The Reporting Toolkit leverages EAGLEMART to deploy preconfigured Data Mart models.
As you review the Data Mart table names, be aware that for Attribution purposes, the initials “BF” stand for Brinson Fachler, “KS” for Karnosky Singer, “FI” for Fixed Income, and “KRD” for Key Rate Duration. The initials “MTD” stand for month to date.
About the Data Mart Models
The Data Mart configuration included in the Reporting Toolkit is based on Eagle’s experience with performance Data Marts. This section attempts to explain the concepts Eagle used so you can use them to build out your Data Mart for performance. When configuring your Data Mart, it is important to base your requirements on what information you currently need on a frequent basis — not on all the information you might need in the future. You can always add more information to Data Mart as your business requirements change.
Fund Summary and Fund Summary Extensions. The first concept is related to Fund Summary and Fund Summary Extensions. Eagle logically grouped fields into Fund Summary Extensions based on usage and processing. For example, all the fields that Eagle expects you to build daily are in one extension. These include daily, MTD, QTD, and YTD fields for the portfolio and benchmark. Having these fields in one extension simplifies reporting, as report developers will know that they can use those fields for any daily performance report. Eagle has another extension for all the fields that Eagle would build on a monthly basis, including 1Y, 3Y, 5Y, and ITD fields for the portfolio and benchmark. If you have a second or third benchmark, you could add it to one of those extensions, but you really need to consider if you need to add those benchmarks to Data Mart in the first place. If those benchmarks are for infrequent ad hoc reports, you could use a Performance Analysis report to generate those results instead.
Group Models. The second concept relates to group models. Eagle only included one time period and benchmark for each group model, such as MTD versus the primary benchmark. Having this rule simplifies reporting, as report developers will only retrieve nodes that were held by the portfolio or benchmark for that time period. If you included a second time period or second benchmark, you would need to filter out all the nodes that were held in the longer time period or other benchmark.
Performance Details and Performance Details Extensions. The third concept relates to Performance Details and Performance Details Extensions. Eagle logically grouped the fields into different extensions by time period and benchmark as well as limited the time period to MTD. By grouping the fields into extensions by time period, Eagle can create some Performance Details that are built daily and other that are built monthly. Limiting the time period to MTD reduces the amount of data that needs to be processed.
These concepts are a good starting point, so be sure to review the details of each extension and group table that follow to see its structure.
Fund Summary and Fund Summary Extensions
The Performance Model, eglPrfPc-Total Level Model, is used for the Fund Summary and Fund Summary Extensions.
| Data Mart table | DM Build Frequency | Account Types | Details |
|---|---|---|---|
FUND_SUMMARY | Daily | All | Entity ID, Entity Name, Inception Date, Bmrk1 ID, Bmrk1 Name |
PERF_TOTAL_SUMMARY | Daily | All | 1D, MTD (mixed), QTD (mixed), YTD (mixed), Gross, Net, Port and Bmrk1 |
PERF_TOTAL_EXTENDED | Monthly Recommended, Daily Optional | All | 1Y (mixed), 3Y (mixed), 5Y (mixed), 10Y (mixed), SI (mixed), Cum and Ann, Gross and Net, Port and Bmrk1 |
PERF_TOTAL_RISK | Monthly Only | All | 3Y (M) Rolling Risk Statistics: Ratios, Tracking Error, CAPM |
PERF_GIPS_SUMMARY | Monthly Only | GIPS Composites | GIPS: 1M, 3M (M), YTD (M), AW Std Dev, AUM, % Assets, Ports End, Ports In |
PERF_GIPS_DISCLOSURES | Monthly | GIPS Composites | Static and Dynamic text for 14 standard GIPS disclosures |
Currency Models
The Performance Model, eglPrfPc-Currency Model, is used for the Currency Data Mart models.
| Data Mart table | DM Build Frequency | Account Types | Details |
|---|---|---|---|
PERF_CURRENCY_MTD | Daily | All | 1D, MTD, Weight, Return, Diff, Port and Bmrk1 |
PERF_CURRENCY_MTD_BF | Monthly Recommended, Daily Optional | All | MTD BF Global Contribution and Attribution, Port and Bmrk1 |
PERF_CURRENCY_MTD_KS | Monthly Recommended, Daily Optional | Equity Accounts | MTD KS Global Contribution and Attribution, Port and Bmrk1 |
PERF_CURRENCY_MTD_FI | Monthly Recommended, Daily Optional | Fixed Income Accounts | MTD FI Global Contribution and Attribution, Port and Bmrk1 |
Asset Class Models
The Performance Model, eglPrfPc-Asset Class Model, is used for the Asset Class Data Mart Models.
