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performance-reporting

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Chinese

Performance Reporting — Reporting & Communication

业绩报告 — 汇报与沟通

Purpose

用途

Generate clear, accurate, and contextually rich performance reports for investment portfolios. This skill covers return calculation and presentation, benchmark comparison, attribution analysis, risk dashboards, goal progress tracking, and visualization best practices — all with an emphasis on honest, plain-language communication that serves the reader.
生成清晰准确、上下文丰富的投资组合业绩报告。本技能涵盖收益计算与展示、基准对比、归因分析、风险仪表盘、目标进度跟踪以及可视化最佳实践，所有内容均以面向读者的诚实、平实语言沟通为核心。

Layer

层级

8 — Reporting & Communication
8 — 汇报与沟通

Direction

方向

retrospective
回溯性

When to Use

适用场景

  • Creating portfolio performance reports (monthly, quarterly, annual)
  • Summarizing investment returns across multiple time periods
  • Comparing portfolio performance to appropriate benchmarks
  • Presenting attribution analysis (what drove returns)
  • Building risk dashboards with current and rolling metrics
  • Tracking progress toward financial goals (retirement, education, etc.)
  • Designing charts and visualizations for investment reporting
  • Translating quantitative results into plain-language summaries for clients
  • 生成投资组合业绩报告（月度、季度、年度）
  • 汇总多个时间周期的投资收益
  • 对比投资组合业绩与适配基准的表现
  • 展示归因分析（收益驱动因素）
  • 搭建包含当前及滚动指标的风险仪表盘
  • 跟踪财务目标（退休、教育等）的完成进度
  • 设计投资报告所用的图表与可视化内容
  • 将量化结果转化为平实的语言摘要呈现给客户

Core Concepts

核心概念

Return Reporting

收益报告

Accurate and consistent return calculation is the foundation of all performance reporting.
Period returns: Report standard time periods — MTD (month-to-date), QTD (quarter-to-date), YTD (year-to-date), 1Y, 3Y, 5Y, 10Y, and since inception. Always state the exact inception date.
Cumulative vs annualized: Annualize returns only for periods greater than 1 year. Annualizing a 3-month return is misleading because it implies the rate is sustainable for a full year. For periods under 1 year, report cumulative (total) returns only.
  • Annualized return formula: 
    (1 + cumulative_return)^(1/years) - 1
  • For multi-year periods, always present both cumulative and annualized figures so the reader can see total wealth growth and the rate of compounding.
Gross vs net of fees: Always specify whether returns are gross or net of management fees, advisory fees, and transaction costs. Net-of-fee returns are what the investor actually experiences and should be the primary presentation. If showing gross returns, also show the fee drag.
GIPS (Global Investment Performance Standards): For institutional reporting, follow GIPS requirements — composite construction, full disclosure, verified calculations, and standardized presentation. Even for non-GIPS reports, the principles of fair representation and full disclosure apply.
Time-weighted vs money-weighted returns:
  • Time-weighted return (TWR) removes the impact of cash flows — use for evaluating the investment manager's skill.
  • Money-weighted return (MWR / IRR) reflects the investor's actual experience including timing of contributions and withdrawals — use for evaluating the investor's outcome.
准确一致的收益计算是所有业绩报告的基础。
周期收益： 报告标准时间周期的收益——MTD（月初至今）、QTD（季初至今）、YTD（年初至今）、1年、3年、5年、10年以及成立至今收益。必须明确标注确切的成立日期。
累计收益 vs 年化收益： 仅对超过1年的周期计算年化收益。将3个月的收益年化会产生误导，因为这暗示该收益率可以持续一整年。对于1年以内的周期，仅报告累计（总）收益。
  • 年化收益率公式：
    (1 + cumulative_return)^(1/years) - 1
  • 对于多年期周期，需同时展示累计收益和年化收益，方便读者了解总财富增长情况和复利收益率。
总收益 vs 扣除费用后收益： 必须明确说明收益是扣除管理费、咨询费和交易成本之前的总收益，还是扣除费用后的净收益。扣除费用后的净收益是投资者实际获得的收益，应作为主要展示内容。如果展示总收益，也需要同时展示费用带来的收益损耗。
GIPS（全球投资业绩标准）： 面向机构的报告需遵循GIPS要求——组合构建、充分披露、验证过的计算、标准化展示。即使是非GIPS报告，也适用公平呈现、充分披露的原则。
时间加权收益率 vs 货币加权收益率：
  • 时间加权收益率（TWR）剔除了现金流的影响——用于评估投资经理的投资能力。
  • 货币加权收益率（MWR / IRR）反映了投资者的实际收益，包含了资金存入和提取的时间影响——用于评估投资者的实际投资结果。

