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After you use the Performance Calculation report to calculate and commit daily and monthly returns, an underlying daily return can change. You can set up the Process Manager to automatically update the monthly records to reflect ongoing changes to the underlying daily records.
When you use the Performance Calculation report to create monthly performance data from daily performance data, the system reads the daily performance data, links it, and commits the monthly data to the database. It uses a Performance type source rule to retrieve the data. This is a source rule that specifies use of only a source for Performance data, so the report runs in "Performance Only" mode.
To calculate monthly performance data from daily data:
- Create a Performance Calculation report profile to use for calculating monthly data.
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- In the Step 1 dialog box for the monthly report profile:
- Specify a frequency of Monthly.
- Select the appropriate date period for the month.
- Click the Rules button. See the following figure.
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- In the Report Rules area, select the same report rule that you use to calculate daily performance data.
The underlying report rule requires a grouping rule that matches the performance model used for the daily data. You typically map the committed monthly data to the same PERFORM database column where you store the corresponding daily data. The system uses the Daily/Monthly frequency to differentiate the daily from monthly results.
- Select a field rule that points to a field rule that includes month to date Performance Link Analysis fields to override the field rule associated with the daily report profile.
- Ensure that you use only a Performance type Source Rule by overriding the source rule you use to calculate your daily data, because you must have no position source and no cash activity source specified to process data. See the following figure.
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- Click Next to display the Step 2 dialog box for the monthly report profile. See the following figure.
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- In the Security Commit Options section, select either None or Rollup Relations with Security Level, as follows:
- Select None if you do not want the report to retrieve security level performance data.
- Select Rollup Relations with Security Level if you want the report to retrieve security level performance data.
- Do not select Rollup Relations only. This setting determines whether the report retrieves security level performance data, regardless of whether you commit returns.
- Continue to configure the report profile.
When the Performance Calculation report creates monthly data, it retrieves all securities and nodes held at any point within the period for all fields in the report, and reflects the security to sector assignments in effect at month-end. The report uses the longest time period defined, so if you use a month to date period for linking data, it includes the nodes and securities that had data during the month to date. If you include benchmark performance fields, the report displays only the rollup levels and securities held by the portfolio. It does not display rollup levels or securities held only by the benchmark.
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The Creating a Monthly Report from a Daily Report methodology described in the previous section provides an example where you configure a Performance Calculation report profile with an underlying report rule, and then override components of that report rule by specifying an override field rule and/or override source rule.
After you configure a Performance Calculation report profile to override the report rule's field rule and/or source rule, PACE reporting provides several cues that make it easier to identify the overrides you applied.
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In PACE reporting, when you review report profiles in the Reports tab, Eagle allows you to expand and collapse those report profiles to identify the components that comprise the report rule, that is, the field rule, source rule, and grouping rule. When an override is present, Eagle displays the override Field Rule and/or override Source Rule in place of the underlying Report Rule's original Field Rule and Source Rule. Eagle additionally displays the letter, O to the right of the:
- F above the Field Rule ruler icon to identify use of a field rule override for the report rule.
- S above the Source Rule ruler icon to identify use of a source rule override for the report rule.
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