After the security level information is fetched, it is aggregated or rolled up for each single period (daily, monthly, or quarterly) to higher levels based on the entity and security field attributes in the Grouping Rule.
When you are using security or entity history, the aggregation happens for each single period using the historical attribute value, and the security appears under the node that it was in as of the report date. This is the same behavior as Performance Analysis reports using a performance model. The example that follows illustrates using security history on a portfolio holding only IBM over a three-month period.
Month 1 | |
Total | 2% |
| 2% |
| 2% |
Month 2 | |
Total | 1.5% |
| 1.5% |
| 1.5% |
Month 3 | |
Total | 1% |
| 1% |
| 1% |
3 Month Return | |
Total | 4.6% |
| 3.5% |
| 1% |
| 4.6% |
As you can see from the previous table, the return for IBM is included in the Hardware sector for months 1 and 2. However, IBM appears under the Services sector because that is the sector it was in as of the end date of the Performance Analysis report.
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