You can use the Composite Analysis report to analyze composite performance and dispersion. This report calculates composite, constituent, and comparison benchmark:

• Rolling and fixed period returns, such as return for the last month, year-to-date, last year, 2-years ago, 3-years ago, and since-inception.
• Asset- and Equal-weighted composite dispersion and membership statistics over these periods.

Use the Composite Analysis Report

There are several ways in which you can view Composite Analysis report results:

• Default View. Displays Composite Performance Analysis field statistics as rows and date ranges as columns.
• Group Results by Date Range (SHIFT) View. Displays date ranges as rows and Composite Performance Analysis field statistics as columns.
• Group Results by Composite View. Displays composites/entities as rows and date range/statistics as columns. For more information, see Delivering Composite Analysis Report Results to Data Mart.

The primary report is used to report the performance of a GIPS composite over time. It can also be used to calculate relative ranking of a portfolio within a performance universe. See the following figure.

Composite Analysis Report (Default View)
You can instead double-click the columns to view the geometric linked returns and market values for the composite constituent portfolios that were used to calculate the composite membership, dispersion and return statistics. See the following figure.

Composite Statistic Details
You can display all of the composite statistics on one page by pressing the SHIFT key when you open the report. See the following figure. This is called the Core PACE OLAP view, or SHIFT view.

Composite Analysis Report (SHIFT view)

Create a Composite Analysis Report Profile

The first page of the report profile contains options for selecting the composites, reporting periods and other parameters used to run the report. See the following figure.

Composite Analysis Report Profile - Page 1
Options for the report profile are described in the following table.

The second page of the report profile includes scheduling option and report options, most of which are standard for PACE reports. See the following figure.

Composite Analysis Report Profile - Page 2
The Group results by composite instead of date option applies only to the Composite Analysis report. You must select this option if you are delivering the report results to Data Mart. If your report uses date ranges defined at the Composite Performance Analysis field level, you can select this option to view results in the Group Results by Composite viewing format. For more information, see Delivering Composite Analysis Report Results to Data Mart.

Composite Analysis Report Fields

The following table lists the Dispersion Calculation fields that are currently available in the Composite Analysis report.

These fields will, on the fly, identify the Composite's constituents for each time period selected in the report, fetch the applicable Performance data inputs of the constituents' and calculate the result. With the enumerate composites option, the Composite's constituents used in the calculation will be the final constituent entity list that is derived by drilling through to the lowest level of the composite entity structure as illustrated earlier. If the enumerate composites option is not selected, then Composite's direct constituents at the top-level are used.
In accordance with GIPS, the evaluation of the Composite's constituent list is done on each time period individually, with the rule being to only include those constituents that were in the Composite for the entire time period. This is the main reason these calculations are done on the fly and the stored Composite sub-period data is not simply chain-linked and used.

Asset-Weighted Standard Deviation Statistic

This section includes a sample calculation of the asset-weighted standard deviation statistic.
For the Annual period, January 1 – December 31, 2001 the following steps are done in processing this statistic:

1. Get the list of member constituents that were in the Composite this entire period. The constituents must be in the composite with a start date <= 1/01/2001 and either a Null stop date or a stop date > 12/31/2001. See the enumeration sample table in "Enumeration Rules" for how constituents are determined.
2. Using the mapped weighting field and return field, calculate on the fly, the Asset Weighted Composite return for the period 1/01/2001-12/31/2001.
3. For each constituent, gather the sub-period returns for the period and link them to derive a multiperiod return for each constituent.
4. For each constituent, gather the weight value as of the beginning of the period (In this example, the weight value will be pulled for the 12/31/2000 end effective date record on PERF_SEC_RETURNS).
5. Calculate the Composite Asset Weighted Return for the period using the results from a and b.
6. Using the calculated Composite Weighted return and the linked constituent returns as inputs, calculate the Asset Weighted Standard Deviation.

In addition to the above, the field types listed in the following table are also available in this report.

Composite Analysis Statistics

The following table is an overview of each field you can configure and include in Composite Analysis reports. Any field that requires constituent data is affected by the Enumerate Composite feature (denoted with an asterisk below). For those fields, if the Enumerate Composite option:

• Is selected, then process looks through to the lowest level in the composite entity structure and uses the final constituent entity list in doing the calculations.
• Is not selected, it looks up the composite's direct constituents at the top level as stored on the ENTITY_RANGE_DETAILS table.

