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The report profile works like other PACE drill-down reports, except for the additional requirement to set the level at which the risk, contribution, and attribution statistics are calculated. The report uses the returns and weights at the level of the Performance Model you select in the Analysis option section to calculate risk, contribution, and attribution statistics. You can also specify whether you want the report to let you drill down below that level to view results.
When you get the report results back, you can drill down to stock level, query the database for things like the time series of prices or analytics for the security, export the results to Microsoft Excel, and so on.
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PACE maintains information that is used to determine profile instances and report types. The Performance Calculation and Composite Weighted Return reports populate this information.
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The Performance Analysis report profile provides a template for creating multiple period risk and returns.
To create a Performance Analysis report profile:
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The options for the report profile are similar to those for other PACE drill-down reports, with the exception of several options specific to Eagle Performance.
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Option
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Description
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Entities
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The entities to include in the Performance Analysis report, selected from the Entity Selector. For more information, refer to the PACE Reporting Reference Guide.
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Effective Date period
The date period to use for the report. Options include:
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Link Period Override (Date Rule)
For information about the Link Period Override options, refer to "Overriding Link Periods in Underlying Fields." For information about using standard date rules in reports, refer to the PACE Reporting Reference Guide.|
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The Options button allows you to define the following types of information in the Advanced Options dialog box:
- Data filter options in the Specify Filter tab. For general information, refer to the PACE Reporting Reference Guide. For information about using filters for dynamic performance, refer to "Classifications, Filters, and Range Rules."
- Currency conversion options in the Select a Currency tab. For more information, refer to "Converting Returns From One Base Currency to Another."
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Option
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Description
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Scheduling Options
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You can schedule report profiles to run at the same time every day or as part of an overnight cycle of scheduled reports. For information, refer to the PACE Reporting Reference Guide.
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Report Options
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Clicking the Options button displays the Report Options dialog box, where you can define standard reporting and distribution options described in the PACE Reporting Reference Guide. The following nonstandard options apply to Eagle Performance:
- Use this language for the Report. If you set up Eagle to support languages in addition to English, you can specify a different language to use for the report results. The default language is English.
- Include TOTAL row in results. Determines whether the report displays the Total row. By default, this check box is cleared, and the Total row does not appear. For more information, refer to "Displaying and Hiding the Total Row."
- Set Report Thresholds. Allows you to control the number of entities and time periods used when running the report. For more information, see "Setting Report Threshold for Entities and Time Period."|
In Step 3 of 3, define the options to name the report and so on. See the previous figure.
For more information about these standard options, refer to the PACE Reporting Reference Guide.
- Click Finish to save your changes for all pages of the dialog box.
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You can use the Submit with Overrides option to temporarily change several types of Performance Analysis report attributes before you submit the report. This option is useful for submitting published reports, because the only person who can change the published report is the report owner.
To run a Performance Analysis Report on an ad hoc basis:
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- Override the dates defined in the report profile. For more information, refer to "Creating a Performance Analysis Report Profile."
- Override the server log level used for the report. For more information, refer to "Performance Analysis Logging."
- Override the entities defined in the report profile.
- Select a language for the Report. If you set up Eagle to support languages in addition to English, you can specify a different language to use for the report results. The default language is English.
The report can include multilingual security field attributes such as security name, entity field attributes such as portfolio name and benchmark name, and performance model information such as GICS sector. For general information about generating OLAP report results in multiple languages, refer to the PACE Reporting Reference Guide.
- Generate EagleEye Analysis output for use in report troubleshooting. For more information, refer to "Chapter 6: Using EagleEye Analysis."
You can click the Select a Report Rule and a Field Rule tab to override the report rule associated with the report profile, and/or override the field rule specified in the selected report rule. See the previous figure.
For more information, refer to "Performance Analysis Report Rule" and "Performance Analysis Fields."
- You can click the Select the Grouping Rule tab, shown in the previous figure, to override the:
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- You can click the Select the Currency tab to override the currency conversion options associated with the report profile. See the previous figure.
For more information, refer to "Converting Returns From One Base Currency to Another."
- You can click the Select the Benchmark tab to override the benchmark assignments associated with the entities selected for the report. See the previous figure.
For more information, refer to "Overriding a Benchmark – Submit with Override."
- Click OK to submit the report.
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Option
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Calculation & Display Level
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Selected level to calculate attribution and display results down to
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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.
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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:
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Show attribution inputs below selected level
For attribution reports, do one of the following:
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Suppress benchmark data not held by the profile portfolio
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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.
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Dynamic Performance
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Portfolio Look Through
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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."
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Adjust Securities Values to Match Parent
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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.
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Apply Filter for Benchmark
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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."
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The Limit results to the level selected above option affects whether you can view security level data directly below intervening performance model levels after you commit data once to a performance model. Assume you use a performance model that groups data by Total / Region / Country / Security. The following examples illustrate what results display if you select various options for limiting results.
Do not limit results. In the following example, if you select a performance model level of Region and set this option to Do not limit results, you see results like the following.
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Total
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North America
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United States
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Security 1
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Security 2
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Canada
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Security 3
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Security 4
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Europe
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France
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Security 5
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Security 6
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Germany
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Security 7
Limit results or Limit results, fetch but do not display securities. In this example, assume you select a performance model level of Region and set this option to Limit Results or to Limit results, fetch but do not display securities. You see results like the following.