| Data Mart Table | DM Build Frequency | Account Types | Details |
|---|---|---|---|
| PERF_ASSETCLASS_MTD | Daily | All | 1D, MTD, Weight, Return, Diff, Port and Bmrk1 |
PERF_ASSETCLASS_MTD_BF | Monthly Recommended, Daily Optional | All | MTD BF Contribution and Attribution, Port and Bmrk1 |
Region Country Models
The Performance Model, eglPrfPc-Region Country Model, is used for the Region Country Data Mart Models.
| Data Mart Table | DM Build Frequency | Account Types | Details |
|---|---|---|---|
PERF_REGION_MTD | Daily | All | 1D, MTD, Weight, Return, Diff, Port and Bmrk1 |
PERF_REGION_MTD_BF | Monthly Recommended, Daily Optional | All | MTD BF Contribution and Attribution, Port and Bmrk1 |
GICS Models
The Performance Model, eglPrfPc-GICS Model, is used for the GICS Data Mart Models.
| Data Mart Table | DM Build Frequency | Account Types | Details |
|---|---|---|---|
PERF_GICS_MTD | Daily | Equity Accounts | 1D, MTD, Weight, Return, Diff, Port and Bmrk1 |
PERF_GICS_MTD_BF | Monthly Recommended, Daily Optional | Equity Accounts | MTD BF Contribution and Attribution, Port and Bmrk1 |
Aggregate Bond Models
The Performance Model, eglPrfPc-Aggregate Bond Model, is used for the Aggregate Bond Data Mart Models.
| Data Mart Table | DM Build Frequency | Account Types | Details |
|---|---|---|---|
PERF_AGGBOND_MTD | Daily | Fixed Income Accounts | 1D, MTD, Weight, Return, Diff, Port and Bmrk1 |
PERF_AGGBOND_MTD_FI | Monthly Recommended, Daily Optional | Fixed Income Accounts | MTD FI Contribution and Attribution, Port and Bmrk1 |
PERF_AGGBOND_MTD_FISECT | Monthly Recommended, Daily Optional | Fixed Income Accounts | MTD FI Benchmark Sector Inputs Contribution and Attribution, Port and Bmrk1 |
PERF_AGGBOND_MTD_KRD | Monthly Recommended, Daily Optional | Fixed Income Accounts | MTD FI KRD Contribution and Attribution, Port and Bmrk1 |
Long Short Models
The Performance Model, eglPrfPc-Long Short Model, is used for the Long Short Data Mart Models.
| Data Mart Table | DM Build Frequency | Account Types | Details |
|---|---|---|---|
PERF_LONGSHORT_MTD | Daily | All | 1D Weight Port and Bmrk1, MTD Return Port, MTD BF Contribution Port |
Entity Hierarchy Models
The Entity Hierarchy model stores the constituent relationships for composites of composites of portfolios.
If you use entity hierarchy models, ensure that your composites have a uniform structure. For example, if you use a structure of plan (Level 1), composite (Level 2), and portfolio (Level 3), do not include a plan that mixes composites and portfolios at Level 2.
| Data Mart Table | DM Build Frequency | Account Types | Details |
|---|---|---|---|
FUND_HIERARCHY | Monthly Recommended, Daily Optional | Composites of Composites | Entity Hierarchy: eglEhi-PlanEntityID, eglEhi-CompositeEntityID, eglEnt-EntityID |
Performance Details and Extensions
The Performance Model, eglPrfPc-Total Level Model, is used for the Performance Details and Performance Details Extensions.
| Data Mart Table | DM Build Frequency | Account Types | Details |
|---|---|---|---|
PERFORMANCE_DETAILS | Daily | All | 1D Return and Weight, Weight Diff, Port and Bmrk1 |
PERF_DETAILS_MTD_BF | Monthly Recommended, Daily Optional | All | MTD BF Contribution and Attribution, Port and Bmrk1 |
Security Details
The only securities that are built are those held in Performance Details. If there are securities that are held in a Performance Detail Extension that are not in Performance Details, you need to use the Data Mart option to build all securities, not just the held securities.
| Data Mart Table | DM Build Frequency | Account Types | Details |
|---|---|---|---|
SECURITY_DETAILS | Daily | n/a | Currency Code, Asset Class, Region Country, GICS Levels, AggBond Levels |
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