Hello ,
Yes you can do provided you have proper permissions in the server to do so.
Below articles can be used as a step-by-step guide:
http://technet.microsoft.com/en-us/library/cc722414.aspx
http://www.mssqltips.com/sqlservertip/1475/setup-performance-monitor-to-always-collect-sql-server-performance-statistics/
But you should be careful with its schedule and monitor its growth to avoid any performance or space issues.
Thanks
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