4. Create Entity LISTs. If you have not done so already, create LIST entities to manage equity and fixed income accounts. (If you set up the Index Toolkit, you performed this task.) Create:
One LIST entity for all your equity accounts.
Another LIST entity for all your fixed income accounts.
These LIST entities can be dynamic or static.
Daily Calculation Setup
This section describes how to set up daily calculations.
To set up daily calculations:
1. Copy and Configure Daily Calculation Reports. Perform the following tasks for your daily calculation reports:
Copy Report Profiles for Daily Calculations. Make copies and rename the Performance Calculation report profiles used for daily calculations that you plan to use for your performance workflow. You can use the renamed versions of your daily calculation reports in Process Manager to run your workflow.
You copy reports to avoid issues when new versions of the reports are distributed with the Toolkit in the future. When you rename the reports, it can be helpful to use a consistent naming convention to identify all Process Manager calculation reports, such as a prefix of PM. For a description of available reports, see the Preconfigured Components section of this chapter.
Identify Date Rule. In each daily calculation report profile you plan to use, edit the Daily Profile Period Option (Between Date Rule).
Each daily calculation profile needs a specific date rule for the daily workflow. This date period is a between date period using a date rule which sets the start date to -1 day using the Business calendar. This returns the previous business day as your start date. An example follows.
Maintain Your Results Queue. In each Performance Calculation report profile you are using for your daily calculations, select the Report Options dialog box, and:
- Select the Do Not Return the Result when submitted check box from the profile options. This keeps your results queue from filling up during your nightly process.
Clear the Do Not generate the Result when submitted check box, or confirm that it is not selected.
For more information, see Performance Calculation.
2. Create Daily Calculation Workflows. Use Process Manager to create daily workflows as follows:
Create one workflow for each List you have created, one for your equity list, and one for your fixed income list. For example:
Daily Calculation Equity Workflow
Daily Calculation Fixed Income Workflow
In the Workflow Definition tab, each workflow has a Type of Static.
In the Workflow Definition tab, when you set up date rules for each workflow, ensure that your date range is set to pass the current day through to the profile. Eagle recommends that you select a (first) date rule, select the Adjust Effective dates using the Date Rule check box, and assign a (second) adjuster date rule to apply the business calendar to both start and end dates. See the following example of the workflow’s adjuster date rule.
In the Run Groups tab, for each workflow, select the Performance Calculation report profiles you wish to run for that LIST and the LIST entities for that workflow. For example, select a PACE Event of Performance Calculation – Portfolio Daily <MODEL NAME>.
In the Entities tab, associate the appropriate LIST type entity with each workflow.
In the Schedules tab, do not add a schedule, or if one exists, be sure to clear the Enable this Schedule check box. This allows the Event manager to control when the workflow is kicked off.
For more information, see the Process Manager User Guide.
3. Schedule Daily Calculation Workflows. If you have not already done so (in the Index Toolkit), use Data Steward’s Maintain Events window to create a daily event package with both the daily calculation Equity and Fixed Income workflows. Schedule the daily calculation workflows as a daily event.
If you previously set up the Index Toolkit, you created a daily event package that includes daily benchmark workflows for committing benchmark returns. In that case, edit the daily event package to add the daily calculation equity and fixed income workflows to the Event Package Options page. When you add the daily calculation workflows, ensure that the daily benchmark workflows are #1 in the Group Run Order column.
Monthly Calculation Setup
This section describes how to set up monthly calculations.
To set up monthly calculations:
1. Copy and Configure Monthly Calculation Reports. Perform the following tasks for your monthly from daily (also called daily to monthly) calculation reports:
Copy Report Profiles for Monthly Calculations. Make copies and rename the Performance Calculation report profiles used for Monthly from Daily calculations that you plan to use for your performance workflow. You can use the renamed versions of your monthly calculation reports in Process Manager to run your workflow.
You copy reports to avoid issues when new versions of the reports are distributed with the Toolkit in the future. When you rename the reports, it can be helpful to use a consistent naming convention to identify all Process Manager calculation reports, such as a prefix of PM. For a description of available reports, see the Preconfigured Components section of this chapter.
Identify Date Rule. In each Monthly from Daily calculation report profile you plan to use, edit the Monthly Profile Period Option (Between Date Rule).
Your monthly calculation profiles need a specific date rule for the monthly workflow. This date period is a “between” date period using a date rule which sets the start date to -1 month end uses the Business calendar. This returns the previous month end as your profile’s start date. An example follows.
Maintain Your Results Queue. In the Performance Calculation report profile you are using for your monthly from daily calculations, select the Report Options dialog box, and:
Select the Do Not Return the Result when submitted check box from the profile options. This keeps your results queue from filling up during your month end process.
Clear the Do Not generate the Result when submitted check box, or confirm that it is not selected.
For more information, see Performance Calculation.
2. Create Monthly Calculation Workflows. Use Process Manager to create monthly workflows as follows:
Create one workflow for your Equity list and one for your Fixed Income list. For example:
Monthly Calculation Equity Workflow
Monthly Calculation Fixed Income Workflow
In the Workflow Definition tab, each workflow has a Type of Static.
In the Workflow Definition tab, ensure that each date range is set to pass the current day as the effective date to each profile. Eagle recommends that you select a (first) date rule, select the Adjust Effective dates using the Date Rule check box, and assign a (second) adjuster date rule in which you set both the Adjust to start date and end date to a value of Month End.
In the Run Groups tab, for each workflow, select the Performance Calculation report profiles you wish to run for that LIST and the LIST entities for that workflow. For example, select a PACE Event of Performance Calculation – Portfolio Monthly <MODEL NAME>.
In the Entities tab, associate the appropriate LIST type entity with each workflow.
In the Schedules tab, do not add a schedule, or if one exists, be sure to clear the Enable this Schedule check box. This allows the Event manager to control when the workflow is kicked off.
For more information, see the Process Manager User Guide.
3. Schedule Monthly Calculation Workflows. If you have not already done so (in the Index Toolkit), use Data Steward’s Maintain Events window to create a monthly event package with both the monthly calculation Equity and Fixed Income workflows and schedule them as a monthly event.
If you previously set up the Index Toolkit, you created a monthly event package that includes monthly benchmark workflows for committing benchmark returns. In that case, edit the monthly event package to add the monthly calculation equity and fixed income workflows to the Event Package Options page. When you add the monthly calculation workflows, ensure that the monthly benchmark workflows are #1 in the Group Run Order column.
4. Create Commit Journal Views. The Commit Journal helps you to monitor your Performance workflow. Two recommended Commit Journal views are:
A Commit Journal view for each List Entity and Update Date to view all the previous night’s commits, their commit status, and any potential issues using the filters for system comments and alpha reference messages. You can create a Commit Journal view and select the List entity and an update date of Today to see the performance calculation and commit activity for your entities.
A Commit Journal view that has the Comments filter set to Not Normal returns Commit Journal records that have generated system errors.
5. (Optional) Schedule MPC Builds for Unit Values. Multiperiod Performance Calculator (MPC) builds are recommended for calculating unit values. The Toolkit has MPC rules built for daily and monthly frequency for the Total Level Model.
For more information about the Multiperiod Performance Calculator, see Performance Calculation.