Benchmark Comparison

基准对比

A return number in isolation is meaningless. Context requires a benchmark.
Appropriate benchmark selection: The benchmark must match the portfolio's investment style, geography, capitalization, and asset class mix. A US large-cap equity portfolio should be compared to the S&P 500 or Russell 1000, not the MSCI Emerging Markets Index.
  • For multi-asset portfolios, use a blended benchmark (e.g., 60% S&P 500 / 40% Bloomberg Aggregate).
  • The benchmark should be investable — the investor could have held it as a passive alternative.
  • Document the benchmark rationale and keep it consistent over time to avoid cherry-picking.
Active return (alpha): Portfolio return minus benchmark return. Positive alpha indicates outperformance; negative alpha indicates underperformance.
Tracking error: The standard deviation of active returns (portfolio return minus benchmark return) over time. Measures the consistency of active management.
Information ratio: Alpha divided by tracking error. Measures the efficiency of active management — how much excess return is generated per unit of active risk. An IR above 0.5 is generally considered good; above 1.0 is exceptional.
孤立的收益数值没有任何意义，需要结合基准才能形成上下文判断。
适配基准选择： 基准必须匹配投资组合的投资风格、地域、市值规模和资产类别构成。美国大盘股票组合应当和S&P 500或Russell 1000对比，而非MSCI新兴市场指数。
  • 对于多资产组合，使用混合基准（例如60% S&P 500 / 40% Bloomberg Aggregate）。
  • 基准应当是可投资的——即投资者可以选择被动持有该基准作为替代方案。
  • 记录基准选择的逻辑并长期保持一致，避免刻意挑选有利基准。
主动收益（alpha）： 投资组合收益减去基准收益。正alpha代表跑赢基准，负alpha代表跑输基准。
跟踪误差： 一段时间内主动收益（投资组合收益减基准收益）的标准差，用于衡量主动管理的稳定性。
信息比率： alpha除以跟踪误差，用于衡量主动管理的效率——即每承担一单位主动风险可以获得的超额收益。信息比率高于0.5通常认为表现良好，高于1.0则属于优秀水平。

Risk Dashboard

风险仪表盘

Complement return reporting with risk metrics to give a complete picture.
Current snapshot metrics:
  • Annualized volatility (standard deviation of returns)
  • Maximum drawdown (peak-to-trough decline) and current drawdown
  • Value at Risk (VaR) at 95% and 99% confidence levels
  • Beta relative to the benchmark
Rolling metrics: Show how risk evolves over time, not just a point-in-time estimate.
  • 12-month rolling Sharpe ratio
  • 12-month rolling volatility
  • 36-month rolling beta
  • Rolling drawdown chart
Risk exposure breakdown:
  • Sector concentration and weights vs benchmark
  • Factor exposures (value, growth, momentum, quality, size)
  • Geographic allocation
  • Duration and credit quality (for fixed income)
搭配风险指标补充收益报告，形成完整的业绩画像。
当前快照指标：
  • 年化波动率（收益的标准差）
  • 最大回撤（从峰值到谷底的跌幅）和当前回撤
  • 95%和99%置信水平下的风险价值（VaR）
  • 相对于基准的Beta值
滚动指标： 展示风险随时间的变化趋势，而非仅展示单一时点的估算值。
  • 12个月滚动Sharpe比率
  • 12个月滚动波动率
  • 36个月滚动Beta值
  • 滚动回撤图表
风险敞口拆分：
  • 行业集中度及与基准的权重对比
  • 因子敞口（价值、成长、动量、质量、规模）
  • 地域配置
  • 久期和信用质量（固定收益类资产）

