Configure the Performance Analysis Report

Once data has been committed to the PERFORM database using the Performance Calculation report, you can use the Performance Analysis report to link the returns and calculate various statistics.

The Performance Analysis report is used to calculate multi-period returns. A multi-period return measures the rate of return over longer time periods, such as quarter-to-date, year-to-date, inception-to-date, and other time periods. You can calculate returns across valuation dates by compounding the single period returns into cumulative returns. The returns are often presented as an average of the single-period returns over the period. In addition, you can take the single-period returns and derive measures of risk and risk-adjusted return.

Report Multi-Period Performance Statistics

The report works the same way as position, trade, and other Eagle PACE OLAP reports in that it uses source, grouping, and field rules to determine what goes on the report and, once the report is run, allows you to drill down into the fund to the stock level to analyze prices, analytics and other data stored in the PACE database.

First, you create a Performance Analysis report. Then, you follow up with some notes about the field types you want to display on the report.

An example of a report you can create is shown in the following figure.

This report shows the returns and weights for a fund and benchmark and the contributions to return from the individual sectors to the fund return.

Report Setup

An overview of the steps for creating a Performance Analysis report follows:

1. Set the grouping rule.
2. Set the source rule.
3. Set the field rule.
   Create the Performance Analysis, if required create the new Performance Link Analysis, and Performance Risk Analysis fields you need.
4. Create and submit a report profile.