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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The fields that you use to create these returns are Performance Analysis and Performance Link Analysis fields. The Performance Analysis fields are single-period fields that point to the returns stored in the PERF_SEC_RETURNS table in the PERFORM database, and the Performance Link Analysis fields link the Performance Analysis fields together over multiple periods.
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You can use an Entity Hierarchy field in the Grouping Rule of a Performance Analysis report to analyze composites of portfolios or composites of composites of portfolios. Using entity hierarchies in Performance Analysis reports is helpful for:
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You can use the Entity Hierarchy functionality in Performance Analysis reports to drill through the top level composite to the position level performance of the portfolio constituents. The following figure demonstrates the hierarchy for a typical Composite-of-Composites structure.
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To define an Entity Hierarchy for use in a Performance Analysis report:
- 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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| If you are creating field attributes for more than one use (such as composite-of-composite analysis, firm analysis, and multi-manager attribution analysis), you can choose analysis-related names for the field attributes. For example, Plan, Strategy. |
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Once you create the Entity Hierarchy fields, you can use them in the Grouping Rule of Performance Analysis reports. To provide the necessary drilldown capabilities on Performance Analysis reports, the Grouping Rule functionality supports the same Entity Hierarchy functionality supported on other reports such as Cash Activity, Cash Balance, Ledger Activity, Lot Level Positions, Positions, and Trade Reports.
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This methodology also supports cases where the same entity exists as a constituent within multiple composites. Additionally, it supports cases where multiple composites selected with different hierarchy levels can be displayed accurately in the same report.
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The entity hierarchy functionality in Performance Analysis reports also supports the ability to view a total level composite with all of the underlying data rolled up based on the Performance Model.
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