The EagleEye Analysis file is an XML file that automatically opens in Microsoft Excel. The Excel file is made up of four types of worksheets:
- Report Sheet
- Business Calendar sheet
- FX Rates sheet
- Field sheets that are named for their respective fields
Report Sheet
The Report Sheet is a replica of your Performance Analysis results and is sorted and grouped the same way as the normal Performance Analysis report. The column headers of the Report Sheet are hyperlinked and take you to the top of the Field Parameters section of each field sheet. The results are also hyperlinked to take you to the Inputs section of each field sheet, which contains the underlying data of that particular field and node. See the following figure.
Business Calendar Sheet
The Business Calendar sheet can display one or more business calendars used to generate the report results. The report can use the Eagle PACE Business Calendar (source 4) and/or entity level business calendars associated with portfolios and their benchmarks.
The top section of the Business Calendar sheet identifies each business calendar used in the report, listing the data source with a title of Source, along with each of the report entities that used that business calendar source. The Business Days section of the sheet identifies the calendar dates retrieved for the report, and shows Date, Daily Flag, Weekly Flag, Monthly Flag, Quarterly Flag, and Year End Flag columns. The letter Y identifies whether a date is flagged as a business day for the period. See the following figure.
For more information, see Perform Business Calendar Checks.
FX Rates Sheet
The FX Rates worksheet provides FX rate data and is available when you enable currency conversion in the report.
This worksheet shows FX rate data for two general types of currency conversion. It shows currency conversion that occurs when you configure the "on the fly" currency conversion options in the report profile's Select the Currency tab. It also shows currency conversion that occurs when you run Dynamic Performance reports with recursive portfolio look through. If the currencies of the parent portfolio and underlying holdings differ, the report uses Eagle's standard FX conversion logic to convert the look-through holdings to the base currency of the parent portfolio.
The worksheet classifies FX rates into three categories. The first category identifies rates used in Performance Analysis (PA), Performance Link Analysis (PLA), and Performance Risk Analysis fields. The second category identifies rates used in portfolio look through. The third category shows conversion that occurs in Equity Attribution reporting when you perform equity style attribution analysis for multicurrency portfolios using Performance Attribution Group fields.
The FX Rates field sheet includes the following sections:
A breakdown of the worksheet by each of its sections follows.
Currency Conversion Parameters Section
The Currency Conversion Parameters section displays the parameters and sources related to currency conversion used when you ran the Performance Analysis report profile. If you submitted the report using the Submit with Override option, it displays the values used for the Override. See the following figure.
For general information about the options in the Select the Currency tab, refer to "Converting Returns From One Base Currency to Another."
The following table describes each item in this section.
Item | Description |
|---|---|
FX Rate Source(s) | Displays each FX Rate source specified in the underlying Source Rule when you submitted the report. |
Convert benchmark to portfolio base currency | Identifies how you set the Convert benchmark to portfolio base currency check box in the Select the Currency tab when you submitted the report. Displays a value of:
|
First Alternate Currency | Identifies how you set the First Alternate Currency field in the Select the Currency tab when you submitted the report. If you specified a value for that field, it displays the Currency Code of the selected currency. Otherwise, if you specified no value for that field, this item appears blank. |
Second Alternate Currency | Identifies how you set the Second Alternate Currency field in the Select the Currency tab when you submitted the report. If you specified a value for that field, it displays the Currency Code of the selected currency. Otherwise, if you specified no value for that field, this item appears blank. |
How would you like to fetch your foreign exchange rates? | Identifies how you set the How would you like to fetch your foreign exchange rates? field in the Select the Currency tab when you submitted the report. This field determines how to handle missing exchange rates. Indicates whether you set that field to:
|
Override Currency conversion, if an entity family member exists? | Identifies how you set the Override Currency conversion if an entity family member exists check box in the Select the Currency tab when you submitted the report. Displays a value of:
|
Cross Currency Calculation | Identifies whether you configured the system for cross currency calculations, along with the currency code used for FX cross rate calculations. Displays either:
|
Entity Base Currency Section
The Entity Base Currency section lists the entity type and Entity ID (in parenthesis) of each entity used in the report. See the following figure. This includes the profile portfolio and any benchmarks. In cases where you are performing portfolio "look through," this section lists the profile portfolio and any benchmarks followed by the underlying "look through" portfolios. For each entity it displays the entity's base currency and an effective date. If you enable Entity History for the report profile, it shows the date when the base currency became effective for the entity. Otherwise, if you do not enable Entity History for the report profile, it shows the report effective date.
