by setting up Code Values within Codes (ELEVEL - iEntity Level) under the Eagle PACE source. If you are creating entity levels for more than one use (such as composite-of-composite analysis, firm analysis, and multi-manager attribution analysis), Eagle recommends that you choose generic names for the levels. For example, Level 1, Level 2.
In the prior example, the two levels required are Total Level Composite ('ACOM') and Constituent Composite Member (ACOM Constituent 1 and 2). In the following figure, the Code Values represent the level numbers of each composite in the structure.
- Create Custom Entity Hierarchy Field Attributes that reference each of the Hierarchy Levels, as shown in the following figure. Additionally, as shown in the following figure, the field that the Entity Hierarchy Fields should be based on is Entity ID.
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Once you create the Entity Hierarchy Field with Submitted Entity is created, you can use it in conjunction with a Performance Model in the Grouping Rule of Performance Analysis reports. In the following figure displays the report hierarchy and the output results on a Performance Analysis report using Submitted Entity.
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When you set up a Performance Analysis report with an Entity Hierarchy field in the Grouping Rule to analyze composites of portfolios or composites of composites of portfolios, the report can read portfolio and benchmark Entity attributes at all levels, including above the portfolio. The report can also display benchmark calculations at all levels, including above the portfolio.
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When you are setting up Report Rules for the Performance Analysis report and use entity hierarchy fields in the grouping, you can use:
- Performance Analysis fields with the Index ID or Index Name Effect in the Field Rule to allow the report to read portfolio Entity attributes at all levels, including above the portfolio level.
If you enable entity history in the report profile, the report can read portfolio Entity attributes on a historic basis.
- Performance Analysis fields with the Index ID or Index Name Effect in the Field Rule to allow the report to read benchmark Entity attributes at all levels, including above the portfolio level.
If you enable entity history in the report profile, the report can read benchmark relationships and benchmark Entity attributes on a historic basis.
- Benchmark Relative Performance Analysis (PA), Performance Link Analysis (PLA), Performance Risk Analysis, and Performance IRR Analysis (IRR) fields to support benchmark calculations at all levels, including above the portfolio level.
If you enable entity history in the report profile, the report can read benchmark relationships on a historic basis.
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To illustrate this, assume you have a Plan composite comprised of Strategy A composite and Strategy B composite. Strategy A composite and Strategy B composite each contain multiple portfolios. You commit the Plan composite, the Strategy composites, and the portfolios all to the same total level only performance model.
You create a Performance Analysis report grouped by a Plan Entity Hierarchy field, a Strategy Entity Hierarchy field, Entity field, and total level model. You use the report to read the data and present names, inception dates, benchmark names, and various linked time period returns for the portfolio and benchmark. In the following sample report results, the shaded cells identify some entity attributes and benchmark calculations above portfolio level.
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Inception Date
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Base Currency
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Benchmark Name
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BM1 1 Year Return
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Plan Composite
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30-Jun-2000
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CAD
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Custom Blend 3
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0.025
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Strategy 1 Composite
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31-Dec-2003
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JPY
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Custom Blend 1
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0.015
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Portfolio 1
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31-Dec-2004
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USD
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S&P 500
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0.01
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Portfolio 2
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30-Jun-2005
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CAD
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Russell 2000
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0.02
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Strategy 2 Composite
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31-Dec-2006
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USD
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Custom Blend 2
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0.035
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Portfolio 3
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31-Dec-2007
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GBP
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FTSE 100
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0.03
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Portfolio 4
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30-Jun-2008
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EUR
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MSCI World
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