  Composite Analysis Report Field	Description of Field Process	Data Inputs
  Asset Weighted Return*	This field gathers the returns and weights of the constituents in the composite for each time period and calculates, on the fly, linked constituents' returns and then uses them in calculating an asset weighted composite return.	Performance Field Attributes where the return and weight data of the constituents' is stored
  Asset Weighted Standard Deviation*	This field gathers the returns and weights of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns, an asset weighted composite return and then uses them in calculating the Asset Weighted Standard Deviation.	Performance Field Attributes where the return and weight data of the constituents' is stored
  Begin Benchmark Value	This field fetches non-return Benchmark data from PERF_SEC_RETURNS, such as Market Value, as of the Beginning of each time period in the report for the Composite's assigned benchmarks.	Performance Field Attribute where the Benchmark data is stored and the Benchmark entity info (primary, secondary, and so on)
  Begin Composite Data	This field fetches non-return Composite data from PERF_SEC_RETURNS, such as Market Value, as of the Beginning of each time period in the report.	Performance Field Attribute where the Composite data is stored
  Begin Value*	This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the beginning of the time period and calculates, on the fly, the Composite value by summing the constituent's values.	Performance Field Attribute where the constituent data is stored
  Benchmark Name	This field fetches the benchmark name from the ENTITY table for the Composite's assigned benchmarks.	Entity field attribute where the benchmark name is stored and the Benchmark Entity info (primary, secondary, and so on)
  Benchmark Return	This field fetches the benchmark's return data and links it for each time period in the report for the Composite's assigned benchmarks. For a sample field and setup options for linking benchmark assignments, see the GIPS Composite Management Configuration Guide.	Performance Field Attribute where the Benchmark return is stored and the Benchmark entity info (primary, secondary, and so on)
  Benchmark Value	This field fetches non-return Benchmark data from PERF_SEC_RETURNS, such as Market Value, as of the End of each time period in the report for the Composite's assigned benchmarks.	Performance Field Attribute where the Benchmark data is stored and the Benchmark entity info (primary, secondary, and so on)
  Best Quartile/Decile/ Percentile	This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns and then uses them in calculating the Best Quartile/Decile/Percentile for each time period.	Performance Field Attributes where the return data of the constituents' is stored.
  Composite Data	This field fetches non-return Composite data from PERF_SEC_RETURNS, such as Market Value, as of the End of each time period in the report.	Performance Field Attribute where the Composite data is stored
  Composite Return	This field fetches the Composite's return data from PERF_SEC_RETURNS and links it for each time period in the report.	Performance Field Attribute where the Composite return data is stored
  End Value	This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the end of the time period and calculates, on the fly, the Composite value by summing the constituent's values.	Performance Field Attribute where the Constituent data is stored
  Equal Weighted Return	This field gathers the returns of the constituents in the composite for each time period and calculates, on the fly, linked constituents' returns that are then used to derive an equal weighted (mean) composite return.	Performance Field Attributes where the return data of the constituents' is stored.
  Equal Weighted Standard Deviation	This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns, an equal weighted composite return and then uses them in calculating the Equal Weighted Standard Deviation for each time period.	Performance Field Attributes where the return and weight data of the constituents' is stored
  Firm Assets	This field retrieves the Firm Assets amount for the Firm associated with the composite. If you report on Firm AUM based on:

• Performance data, this field identifies the Firm associated with the composite and retrieves the Firm Assets amount stored historically for the related Firm in the Performance tables.
  
• Entity data, this field identifies the Firm associated with the composite and retrieves the Firm Assets amount stored historically for the related Firm in the ENTITY or ENTITY_EXTENSION table.
  
• Client data, this field identifies the Firm associated with the composite and retrieves the Firm Assets amount stored for the related Firm in the CLIENT table.
  For more information, see Reporting on Firm AUM" in the GIPS Composite Management Configuration Guide. |Entity Field Attribute that stores the Firm associated with the constituent composite
  Performance Field Attribute Entity Field Attribute, or Client Detail Field Attribute where you store the Firm's Firm Assets amount|

  Highest Begin Value	This field gathers the non-return values, such as Market Value, of the constituents in the composite for each time period, as of the begin of the time period and reports the Highest value.	Performance Field Attribute where the constituent data is stored
  Highest Return	This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns that are then used to derive and report the Highest return value.	Performance Field Attribute where the constituent return data is stored
  Highest Value	This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the end of the time period and reports the Highest value.	Performance Field Attribute where the constituent data is stored
  Lowest Begin Value	This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the begin of the time period and reports the Lowest value.	Performance Field Attribute where the constituent data is stored
  Lowest Return	This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns that are then used to derive and report the Lowest return value.	Performance Field Attribute where the constituent return data is stored
  Lowest Value	This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the end of the time period and reports the Lowest value.	Performance Field Attribute where the constituent data is stored
  Mean Begin Value	This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the begin of the time period and reports the Mean value.	Performance Field Attribute where the constituent data is stored
  Mean Value	This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the end of the time period and reports the Mean value.	Performance Field Attribute where the constituent data is stored
  Median Begin Value	This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the begin of the time period and reports the Median value.	Performance Field Attribute where the constituent data is stored
  Median Return	This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns that are then used to derive and report the Median return value.	Performance Field Attribute where the constituent return data is stored
  Median Value	This field gathers the non-returns values, such as Market Value, of the constituents in the composite for each time period, as of the end of the time period and reports the Median value.	Performance Field Attribute where the constituent detail is stored
  Percentage of Firm Assets	This field calculates the Composite % of Firm Assets for the composite. If you report on Firm AUM based on:

