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You can use the Performance Calculation report to calculate and commit daily performance data, and use a second Performance Calculation report to calculate and commit monthly performance data by linking together the daily returns. The Performance Calculation report uses the daily data stored in the PERFORM database, just as the Performance Analysis report does.

This approach has several advantages over other monthly approaches, because it allows you to create monthly records down to the security level whether or not positions and cash activity for all entities in the report are available. You can use this approach under the following scenarios:

  • Benchmarks Below Total Level. Calculations below the Total level for benchmarks (entity type of INDX), even when holdings information for benchmarks is not available. You can load benchmark performance data at the security level, and maintain it to reflect any security/sector changes.

  • Blended Custom Benchmarks. Security level calculations for blended type custom benchmarks (entity type of CIDX), even when no holdings information for benchmark entities is available. For example, you build a Custom Blended Benchmark down to the security level for every business day during the month. You need to create monthly records to use as the input into a risk statistic that uses monthly observations.

  • Months that Start and End on Weekends. Assume you create monthly records from daily records down to the security level. One month has both a weekend start date and a weekend stop date. Calculating monthly returns allows you to link daily data successfully.

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.

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  • Performance Analysis
  • Performance Link Analysis
  • Performance Risk Analysis

The report always retrieves entity fields, even if you do not process performance data at the security level. You can use security fields only if the report processes performance data at the security level.
The rest of this section provides several useful performance values that you can include in a Performance Calculation report rule used for month to date performance calculation and reporting. For detailed information about setting up Performance Analysis, Performance Link Analysis, and Performance Risk Analysis fields, see the Performance Analysis and Reporting User Guide.

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  1. Create a Performance Calculation report profile to use for calculating monthly data.

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  1. 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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  1. In the Report Rules area, select the same report rule that you use to calculate daily performance data.

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  1. 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.
  2. 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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  1. Click Next to display the Step 2 dialog box for the monthly report profile. See the following figure.

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  1. 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.

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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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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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