Attribution Summary

归因摘要

Explain why the portfolio outperformed or underperformed.
Brinson attribution (allocation vs selection):
  • Allocation effect: did the manager overweight sectors that performed well?
  • Selection effect: within each sector, did the manager pick better-performing securities?
  • Interaction effect: the combined impact of allocation and selection decisions.
Factor contribution decomposition: Decompose returns into contributions from market beta, size, value, momentum, quality, and other factors. The residual is the manager's idiosyncratic alpha.
Top/bottom contributors (holdings-level):
  • List the 5-10 holdings that contributed most positively and most negatively to portfolio returns.
  • Show both the return of the holding and its contribution to total portfolio return (weight x return).
  • Provide brief commentary on why each top/bottom contributor performed as it did.
解释投资组合跑赢或跑输基准的原因。
Brinson归因（配置vs选择）：
  • 配置效应：经理是否超配了表现更好的行业？
  • 选择效应：在每个行业内部，经理是否挑选了表现更好的证券？
  • 交互效应：配置决策和选择决策的叠加影响。
因子贡献分解： 将收益拆分为市场Beta、规模、价值、动量、质量和其他因子的贡献，剩余部分即为经理的特有alpha。
top/ bottom贡献标的（持仓层面）：
  • 列出对组合收益正向贡献最大和负向贡献最大的5-10个持仓标的。
  • 同时展示标的本身的收益率和对组合总收益的贡献（权重×收益率）。
  • 对每个top/ bottom贡献标的的表现原因提供简要说明。

Goal Progress Tracking

目标进度跟踪

For goal-based investors, frame performance in terms of progress toward their specific objectives.
On-track assessment: Is the portfolio on track, behind, or ahead relative to the financial plan?
Probability of success: Use Monte Carlo simulation to estimate the probability of reaching the goal given current assets, savings rate, time horizon, and expected return/risk assumptions. Express as a percentage (e.g., "82% probability of funding retirement at age 65").
Projected vs required return: Compare the return needed to reach the goal with the expected return of the current portfolio. If the required return exceeds what is reasonable, flag this as a planning gap.
Milestone tracking: Express progress as percentage of goal funded. For example: "Retirement goal: $2,000,000. Current portfolio: $850,000. 42.5% funded with 15 years remaining."
对于目标导向的投资者，结合其具体目标的完成进度来呈现业绩。
进度评估： 相对于财务计划，投资组合进度是达标、落后还是超前？
成功概率： 结合当前资产、储蓄率、时间周期和预期收益/风险假设，使用Monte Carlo模拟估算达成目标的概率，以百分比呈现（例如「65岁时完成退休资金储备的概率为82%」）。
预期收益 vs 要求收益： 对比达成目标所需的收益率和当前组合的预期收益率。如果要求收益率超出合理范围，需标记为规划缺口。
里程碑跟踪： 以目标完成百分比的形式展示进度，例如：「退休目标：200万美元。当前组合：85万美元。剩余15年，已完成42.5%。」

Visualization Best Practices

可视化最佳实践

Charts communicate faster than tables. Choose the right chart for the message.
Growth of $10,000 chart: Shows cumulative wealth growth of portfolio vs benchmark over time. Intuitive for all audiences. Use log scale for long time periods to avoid visual distortion from compounding.
Rolling return chart: Shows trailing 12-month or 36-month returns over time. Reveals consistency and regime changes. More informative than a single annualized number.
Drawdown chart: Shows peak-to-trough declines over time. Viscerally communicates risk in a way that volatility numbers cannot.
Asset allocation pie/bar chart: Current allocation vs target/benchmark. Use a grouped bar chart to show both side by side.
Risk-return scatter plot: Plot portfolio and benchmark (and possibly peer group) on an annualized return vs annualized volatility plane. Positions in the upper-left (high return, low risk) are desirable.
图表比表格传递信息的效率更高，需根据传达的信息选择合适的图表。
1万美元增长图表： 展示投资组合和基准随时间的累计财富增长情况，对所有受众都很直观。长周期展示时使用对数刻度，避免复利带来的视觉失真。
滚动收益图表： 展示一段时间内的滚动12个月或36个月收益，可体现业绩稳定性和市场风格切换，比单一的年化数值信息量更丰富。
回撤图表： 展示随时间变化的峰谷跌幅，能以波动率数值无法实现的方式直观传递风险感知。
资产配置饼图/柱状图： 当前配置与目标/基准的对比，使用分组柱状图可同时展示两者情况。
风险收益散点图： 将投资组合、基准（也可加入同类组合）放在年化收益vs年化波动率的平面上，左上角（高收益、低风险）的位置为最优。

