Performance Reporting - Group Settings
The group settings dialog is used to organize a list of investments into groups, set group benchmarks, specify benchmarks and risk-free rates used in performance calculations, and to define peer groups. Investments can be ranked against a peer group on a report without the constituents of the peer group being displayed.
Organizing a list into groups
There are two methods to organize a list into groups: (1) automatically arrange investments by the preset data points in the display grouping dropdown or (2) use the customize display groups button to manually arrange investments into groups.
Grouping investments by data point:
1. Select the data point to group investments by in the Display Grouping dropdown.
2. Click the update button, and the investments in the list will be organized into groups in the list view. Groups are collapsed by default; to view investments within a group double click on the group name, or click on the expand/collapse all button.
Custom user defined groups:
Click on the Custom Groups button. A dialog screen will be displayed allowing user defined custom groups to be created and investments to be arranged and added to groups.
Set group benchmarks and risk-free proxy
The calculation benchmark is required and can be set at either the display group or the investment level. The calculation benchmark is used in calculations that require a benchmark, such as Alpha, Beta and R-squared. When the calculation benchmark is set at the display group level, it will also set the benchmark for all of the investments in the group. The default calculation benchmark can be set in the general settings or report settings dialogs. The calculation benchmark can be displayed as a column on the performance report. Several pre-defined options are available in the dropdown list that will automatically update the calculation benchmark at the investment level.
The display benchmark is optional, and is set at the group level. The display benchmark can be displayed as a row on the performance report.
The risk-free proxy is set at the display group level and is used in any calculations that require a risk-free rate. The default risk-free proxy can be set in the general settings or report settings dialogs.
If multiple groups are selected, changing a benchmark or risk-free proxy setting will apply to all selected display groups.
Defining peer groups
There are four methods available to define peer groups: (1) use the display group investments as the peer group (default setting), (2) use an investment list as the peer group, (3) use search criteria to define the peer group or (4) use the auto peer group setting for some display groupings (for example, Morningstar Category). Using a search criteria will create a dynamic peer group that is updated each time the report is run based on the criteria specified.
Peer groups can be used to rank against and for comparison based on summary statistics. The number of investments in the peer group is displayed on the group settings dialog for each group. The number of funds ranked against for peer group ranks can be displayed on the performance report.
Preset Calculation Benchmark Details
MPT Benchmark
MPT Benchmark is a general index assignment made by Morningstar to show a comparison against a benchmark easily understood by the average investor. For U.S. funds, MPT Benchmarks are assigned based on the fund�s Broad Asset Class: US Stock (S&P 500), International Stock (MSCI EAFE), Balanced (Dow Jones Moderate), Taxable Bond (Lehman US Aggregate Bond), Muni (Lehman Municipal), and Alternative (ML USD LIBOR 3 Mon CM). For other investments, the assignment is based on category.
Analyst Assigned Benchmark
Analyst Assigned Benchmark is a more specific index assignment made by Morningstar based on research and editorial feedback. Analyst Assigned Benchmarks are specific to the investment's Morningstar Category. In order to be used as an Analyst Assigned Benchmark, an index must have a minimum of 3 years of returns data, with a preference for indexes that also provide daily returns.