You can use the Performance Calculation report to calculate and commit daily performance data, and use a second Performance Calculation report to calculate and commit monthly performance data by linking together the daily returns. The Performance Calculation report uses the daily data stored in the PERFORM database, just as the Performance Analysis report does.
This approach has several advantages over other monthly approaches, because it allows you to create monthly records down to the security level whether or not positions and cash activity for all entities in the report are available. You can use this approach under the following scenarios:

• Benchmarks Below Total Level. Calculations below the Total level for benchmarks (entity type of INDX), even when holdings information for benchmarks is not available. You can load benchmark performance data at the security level, and maintain it to reflect any security/sector changes.
• Blended Custom Benchmarks. Security level calculations for blended type custom benchmarks (entity type of CIDX), even when no holdings information for benchmark entities is available. For example, you build a Custom Blended Benchmark down to the security level for every business day during the month. You need to create monthly records to use as the input into a risk statistic that uses monthly observations.
• Months that Start and End on Weekends. Assume you create monthly records from daily records down to the security level. One month has both a weekend start date and a weekend stop date. Calculating monthly returns allows you to link daily data successfully.

After you use the Performance Calculation report to calculate and commit daily and monthly returns, an underlying daily return can change. You can set up the Process Manager to automatically update the monthly records to reflect ongoing changes to the underlying daily records.

Create a Performance Only Source Rule for a Monthly from Daily Report

When you calculate monthly returns from daily returns, you configure the Performance Calculation report profile to run in "Performance Only" mode. Performance Only mode indicates that the Monthly report profile uses a Performance type source rule to retrieve the data.
The Performance source is the source that Eagle Performance uses when it commits performance data, such as Eagle PACE. If you switch a Performance Calculation report for use from a Daily report to a Monthly report, 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.
In order to switch a Performance Calculation report from a Daily report to a Monthly report, you must use a source rule that specifies only a source for Performance data. The Performance Calculation report uses the daily data stored in the PERFORM database, just as the Performance Analysis report does.
An example of a Performance type source rule used in a Monthly from Daily report follows. See the following figure. For detailed instructions on using this source rule in a report, see "Creating a Monthly from Daily Report."

Source Rule with a Performance Type

Define Fields for a Monthly from Daily Report

You can use the following field types in a Performance Calculation report to calculate monthly from daily performance data when you run the report:

• Performance Analysis
• Performance Link Analysis
• Performance Risk Analysis

The report always retrieves entity fields, even if you do not process performance data at the security level. You can use security fields only if the report processes performance data at the security level.
The rest of this section provides several useful performance values that you can include in a Performance Calculation report rule used for month to date performance calculation and reporting. For detailed information about setting up Performance Analysis, Performance Link Analysis, and Performance Risk Analysis fields, see the Performance Analysis and Reporting User Guide.

Daily and Monthly Return Examples

An example of a monthly return calculation follows. Daily Report Return Calculation Compared to Monthly Report Return Calculation shows a sample daily return calculation used in the Daily report on the left and the corresponding monthly return calculation used in the Monthly report on the right. The Daily report uses a Performance Analysis field to retrieve a gross return. The Monthly report uses a month to date Performance Link Analysis field to calculate the corresponding month to date value.

Daily Report Return Calculation Compared to Monthly Report Return Calculation

Month to Date Return Field Example

You can link daily returns for your month to date return using a Performance Link Analysis field that includes the predefined Month to Date date rule and the Performance Analysis return field. See the sample field shown in the following figure.

Month to Date Return - PLA Field Example

Beginning Market Value Field Example

You can pull the beginning market value for the month using a Performance Link Analysis field that includes a custom date rule and a Performance Analysis field that uses the End Value effect. See the sample field shown in the following figures.

Beginning Market Value - PLA Field Example and Date Rule

Ending Market Value Field Example

You can pull the ending market value for the month to date period using a Performance Link Analysis field that includes a custom date rule and a Performance Analysis field that uses the End Value effect. See the sample field shown in the following figure.

Ending Market Value - PLA Field Example and Date Rule

Month to Date Cash Flows Field Example

You can show the total month to date cash flows using a Performance Risk Analysis field that uses the Sum function, the predefined Month to Date time period, and your Performance cash flow field. See the sample field shown in the following figure.

Month to Date Cash Flows - PRA Field Example

Month to Date Gain Loss Field Example

You can show the total month to date gain/loss using a Performance Risk Analysis field that uses the Sum function, the predefined Month to Date time period, and your Performance gain/loss field. See the sample field shown in the following figure.

Month to Date Gain Loss - PRA Field Example

Month to Date Investment Base Field Example

You can show the average month to date investment base using a Performance Risk Analysis field that uses the Cumulative Mean Return function, the predefined Month to Date time period, and your Performance Investment Base field. See the sample field shown in the following figure.

Month to Date Investment Base - PRA Field Example

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.

Performance Calculation Report Profile Step 1 Dialog Box

1. 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.

Report Profile Step 1 Dialog Box - Rules Options

1. 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.

1. 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.
2. 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. See the following figure.

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.

Source Rule with a Performance Type

1. Click Next to display the Step 2 dialog box for the monthly report profile. See the following figure.

Performance Calculation Report Profile Step 1 Dialog Box - Security Commit Options

1. 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.

1. 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.

Work with Report Rule Overrides

The Creating a Monthly Report from a Daily Report methodology described in the previous section provides an example where you configure a Performance Calculation report profile with an underlying report rule, and then override components of that report rule by specifying an override field rule and/or override source rule.
After you configure a Performance Calculation report profile to override the report rule's field rule and/or source rule, PACE reporting provides several cues that make it easier to identify the overrides you applied.

Identifying Report Rule Overrides when Editing Report Profiles

In PACE reporting, when you review report profiles in the Reports tab, Eagle allows you to expand and collapse those report profiles to identify the components that comprise the report rule, that is, the field rule, source rule, and grouping rule. When an override is present, Eagle displays the override Field Rule and/or override Source Rule in place of the underlying Report Rule's original Field Rule and Source Rule. Eagle additionally displays the letter, O to the right of the:

• F above the Field Rule ruler icon to identify use of a field rule override for the report rule.
• S above the Source Rule ruler icon to identify use of a source rule override for the report rule.

An example is shown in the following figure.

An "O" Indicates an Override for the Field Rule and/or Source Rule

Editing Report Rule Override Components in Report Results

When you open the report results for Performance Calculation reports after you applied a Field Rule Override and/or Source Rule Override to the report profile, you can open and edit the override Field Rule and/or override Source Rule, rather than editing the underlying Report Rule's original Field Rule and Source Rule.
You can select the Edit Field Rule Override option and the Edit Source Rule Override option from the Edit icon in the Results toolbar for this purpose.
An example is shown in the following figure.

Editing Field Rule and Source Rule Overrides to the Underlying Report Rule