Report Frequency and Structure

报告频率和结构

  • Monthly brief: 1-page summary — headline return, benchmark comparison, major attribution drivers, any notable events.
  • Quarterly detailed: 3-5 pages — full return table, attribution, risk dashboard, goal progress, market commentary, and outlook.
  • Annual comprehensive: 8-15 pages — everything in the quarterly report plus year-in-review, tax reporting summary, planning updates, and IPS review.
  • 月度简报： 1页摘要——核心收益、基准对比、主要归因驱动因素、重大事件说明。
  • 季度详报： 3-5页——完整收益表格、归因分析、风险仪表盘、目标进度、市场评论和展望。
  • 年度综合报告： 8-15页——包含季度报告的所有内容，外加年度回顾、税务报告摘要、规划更新、投资政策声明（IPS）回顾。

Plain Language Communication

平实语言沟通

The most important reporting skill is translating numbers into meaning.
  • Do not just state "the portfolio returned 8.1% YTD." Add context: "The portfolio returned 8.1% YTD, outperforming its benchmark by 0.6 percentage points, driven primarily by strong stock selection in the technology sector."
  • Explain whether performance is good or bad relative to expectations and the plan.
  • Use analogies and comparisons the audience understands.
  • Define technical terms on first use or include a glossary.
  • Lead with the conclusion, then provide supporting detail for those who want to dig deeper.
最重要的报告技能是将数字转化为可理解的含义。
  • 不要只说「组合年初至今收益为8.1%」，补充上下文：「组合年初至今收益为8.1%，跑赢基准0.6个百分点，主要驱动因素是科技行业的优秀选股能力。」
  • 说明业绩相对于预期和计划的好坏。
  • 使用受众能理解的类比和对比。
  • 首次出现的技术术语要给出定义，或者附词汇表。
  • 开头先给出结论，再为需要深入了解的读者提供支撑细节。

Worked Examples

实操示例

Example 1: Quarterly Performance Report Summary

示例1：季度业绩报告摘要

Given: A balanced portfolio (60% equity / 40% fixed income) returned 3.2% in Q3 (benchmark: 2.8%). YTD the portfolio returned 8.1% vs 7.5% for the benchmark. The portfolio Sharpe ratio is 0.85 over the trailing 12 months. Equity selection in technology (+0.3%) and an underweight in energy (-0.1%) were the main attribution drivers.
Analysis:
Headline: The portfolio outperformed its benchmark by 0.4 percentage points in Q3 and 0.6 percentage points YTD, driven by strong stock selection in technology.
Return summary table:
PeriodPortfolioBenchmarkActive Return
Q3+3.2%+2.8%+0.4%
YTD+8.1%+7.5%+0.6%
Attribution highlights:
  • Technology stock selection contributed +0.3% — the largest single driver of outperformance.
  • Underweight energy allocation detracted -0.1% as energy prices rallied in the quarter.
  • Net active return of +0.4% demonstrates disciplined bottom-up security selection.
Risk context:
  • Trailing 12-month Sharpe ratio of 0.85 indicates the portfolio is generating meaningful risk-adjusted excess return.
  • Portfolio volatility remains in line with the benchmark, so outperformance is not coming from taking additional risk.
Plain-language summary for the client: "Your portfolio gained 3.2% this quarter, beating the benchmark by about half a percent. Year-to-date, you are ahead of the benchmark by a similar margin. The main driver was our technology stock picks, which outperformed the broader tech sector. We remain on track relative to your long-term financial plan."
已知条件： 平衡型组合（60%股票/40%固定收益）Q3收益为3.2%（基准收益2.8%）。年初至今组合收益8.1%，基准收益7.5%。过去12个月组合Sharpe比率为0.85。科技行业选股（+0.3%）和低配能源行业（-0.1%）是主要的归因驱动因素。
分析：
核心结论： 组合Q3跑赢基准0.4个百分点，年初至今跑赢0.6个百分点，主要驱动因素是科技行业的优秀选股能力。
收益汇总表：
周期组合收益基准收益主动收益
Q3+3.2%+2.8%+0.4%
年初至今+8.1%+7.5%+0.6%
归因亮点：
  • 科技行业选股贡献+0.3%——是跑赢基准的最大单一驱动因素。
  • 低配能源行业带来-0.1%的收益损耗，本季度能源价格大幅上涨。
  • 净主动收益+0.4%体现了 disciplined的自下而上选股能力。
风险背景：
  • 过去12个月Sharpe比率为0.85，说明组合产生了可观的风险调整后超额收益。
  • 组合波动率与基准保持一致，说明超额收益并非来自承担额外风险。
面向客户的平实摘要： 「您的组合本季度收益为3.2%，跑赢基准约0.5个百分点。年初至今的跑赢幅度也接近这一水平。主要驱动因素是我们挑选的科技股表现优于整体科技板块。相对于您的长期财务计划，当前进度符合预期。」

