The Index Toolkit requires performance data to be available for each entity. You can use the Standard Performance Interface as a batch loader to populate performance data directly into the PERFORM tables. Official Total-level returns for each index should be loaded this way daily; these returns are reconciled to calculated returns.
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The performance loader can be used to directly load official historical data for any performance fields for any performance model and index constituents. The performance loader eliminates the step of running historical performance calculations and ensures the official returns are stored. It might also be necessary to load historical positions and calculate performance models when official performance model history is not available or in order to match the invested portfolio calculations. Weights and ABALs should be loaded as percentages and sum to 100 at the total level. Returns should also be loaded as percentages, such that a price that doubled would have a return of 100. In addition, the performance interface is used to load analytics for fixed income sectors as described in the Attribution section of this guide. These four fields are identified in the summary table that follows. The Standard Performance Interface can also create new performance models or update existing performance models with the required nodes for the data being loaded.
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Database Column | Table | Required? | Purpose |
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PSR_USER_FLOAT1 | PERF_SEC_RETURNS | N | Opening Market Value |
PSR_USER_FLOAT2 | PERF_SEC_RETURNS | N | Closing Market Value |
PSR_USER_FLOAT7 | PERF_SEC_RETURNS | Y | Gross investment base (opening weight) |
ABAL | PERF_SEC_RETURNS | Y | Average Balance (opening weight) for Custom Benchmark support |
PSR_USER_FLOAT8 | PERF_SEC_RETURNS | Y | Gross return |
PSR_USER_FLOAT32 | PERF_SEC_RETURNS | N | Local return |
PSR_USER_FLOAT50 | PERF_SEC_RETURNS | N | Net return |
PSR_USER_CHAR1 | PERF_SEC_RETURNS | N | Yield Curve ID, for FIA Attribution Sector inputs |
PSR_USER_FLOAT60 | PERF_SEC_RETURNS | N | Effective Yield, for FIA Attribution Sector inputs |
PSR_USER_FLOAT61 | PERF_SEC_RETURNS | N | Effective Duration, for FIA Attribution Sector inputs |
PSR_USER_FLOAT62 | PERF_SEC_RETURNS | N | Effective Convexity (Available for customized analyses) |
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