About Dynamic Performance

In previous chapters, you learned how to use Eagle Performance to analyze single period returns that are calculated and committed or loaded to any performance model with up to eight (8) groupings down to the security level. Using the Performance Analysis report, these single period returns are retrieved and used to calculate longer multi-period returns, risk statistics, and attribution.

However, there are times when you want to do analysis using a grouping for which you have not already calculated and committed returns. Dynamic Aggregated Performance Analysis allows you to aggregate single period security level performance in any grouping by changing the grouping fields in the Performance Analysis report.

In addition, all the multi-period performance, risk, and attribution capability available in the Performance Analysis report is available with Dynamic Performance. This allows you to do what-if analysis without re-running and committing historical performance for the grouping in a new Performance Model.

Since Dynamic Performance can aggregate security level performance into any new grouping, it also has the ability to "look through" a compound instrument, such as an Exchange Traded Fund, into its constituents. These constituents are then aggregated to the dynamic grouping to see a true exposure.

Eagle Performance provides the option to dynamically group S (Single Position) and SS (Position by Strategy). However, dynamic grouping is not possible with SP security type since the returns are tied to a dictionary.

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How Dynamic Performance Works

Using the Performance Analysis report, Dynamic Performance retrieves single period security level data, aggregates the data to specified levels, calculates data at those levels, and passes that data into existing Performance analysis processes including linking, risk, and attribution. The flow chart in the following figure illustrates the process.

Dynamic Performance Flow Chart

Invoke the Dynamic Mode

The Dynamic Performance mode is started anytime the Performance Analysis Grouping Rule does NOT contain a Performance Model.

The following figure shows an example of a standard Performance Analysis report grouped by the Entity ID field and an Asset Class Performance Model.

Performance Analysis Report Grouped by the Entity ID field and an Asset Class Performance Model

The same report can run in dynamic mode by changing the grouping to be by the Entity ID field and then the Investment Type security field, as shown in the following figure.

Report in Dynamic Mode

Dynamic Security Level Fetch

In dynamic mode, the Performance Analysis report replaces the main total/rollup/security performance fetch with just a security level performance fetch. Data from the PERF_SEC_ROLLUP_RELATION table is not required and that fetch is bypassed as well.

In addition to fetching security level performance data, any security field attributes in the Performance Analysis Grouping Rule are fetched and joined to the security level information. If a Security Source is specified in the Performance Analysis Source Rule, each attribute will be joined based on Security Alias and the END_EFFECTIVE_DATE of the performance record.

If a Security Source is not specified, each attribute will be joined based on Security Alias from the current security definition (not historically).

Entity attributes can also be used in the Grouping Rule. If you enable the Use entity history option in the Performance Analysis profile, each attribute is joined based on Entity ID and the END_EFFECTIVE_DATE of the performance record. If Use entity history is disabled, each attribute is joined based on Entity ID from the current entity definition (not historic).

Exceptions include the inception and termination dates which are never retrieved historically.