The three columns to the right identify the type of FX conversion performed for the entity. The PA/PLA/Risk column identifies currency conversion required for Performance Analysis, Performance Link Analysis, and/or Performance Risk Analysis fields. The Equity Attribution column identifies currency conversion for equity style attribution analysis for multicurrency portfolios using Performance Attribution Group fields. The Dynamic PA Look Through column identifies conversion for Dynamic Performance Analysis reports with recursive portfolio look through to convert the look-through holdings to the base currency of the parent portfolio.
Errors and Warnings Section
The Errors and Warnings section displays any error messages or warnings related to currency conversion for the report. See the following figure.
Inputs Section
The Inputs section displays all FX Rate data values used in the generation of the report results. FX Rates appear in order of From Security, To Security, and then Effective Date. See the following figure.
Each line in this section provides information about an FX rate used in the report. The following table describes each column in this section.
Item | Description |
|---|---|
From Security | The Primary Asset ID of the cash security you are converting from. |
To Security | The Primary Asset ID of the cash security you are converting to. |
Effective Date | The effective date of the FX rate. |
Source | The source interface instance of the FX rate. |
Spot Rate | The spot rate of the FX rate. |
From Security Alias | The security alias of the cash security you are converting from. |
To Security Alias | The security alias of the cash security you are converting to. |
PA/PLA/Risk | Identifies rates used to convert currency for a Performance Analysis (PA) Performance Link Analysis (PLA), and/or Performance Risk Analysis (Risk) field attribute. (Y/N) |
Equity Attribution | Identifies rates used to convert currency for Equity Attribution using a Performance Attribution Group field attribute. (Y/N) |
Dynamic PA Look Through | Identifies rates used to convert underlying positions of a "look through" security. (Y/N) |
Field Sheets
Most fields in your EagleEye Analysis have unique field sheets. Equity Attribution Group fields and Global Attribution Group fields are the exception. Attribution Group fields all share one field sheet and are all linked from the Report Sheet to that same field sheet. Each field sheet consists of five sections:
- Report Parameters
- Field Parameters
- Analysis Highlights
- Errors and Warnings
- Inputs
EagleEye Analysis works for the following field types:
- Performance Analysis
- Performance Link Analysis
- Performance Risk Analysis
- Performance IRR Analysis
- Equity Attribution (one worksheet per Group)
- Global Attribution (one worksheet per Group)
A breakdown of the field worksheet by each of its five sections follows.
Report Parameters Section
The Report Parameters section displays the parameters of the Performance Analysis report profile run. If the report is run in dynamic mode, the Performance Model parameter displays Dynamic otherwise it displays the Performance Model name. See the following figure.
Field Parameters Section
The Field Parameters section in the following figure displays all the parameters for that field. These include the Begin Date and End Date of the data used, if the Use Business Calendar check is on, as well as the underlying performance fields and their database column name. The type of field you select and the options you select for that field determine the Field Parameters section's contents.
Analysis Highlights Section
The Analysis Highlights section displays the highest and lowest five values from all grouping levels, as well any null values for all the input fields. For the highest and lowest five values, the actual value displays while for the null values, the effective date displays. All the Highlights are hyperlinked to the actual value within the Inputs section. See the following figure.
Errors and Warnings Section
The Errors and Warnings section displays any errors produced during the generation of that field's results. See the following figure.
Inputs Section
The Inputs section displays all data values used in the generation of the report results. The Inputs section contains the columns: Group, Rollup Returns ID, Security Alias, End Effective Date, Source, Frequency, Status (Preliminary or Final) and the input columns (specified in the Field Parameters section in the previous figure). Rolled up returns are first sorted by Rollup Returns ID, followed by Security level returns which are sorted by Security Alias. See the following figure.
Add Comment