Example 2: Goal Progress — Retirement Funding

示例2：目标进度——退休资金储备

Given: A client has a retirement goal of $2,000,000 in today's dollars. Current portfolio value is $850,000. Time horizon is 15 years. Current annual contribution is $30,000 (increasing 3% per year). Portfolio expected return is 7% nominal, expected volatility is 12%. Inflation assumption is 2.5%.
Analysis:
Current status:
  • Goal: $2,000,000 (in today's dollars)
  • Current assets: $850,000
  • Funded ratio: 42.5%
  • Time remaining: 15 years
Projection (deterministic):
  • Future value of current assets at 4.5% real return over 15 years: $850,000 x (1.045)^15 = approximately $1,636,000
  • Future value of contributions ($30,000/yr escalating 3%/yr) at 4.5% real: approximately $620,000
  • Projected total (real): approximately $2,256,000
  • Deterministic assessment: On track — projected to exceed goal by ~$256,000
Projection (Monte Carlo, 10,000 simulations):
  • Median outcome: $2,180,000
  • 25th percentile: $1,650,000
  • 10th percentile: $1,320,000
  • Probability of reaching $2,000,000 goal: 68%
Interpretation: While the deterministic projection shows the client is on track, the Monte Carlo analysis reveals a 68% probability of success — reasonable but not highly confident. The gap between the deterministic and probabilistic views is driven by sequence-of-returns risk and volatility drag.
Recommendations to improve probability of success:
  • Increase annual contributions by $5,000 (raises probability to ~78%).
  • Consider modest reduction in spending goal or flexible retirement date.
  • Maintain current allocation — reducing risk at this stage would lower expected return and reduce success probability.
Client-facing summary: "You have $850,000 saved toward your $2,000,000 retirement goal, which is 42.5% of the way there with 15 years to go. Based on our projections, you have roughly a 68% chance of reaching your goal with your current savings plan. This is a reasonable position, but we can improve your odds by increasing your annual contribution or building in some flexibility on your retirement date."
已知条件： 客户的退休目标为现值200万美元。当前组合价值85万美元，时间周期15年。当前年度存款为3万美元（每年增长3%）。组合名义预期收益率7%，预期波动率12%。通胀假设2.5%。
分析：
当前状态：
  • 目标：200万美元（现值）
  • 当前资产：85万美元
  • 资金完成率：42.5%
  • 剩余时间：15年
预测（确定性模型）：
  • 当前资产按4.5%实际收益率计算15年后的终值：850,000 × (1.045)^15 ≈ 1,636,000美元
  • 每年存款3万美元（每年增长3%）按4.5%实际收益率计算的终值：≈ 620,000美元
  • 预计总终值（实际值）：≈ 2,256,000美元
  • 确定性模型评估：进度达标——预计超出目标约25.6万美元
预测（Monte Carlo模拟，10000次模拟）：
  • 中位数结果：2,180,000美元
  • 25分位结果：1,650,000美元
  • 10分位结果：1,320,000美元
  • 达成200万美元目标的概率：68%
解读： 确定性模型显示客户进度达标，但Monte Carlo分析显示成功概率为68%——处于合理范围但信心度不算高。确定性模型和概率模型的差异来自收益率序列风险和波动率损耗。
提升成功概率的建议：
  • 年度存款增加5000美元（可将成功概率提升至约78%）。
  • 考虑适当降低支出目标或设置灵活的退休日期。
  • 保持当前配置——现阶段降低风险会拉低预期收益率，反而会降低成功概率。
面向客户的摘要： 「您的200万美元退休目标目前已经存了85万美元，剩余15年已完成42.5%的进度。根据我们的预测，按当前的储蓄计划，您达成目标的概率约为68%，处于合理水平，但我们可以通过提高年度存款或设置灵活的退休日期来提升成功概率。」

