We all have the need to collect system and performance information regarding our SQL Servers. Some of us use third-party tools, SQL Trace, or a homegrown solution. Did you know Microsoft has a built-in tool to help you accomplish this? It’s called Data Collection and the data it collects (collection sets) is stored in a relational Management Data Warehouse. The data collected is used to generate reports giving us in with very readable and useful insights to our servers.
source https://www.c-sharpcorner.com/article/sql-server-data-collection-and-management-data-warehouse/
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