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PerformancePoint Dashboard Designer filter error: "No filter data retrieved"

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While attempting to create a filter in PerformancePoint Dashboard Designer, you may get the following error:

 

 No filter data retrieved

The error may happen when you have the Per-user Identity setting enabled in the data connection settings:

 

 

When using Per-user Identity, Kerberos authentication is used to connect to the data source. There is a Kerberos hotfix that resolves this error:

https://support.microsoft.com/en-us/kb/969083

The hotfix needs to be applied to the SharePoint server running PerformancePoint Services and on the SQL Server database server that hosts the data source.