Create a Monthly from Daily Report

When you use the Performance Calculation report to create monthly performance data from daily performance data, the system reads the daily performance data, links it, and commits the monthly data to the database. It uses a Performance type source rule to retrieve the data. This is a source rule that specifies use of only a source for Performance data, so the report runs in "Performance Only" mode.

To calculate monthly performance data from daily data:

1. Create a Performance Calculation report profile to use for calculating monthly data.
   To do so, you can copy the report profile you use to calculate daily returns, and then edit the copy. For example, create a Daily report profile to calculate daily returns and Monthly report profile to calculate monthly returns. See the following figure.
   
2. 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.
   
3. In the Report Rules area, select the same report rule that you use to calculate daily performance data.
   The underlying report rule requires a grouping rule that matches the performance model used for the daily data. You typically map the committed monthly data to the same PERFORM database column where you store the corresponding daily data. The system uses the Daily/Monthly frequency to differentiate the daily from monthly results.
4. 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.
   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.
   The Performance source is the source that Eagle Performance uses when it commits performance data, such as Eagle PACE. It is likely that the underlying source rule for the daily Performance Calculation report has both position and cash activity sources specified. If you use that underlying source rule, the system processes data below the Total level based on securities held in positions and cash activity and cannot process data below the Total level for entities with no holdings, such as benchmarks and custom benchmarks.
   
   
5. Click Next to display the Step 2 dialog box for the monthly report profile. See the following figure.
   
6. 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.
7. Continue to configure the report profile.

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.