• Performance data, this field identifies the Firm associated with the composite, retrieves the Firm Assets amount stored historically for the related Firm in the Performance tables, and retrieves the Composite Market Value stored in the Performance tables.
  
• Entity data, this field identifies the Firm associated with the composite, retrieves the Firm Assets amount stored historically for the related Firm in the ENTITY or ENTITY_EXTENSION table, and retrieves the Composite Market Value stored in the Performance tables.
  
• Client data, this field identifies the Firm associated with the composite, retrieves the Firm Assets amount stored for the related Firm in the CLIENT table, and retrieves the Composite Market Value stored in the Performance tables.
  For more information, see Reporting on Firm AUM" in the GIPS Composite Management Configuration Guide.|Entity Field Attribute that stores the Firm associated with the composite
  Performance Field Attribute Entity Field Attribute, or Client Detail Field Attribute where you store the Firm's Firm Assets amount
  Performance Field Attribute where you store the composite data|

  Portfolios Added	This field calculates the number of constituents that were added to the composite during each time period.	None
  Portfolios at Begin of Period	This field calculates the number of constituents that were in the composite as of the beginning of each time period.	None
  Portfolios at End of Period	This field calculates the number of constituents that were in the composite as of the end of each time period.	None
  Portfolios in Period	This field calculates the number of constituents that were in the composite for the entire time period.	None
  Portfolios Removed	This field calculates the number of constituents that were removed from the composite during each time period.	None
  Quartile Dollar Dispersion (Best)	This field gathers the weights and returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns and then uses them in calculating the Best Quartile Dollar Dispersion for each time period.	Performance Field Attributes where the return and weight data of the constituents is stored
  Quartile Dollar Dispersion (Worst)	This field gathers the weights and returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns and then uses them in calculating the Worst Quartile Dollar Dispersion for each time period.	Performance Field Attributes where the return and weight data of the constituents is stored
  Worst Quartile/Decile/ Percentile	This field gathers the returns of the constituents in the composite for each time period, calculates, on the fly, linked constituents' returns and then uses them in calculating the Worst Quartile/Decile/Percentile for each time period.	Performance Field Attributes where the return data of the constituents is stored

  
  

  Define the Time Periods in a Composite Analysis Report

  A Composite Analysis report may contain multiple time periods. The time periods in the report also can be customized. Time periods are configured by creating custom Date Rules under the Report Component Rules tab in the Report Studio and appear as columns in the report results. The date rules are selected in the Date Range section of the Composite Analysis report profile as a parameter when configuring the report.
  Note that when creating Date Rules for use with a Composite Analysis Report, the start date should be adjusted to a month start so that the start date is always the 1st day in the period you are configuring. If you use the month end as a start date, you may not get accurate results for the portfolios in the composite for the period.
  For example, constituent Portfolio A enters the composite on 8/01/2000. If Composite Dispersion is run for the monthly period of August 2000, the start date of the date rule must be 8/01/2000, not 7/31/2000, to ensure that Portfolio A is included. With a start date of 7/31/2000, Portfolio A will not be included in the results because it did not belong to the composite on 7/31/2000.
  The enumerate composites feature uses the same logic in determining member constituents for the composites of composites entity structure regardless of which level of the composite entity structure the ACOM entity type resides.
  The core internal date rules listed in the following table come with the product. You can add additional custom date rules at will.

