First, create a new Performance Analysis Report Rule and set the grouping rule and source rules, as shown in the following figure. The grouping rule for a Performance Analysis report should always include an entity field like entity name, followed by a performance model.
The performance models determine how the returns are presented. For example, the performance model used in the sample report shown in the following figure reports performance according to the GICS classification scheme. Double-click the model name to view the drill-down levels.
The performance model determines the grouping. You do not have to select security master fields to create the grouping structure. The report extracts the single-period returns for each level from the database. They are not calculated by the report while it is running. The report takes the single-period returns and derives multi-period returns like the month to date, 1-year, or inception to date return.
The fields that you use to create these returns are Performance Analysis and Performance Link Analysis fields. The Performance Analysis fields are single-period fields that point to the returns stored in the PERF_SEC_RETURNS table in the PERFORM database, and the Performance Link Analysis fields link the Performance Analysis fields together over multiple periods.
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Use Entity Hierarchies in Performance Analysis Reports
You can use an Entity Hierarchy field in the Grouping Rule of a Performance Analysis report to analyze composites of portfolios or composites of composites of portfolios. Using entity hierarchies in Performance Analysis reports is helpful for:
GIPS Composite analyses (Composite-of-Composite)
Firm analyses
Multi-manager attribution analyses
For example, it is common for Eagle Performance clients to create and calculate performance for Performance Composites (ACOMs) that include other ACOMs as constituent members. This entity structure is commonly referred to as a Composite-of-Composites. Furthermore, the ACOM constituent members within the composite can include multiple constituents which can include another composite and/or a portfolio and so on.
You can use the Entity Hierarchy functionality in Performance Analysis reports to drill through the top level composite to the position level performance of the portfolio constituents. The following figure demonstrates the hierarchy for a typical Composite-of-Composites structure.
Define an Entity Hierarchy
To define an Entity Hierarchy for use in a Performance Analysis report:
Create Hierarchy Levels by setting up Code Values within Codes (ELEVEL - iEntity Level) under the Eagle PACE source. If you are creating entity levels for more than one use (such as composite-of-composite analysis, firm analysis, and multi-manager attribution analysis), Eagle recommends that you choose generic names for the levels. For example, Level 1, Level 2.
In the prior example, the two levels required are Total Level Composite ('ACOM') and Constituent Composite Member (ACOM Constituent 1 and 2). In the following figure, the Code Values represent the level numbers of each composite in the structure.
Create Custom Entity Hierarchy Field Attributes that reference each of the Hierarchy Levels, as shown in the following figure. Additionally, as shown in the following figure, the field that the Entity Hierarchy Fields should be based on is Entity ID.
If you are creating field attributes for more than one use (such as composite-of-composite analysis, firm analysis, and multi-manager attribution analysis), you can choose analysis-related names for the field attributes. For example, Plan, Strategy.
Use Entity Hierarchy Fields in Grouping Rules
Once you create the Entity Hierarchy fields, you can use them in the Grouping Rule of Performance Analysis reports. To provide the necessary drilldown capabilities on Performance Analysis reports, the Grouping Rule functionality supports the same Entity Hierarchy functionality supported on other reports such as Cash Activity, Cash Balance, Ledger Activity, Lot Level Positions, Positions, and Trade Reports.
By leveraging this functionality and joining it with the appropriate Performance Calculation Rule, you can create the required hierarchy structure and generate Performance Analysis reports with the desired drilldown capabilities.
In the following, the total number of levels is three (Total Level Composite, Composite Constituent, and Portfolio Constituent). Building on that example, the Grouping Rule displayed in the following figure, is created with each of the levels in the hierarchy followed by the Performance Model (shown in the following figure).
Now, based on the Grouping Rule displayed in the previous figure the report displays the report hierarchy and the output results on a Performance Analysis Report shown in the following figure.
This methodology also supports cases where the same entity exists as a constituent within multiple composites. Additionally, it supports cases where multiple composites selected with different hierarchy levels can be displayed accurately in the same report.
Use an Optional Hierarchy View in Performance Analysis
The entity hierarchy functionality in Performance Analysis reports also supports the ability to view a total level composite with all of the underlying data rolled up based on the Performance Model.
To enable this, create a Custom Entity Hierarchy Field attribute that references Submitted Entity (internal field). Additionally, select the field that the Entity Hierarchy Field should be based on. As shown in the following figure, this is the Entity ID.
Once you create the Entity Hierarchy Field with Submitted Entity is created, you can use it in conjunction with a Performance Model in the Grouping Rule of Performance Analysis reports. In the following figure displays the report hierarchy and the output results on a Performance Analysis report using Submitted Entity.
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