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Total
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North America
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Europe
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Total
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North America
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Security 1
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Security 2
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Security 3
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Security 4
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Europe
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Security 5
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Security 6
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Security 7
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The following table summarizes the report outputs that you can produce by combining the following Calculation & Display Level option settings. The report processing shown is designed to provide more recent functions while preserving backward compatibility for existing report profiles.
Field Types Included in Field Rule | Calculate Attribution Statistics at the Level | Limit Results to the Level Selected Above | Show Attribution Inputs Below Selected Level | Report Processing |
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Mixed Performance Analysis and attribution group | Total or rollup | Do not limit results | Cleared | Data is retrieved to security level, attribution is calculated from selected level, non-attribution data is displayed down to security level. |
Mixed Performance Analysis and attribution group | Total or rollup | Do not limit results | Selected | Data is retrieved to security level, attribution is calculated from selected level, all data is displayed down to security level. |
Mixed Performance Analysis and attribution group | Total or rollup | Limit results | Cleared (Unavailable) | Data is retrieved to selected level, attribution is calculated from selected level, all data is displayed down to selected level. |
Mixed Performance Analysis and attribution group | Total or rollup | Limit results, fetch but do not display securities | Cleared (Unavailable) | Data is retrieved to security level, attribution is calculated from selected level, all data is displayed down to selected level. |
Mixed Performance Analysis and attribution group | Total or rollup | Limit results, fetch and display securities | Selected (Unavailable) | Data is retrieved to security level, attribution is calculated from selected level, all data is displayed down to security level. |
Mixed Performance Analysis and attribution group | Security | Do not limit results (Unavailable) | Cleared (Unavailable) | Data is retrieved to security level, attribution is calculated from security level, all data is displayed down to security level. |
Attribution group only | Total or rollup | Do not limit results | Selected | Data is retrieved to security level, attribution is calculated from selected level, all data is displayed down to security level. |
Attribution group only | Total or rollup | Limit results | Cleared (Unavailable) | Data is retrieved to selected level, attribution is calculated to selected level, all data is displayed down to selected level. |
Attribution group only | Total or rollup | Limit results, fetch and display securities | Selected (Unavailable) | Data is retrieved to security level, attribution is calculated from selected level, all data is displayed down to security level. |
Attribution group only | Security | Do not limit results (Unavailable) | Cleared (Unavailable) | Data is retrieved to security level, attribution is calculated to security level, all data is displayed down to security level |
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All Performance analysis reports are displayed without the Total row. This makes the report more consistent with other OLAP reports. See the following figure.
You can choose to display the Total row using the Include TOTAL row in results option as shown in the following figure. Click Options from the second step of the report profile.
Note: | If you have an Advanced Report created prior to Release 9.0 that is based on a Performance Analysis report, hiding the Total row may cause the Advanced Report to fail. By default, any existing report created before Release 9.0 displays the Total row to avoid this issue. Only new Performance Analysis reports created in Release 9.0 or later have the Total row hidden by default. |
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You can set report thresholds for Performance Analysis reports to control the number of entities and time periods used when running the report to provide a more manageable response time and to eliminate scenarios where reports run for unacceptable times and/or finish unsuccessfully. For example, you may want one report to run for hundreds of entities for any time period while intend another report to run for one entity for a maximum of one year.
If you run a report and exceed a report threshold, the report fails with an error message that identifies the threshold limit.
Note: | Be aware that the Performance System Parameter, Sys Item 28, Maximum number of entities in performance data fetch, is available as a system-wide parameter that can help to optimize overall report time. This parameter specifies the maximum number of entities allowed per query in the performance data fetch associated with the Performance Analysis report, along with other reports. It allows queries to run more predictably when you run the Performance Analysis report for complex queries, such as those used for Data Mart builds or on an ad hoc basis. For details, refer to the Performance System Parameters section of the Performance Calculation User Guide. |
To set report thresholds for a Performance Analysis report profile:
- Select the Create/Edit Performance Analysis report Step 2 dialog box, as described in "Creating a Performance Analysis Report Profile", and click Options.
The Report Options dialog box appears.
- Select the Set Report thresholds check box.
The Set Report thresholds dialog box appears. See the following figure.
- In the Entity thresholds field, specify the maximum number of entities for which to run the report.
The field displays a default value of 0 (zero), indicating an unlimited number of entities are acceptable. For LIST-type entities, the system enumerates the LIST-type entities before it applies the threshold. For composites, the system counts the entities and applies them towards the threshold before it enumerates them.
- In the Date range threshold in days field, specify the maximum of days for which to retrieve time series data when running the report.
The field displays a default value of 0 (zero), indicating an unlimited number of days are acceptable.
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You can override benchmark assignments from the Submit with Override window. The override is created by specifying:
- A different benchmark
- Another benchmark assignment
Choose the Select the Benchmark tab on the Submit with Override window to initiate benchmark definitions. All valid benchmark definitions are displayed. You can either override the assignment, or, assign a specific entity. See the following figure.
This feature is used with all Performance Analysis reports like Perf Link Analysis, Risk Statistics, Equity Attribution, and Fixed Income Attribution.
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The Advanced Report Override window provides a second technique for initiating Benchmark overrides. You can override either:
- The benchmark assignment
- A specific entity
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