  Prior Month	Current Month to Date
  Quarter to Date	Current Year to Date
  Prior Quarter	2 Quarters Back
  3 Quarters Back	4 Quarters Back
  Annual–1 yr ago	Annual–2 yrs ago
  Annual–3 yrs ago	Annual–4 yrs ago
  Annual–5 yrs ago	Since Inception

  Calculate Results if Data is Missing

  This section describes the Do you want to calculate missing data? option in the Composite Analysis report profile, as described in "Analyzing Composite Dispersion and Membership.
  By default, the report only queries the database for returns and market values for the constituent portfolios defined to be in the composite for the entire calculation period represented by each column of the report. If there is missing data for any one of these underlying portfolios, then the report returns an N/A in the cell for this statistic in the report. Missing data means, for example, that the returns and market values for only 2 of 3 portfolios required for calculating the composite statistics are in the database.
  You can override this option by selecting Yes to the Do you want to calculate if data is missing option? question at the bottom of the profile. The purpose of this option is to allow you to begin viewing composite results on a Preliminary basis, even though the returns for all of the constituent entities might not all be calculated. You can create two different reports, one with the option set to Yes and another to No, in order to monitor the status of the constituent portfolio data.
  The composite statistics are calculated as shown in the following table for each option.

  Statistic	Do Not Calculate if Missing Data	Calculate if Missing Data
  For many of the Composite Dispersion statistics, the program must first calculate a geometric linked return for each constituent portfolio over the period represented by the column.	If at least one required return is not available for a member entity for the date period, then that entity's linked return result will be N/A and any statistics depending on that linked return result will also return N/A.	If returns are available for any of the portfolios over any of the single-periods, they will be linked and returned.
  Many Composite Dispersion statistics require a weighting factor in the calculation.	Return an N/A for the statistic result.	The entity will be excluded entirely from the statistic calculation and a result based on the other member entities will be calculated. This only affects the statistic fields requiring a weighting factor and will be mutually exclusive of other statistics that do not require weights in their calculation. Those other fields will still include the entities where appropriate (that is high return will still include the entity if the return data is available).
  If a Composite Dispersion statistic requires a return value for each member entity and it is a single period date rule and at least one member entity is missing a return value for the period	Return an N/A for the statistic result.	The entity will be excluded entirely from the statistic calculation and a result based on the other member entities will be calculated. This only affects the statistic fields requiring a return value and will be mutually exclusive of other statistics that do not require a return value in their calculation. Those other fields will still include the entities where appropriate (that is, High Market Value will still be presented if available).
  If the Composite Dispersion statistic requires a value for the calculation (that is High Ending Market Value)	Return an N/A for the statistic result.	The entity will be excluded entirely from the statistic calculation and a result based on the other member entities will be calculated.
  Linking of Stored Composite returns	If at least one return is not available for the Composite for a date rule period, then the Composite's linked return result will be N/A for that period.	The available Composite's returns found for the date rule period will be linked together and used in the statistic calculation.

  Even if an entity is excluded from a calculation due to missing data, it will still be displayed when you double-click the column to look at the constituent data for the period, and will display N/A where appropriate.
  
  

  Convert Currency Data in the Composite Analysis Report

  You can use the currency options in the Composite Analysis report profile to:
• Convert constituent data to the base currency of the composite
• Convert composite and constituent data from one base currency to another, which can differ from the currency of the composite and the constituents
• Convert the composite's benchmark to the same currency as that of the composite

Enabling Cross Currency Calculations

The Composite Analysis report uses cross currency calculation to allow you to arrive at the FX rate of a third currency by triangulation. For general information about setting up GIPS Composite Management for multicurrency conversion, see the GIPS Composite Management Configuration Guide. For a discussion of triangulation and detailed setup information about PACE system parameters used for cross currency triangulation, see the Performance Analysis and Reporting User Guide. For general information about foreign exchange rates data, see the Performance Calculation User Guide.

Setting Up the Report Profile for Currency Conversion

When you select the Options button in the first page of the Composite Analysis report profile, the Select the Currency tab of the Advanced Options dialog box appears, allowing you to define the currency conversion criteria. See the following figure. For information about adding or editing a Composite Analysis report profile, see Creating a Composite Analysis Report Profile.

Composite Analysis Report Profile - Advanced Options Dialog Box Select the Currency Tab
The following table describes the Select a Currency tab options in the Advanced Options dialog box.

Tips for Using the Composite Analysis Report

Some tips for using the Composite Analysis report follow:

• Only Performance Composites or Lists made up of Performance Composites may be selected in the Profile for this report type. Regular Composites are not supported.
• You must always group using the Composite ID or Name internal field attribute, not Entity ID or Name.
• Grouping rule should only contain one level of grouping on Composite ID or Name.
• Only Total Level (PERF_ROLLUP_RETURNS_ID = 1) data is fetched for use in Composite Analysis fields, regardless of which performance model is selected in the profile.
• Date Ranges (PACE date rules) must be selected in the profile for the periods you wish to see in the report result (prior month, 1 Year, Since Inception).
• Default dictionary for Composite, benchmark or Constituent data is supported in this report when the data is stored under different performance models.
• Constituent data should be lined up in the same column/field of PERF_SEC_RETURNS for accurate composite processing (that is, store composite Total Return in same database column as constituent Total Return).
• RULESDBO.ENTITY_RANGE_DETAILS table is used for all Composite/Constituent relationships using actual effective dates.
• A Composite Analysis Field Rule is comprised primarily of Composite Analysis fields. You can also include Entity fields in a Composite Analysis Field Rule to display Constituent level entity characteristics, such as base currency. However, you cannot use the Field Rule to display Composite level entity information in the report.
• The Inception Date Check in the Composite Analysis Reports supports accounts with only partial period returns. The option is displayed as a check box within the composite analysis field, ensuring backwards compatibility. Options include:
• Enabled. The performance engine verifies the inception date of all the constituents of the composite. It also allows you to specify which inception date field is to be used in the event that you maintain multiple inception dates.
• Disabled (default). The performance engine looks for the existence of the appropriate amount of performance records regardless of the inception date.

The purpose of the Inception Date Check is to prevent partial first month returns from being included in a longer term linked return. For example, assume a 1 year performance period from 1/1/06 through 12/31/06 (comprised of 12 monthly periods). A constituent portfolio might have an inception date of 1/15/06, but still have a monthly return as of 1/31/06 (this being a partial period return). If the Inception Date Check is disabled, that fund's return will be included in the composite's 1 year return. If the Inception Date Check is enabled, the engine will recognize that the 1/31/06 monthly return is a partial first period and subsequently ignore that return.

• The default Composite Analysis report view consists of the following format:
• Separate spreadsheets for each composite selected in the profile identified in tabs across the bottom of the report result
• Fields in the field rule down the left side of the report
• Time Periods (Date Ranges) in columns across the report
• Drill through of each time period (Date Range column) in the report for easy access to the Constituents in the whole period and their applicable data inputs, which could be linked multiperiod returns or market value type data, depending on the composite analysis field selected. An example is shown in the following figure.

Sample Default Report View of Composite Analysis Report
The underlying constituent data inputs are shown in the following figure.

View of Underlying Constituent Data Inputs
If the report was submitted with the profile option Enumerate Composites selected, the drill-through to view the composite's underlying constituent data inputs would display the final constituent entity list.
This is determined by enumerating through the profile composite down to the lowest level entity.
Note the enumeration example in the following figure.

PACE OLAP View

Deliver Composite Analysis Report Results to Data Mart

You can distribute Composite Analysis report results such as composite returns and composite dispersion statistics to Data Mart. Using Data Mart is particularly useful when you need to review returns and dispersion statistics across time. You can use Data Mart data to verify the completeness and validity of constituent funds data over time, analyzing how dispersion changed over time, and determine whether constituent return and market value data is complete across a date range for the whole firm.
When you set up a Composite Analysis report for delivery to Data Mart, do the following:

• Define Field Level Date Ranges. In all of the Composite Performance Analysis fields that the report's field rule uses, select the Use Field Date Range option, and specify a corresponding date rule.

You must define date ranges at the field level in order for Data Mart to store values for those date ranges. For more information about these fields, see the GIPS Composite Management Configuration Guide.

• Omit Profile Level Date Range. In the Composite Analysis report profile Report Rule options section, in the Report Rule field, do not specify a date rule for a date range.

Instead of using a date rule defined at the report profile level, the report uses the date rules defined within the Composite Performance Analysis fields used in the report. For more information, see Creating a Composite Analysis Report Profile.

• Assign Profile Level Grouping by Composite. In the Composite Analysis report profile Report Options section, select the Group results by composite instead of date check box.

Selecting this option produces report output that is compatible with the Data Mart table structure and determines that you view results in the Group Results by Composite view, described in the next section. For option information, see Creating a Composite Analysis Report Profile.
You can configure the Data Mart Fund Summary model with Composite Analysis field attributes to build information for performance composites in Fund Summary. Fund Summary can also contain regular performance analysis and other fields for portfolios that are constituents of the composite. For these constituent portfolios, you can build additional Mart data at the grouping level in group tables and at the security level in the Performance Details table. To capture the composite/constituent relationships, you can configure a group level table with entity hierarchy fields expressing these relationships, and leverage that mapping in your reporting. For more information, see the Data Mart User Guide.

Viewing Report Results

When you use the Composite Analysis report to deliver results to Data Mart, the system displays your report results using the Group Results by Date Range view, which differs from the Default and SHIFT report views described previously. This report view shows composites/entities as rows and date range/statistics as columns. An example is shown in the following figure.

Composite Analysis Report (Group Results by Date Range View)