Work with Statistical Operations

You can manipulate results to derive new data using the statistical operations menu item.

There are two categories of operations:

Series Derivation Operations. This option performs a statistical operation across the results from two columns to create a third column. For example, the Difference operation takes the values in the Fund Return and subtracts those in the Benchmark Return column to create a new series of single-period returns.
Rolling Operations. This option applies a statistical operation to a single time series at fixed intervals to create a new time series. For example, the Maximum operation performed on the Fund Return column on a monthly rolling basis returns a time series comprised of the highest single-period return achieved up until that month.

In this section

The ability to perform operations is controlled using the Operation Access dialog when the query report profile is created. You see only those operations to which you have access in any one query. You can have different operation privileges in different queries.

There is no limit to the number of operations you can create in any one query and you can perform operations on columns that are the result of operations.

About Statistical Operations

Fourteen operations are available in the Performance Query Tool. All of the operations are displayed on the Operation Definition dialog box. Each operation requires only those parameters necessary to define the statistic. For example, a series derivation operation requires you to specify only the two columns on which the operation is to be performed, as shown below.

By contrast, a rolling series operation requires a few more parameters, as shown here.

Use the Statistical Operation Parameters

There are nine possible operation parameters, described in the order presented in the tool. Because series derivation operations only require you to specify two columns and treatment of nulls, the following details mostly pertain to defining rolling series operations. Detailed examples for defining rolling series operations follow.

Column

Select the data column from the result set to use in the operation. The drop down list is populated with all the columns in the query thus far allowing you to do operations on operations.

Date Range Options

Define the begin and end date for the first repetition of the operation within the Query Date Range. By default, the operation is done from fund inception (begin) to the Current Date (end). The new value created by the operation appears for the first time on the end date defined.

You can override the default dates in several ways. You can set the:

Begin Date as an Offset from the End Date. The end date referenced here is the end date of your Query Date Range. In this example, 5/31/1998.
Begin Date to a fixed date. Use this option to create an any-date to any-date return.
Begin Date to a predefined date stored in PACE. For example, Inception to Date, Fiscal Year to Date, Year to Date, Month to Date, Quarter to Date. The Query Tool uses calendar days to count back by months, quarters, or years and does not access any business calendars. The entity date field also can be selected when the To Date options (ITD, FYTD) are chosen.
End date. By default, the end date used is the end date selected by the user in the profile. But this can be overridden with a specific end date, for example, to calculate a return for a particular date range or one generated by a date rule. No business calendars are used.

Annualization

Available only for geometric linked return operation, select this to annualize a fund return greater than a year. Annualization in PACE is done based on an actual day count if the Use Business Calendar option is not selected, and on a basis comparable to the periodicity of the data (for example monthly) if the business calendar is selected. (If you set Frequency to Subperiod, time series operations with Annualization work as if you set Frequency to Daily.)

Refer to the Performance Calculation for more detail on annualizing and the use of the business calendar.

Use Business Calendar

Use this option to compare the number of observations retrieved from the database versus the number of observations expected for the business calendar in effect. You can use the Use Business Calendar option with the rolling operations, Geometric Compound Rolling and Growth of a Dollar. If you select the Use Business Calendar check box, Eagle Performance refers to the field specified as the Column operation parameter in the Operation Definition dialog box to identify the entity that provides the data for the operation. If the operation applies to a:

Primary portfolio Performance Analysis field, Eagle Performance uses the primary portfolio’s entity level business calendar if it is available; otherwise, it uses the Eagle PACE business calendar.
Benchmark Performance Analysis field, the business calendar selected depends on how you set the Use Benchmark History check box in the query report profile and whether you selected the Process Across Changes check box on the entity benchmark tab for the appropriate primary portfolio. This enables Performance Analysis fields used in the Query Tool to link data across benchmark assignment changes. If you:
Clear the Use Benchmark History check box, the operation uses the current day benchmark assignment and its entity level business calendar to compare the number of observations.
Select the Use Benchmark History check box and select the Process Across Changes check box, the operation uses the benchmark for each time range and uses that benchmark’s entity level business calendar, if it is available, for that time range to compare the number of observations. Otherwise, it uses the Eagle PACE business calendar.
Select the Use Benchmark History check box and clear the Process Across Changes check box, the operation uses the benchmark from the Query Tool report’s end date and uses that benchmark’s entity level business calendar, if it is available, to compare the number of observations. Otherwise, it uses the Eagle PACE business calendar.

For example, if you want to create an operation to calculate a 1-year return, you can elect to display a null (no) result if there are less than the 12 observations expected in the database by choosing the business calendar option. In the same circumstance, if you do not choose the business calendar option, the query returns the result using the number of values in the database. You can add both business calendar and non business calendar fields to the report to debug any issues with the input data.

If you set the Query Tool report’s Frequency to Subperiod, the report refers to the business calendar as if you set Frequency to Daily. The report ignores the Use Business Calendar option setting, even when you select it within an operation.

For information about setting up business calendars, see the Performing Business Calendar Checks section of Performance Analysis and Reporting.

Rolling Offset

This option defines the fixed interval that determines the end date for subsequent repetitions of the operation. For example, display the maximum returns as of each month versus every third month is a Rolling Offset of 1 versus 3. The default offset is 1.

Repetitions

This option specifies how many times to apply the Rolling Offset and repeat the operation. By default the operation is performed for each date in the time series. You can override the default, for example, by asking for only one result. If this was an inception to date return column and the Number of repetitions was set to 1, then the return would only be calculated as of the end date of the report.

Treat Nulls as

This option, available for most series derivation operations, specifies how to treat null values used in operations. By default, the Treat Nulls as parameter has a value of Nulls, and when any values brought into the operation are null, the operation returns null as the result. You can override the default by setting the Treat Nulls as parameter to a value of Zeros. When any values brought into the operation are null, the system treats the null value as a zero and the results are the same as if the null was zero.

Editing Operations

To edit the operation after defining it, right-click the column heading, and choose Edit Operation. If you want the operation to be saved as part of the query, click Save.

Operations are a one-time setup, but you can perform new operations on an ad hoc basis. If you are not the original owner of the query and you create your own operations, your report is the only one that is changed. If you are the owner of the report, other users of the report can inherit any operations you create. You can create reports with popular operations like quarterly, annual, and inception to date returns and then allow the analyst to create their own particular statistics.