Common Pitfalls

常见误区

  • Cherry-picking favorable time periods to present performance in the best light. Always show standard periods and since-inception returns.
  • Not showing risk alongside returns. A 15% return with 30% volatility is a very different story than 15% with 10% volatility.
  • Using inappropriate benchmarks to flatter performance. Comparing a growth equity fund to a value index during growth-favoring markets is dishonest.
  • Too much jargon for non-technical audiences. Sharpe ratios and tracking error mean nothing to most clients without explanation.
  • Not providing context for numbers. Is 8% good or bad? It depends on the benchmark, the risk taken, the market environment, and the goal.
  • Showing short-period returns annualized. A 5% return in one month is not "60% annualized" — this is misleading and should never be presented.
  • Presenting only time-weighted returns when the client's cash flow timing significantly impacted their actual experience. Show money-weighted returns alongside TWR when there are large or ill-timed flows.
  • Survivorship bias in composite reporting: excluding terminated accounts or poor-performing strategies from historical track records.
  • Ignoring taxes: for taxable investors, after-tax returns are what actually matters.
  • 刻意挑选有利的时间周期来美化业绩，必须始终展示标准周期和成立至今的收益。
  • 展示收益时不同时展示风险，15%的收益搭配30%的波动率和搭配10%的波动率是完全不同的情况。
  • 使用不合适的基准来美化业绩，在成长风格占优的市场中将成长股票基金和价值指数对比是不诚信的行为。
  • 对非专业受众使用过多行话，不加解释的话Sharpe比率和跟踪误差对大多数客户没有意义。
  • 不为数值提供上下文，8%的收益是好是坏取决于基准、承担的风险、市场环境和投资目标。
  • 展示短周期收益的年化值，单月5%的收益不等于「年化60%」，这种表述有误导性，绝对不能使用。
  • 当客户的现金流时间对实际收益有显著影响时，仅展示时间加权收益率，出现大额或时点不佳的现金流时，需要同时展示货币加权收益率和时间加权收益率。
  • 组合报告中的幸存者偏差：将已终止的账户或表现不佳的策略从历史业绩记录中剔除。
  • 忽略税收：对于应税投资者，税后收益才是实际可得的收益。

Cross-References

交叉参考

  • statistics-fundamentals (core plugin, Layer 0): return distributions, confidence intervals for projections
  • time-value-of-money (core plugin, Layer 0): future value projections, annualization math
  • performance-metrics (wealth-management plugin, Layer 1a): Sharpe, Sortino, Information Ratio calculation details
  • historical-risk (wealth-management plugin, Layer 1a): volatility, drawdown, VaR computation for risk dashboards
  • asset-allocation (wealth-management plugin, Layer 4): benchmark construction for multi-asset portfolios
  • quantitative-valuation (wealth-management plugin, Layer 3): forward-looking return assumptions for goal projections
  • finance-psychology (wealth-management plugin, Layer 7): framing effects in how performance is presented to clients
  • client-review-prep (advisory-practice plugin, Layer 10): performance data is assembled into the client review meeting package
  • statistics-fundamentals（核心插件，层级0）：收益分布、预测的置信区间
  • time-value-of-money（核心插件，层级0）：终值预测、年化计算逻辑
  • performance-metrics（财富管理插件，层级1a）：Sharpe、Sortino、信息比率的计算细节
  • historical-risk（财富管理插件，层级1a）：风险仪表盘所用的波动率、回撤、VaR计算
  • asset-allocation（财富管理插件，层级4）：多资产组合的基准构建
  • quantitative-valuation（财富管理插件，层级3）：目标预测所用的前瞻性收益假设
  • finance-psychology（财富管理插件，层级7）：向客户展示业绩时的框架效应
  • client-review-prep（咨询实践插件，层级10）：业绩数据会整合到客户回顾会议材料中

Reference Implementation

参考实现

See 
scripts/performance_reporting.py
for computational helpers.
计算辅助工具请查看
scripts/performance_reporting.py
。