A custom blended benchmark consists of underlying source entities based on weights, rates of return, and entity assignments at node levels
The process for defining custom benchmark structures and generating the performance data, returns, and weights is generally the same across all types of custom benchmarks. The custom structures that you can define and the source data required to build the custom benchmark data can differ depending on the custom benchmark type. This section describes the Build Security Level feature for entity Index Attributes of Blended Weighted, Floating Weight, Floating Aggregate, and Currency Conversion custom benchmarks.
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2Committing SS from SP is supported for Floating weight and Blended benchmark only.
The Target entity will be is built and and supported only for the same type of input underlying source entities. For example, If Source 1 has S, and Source 2 has SS the build will fail.
For CIDX types with single source entity like Currency Conversion (Exclusion and constrained – to be made available in future version), have the option of which security type returns to be picked for source and target. Here S source can create S. SS can create SS, and SP can create SP.
The values of the new security types used and built is stored in the Custom Index Attributes table under the user data column. A possible issue with a custom blend is when one source benchmark contains security level data, and another source benchmark does not. In this case, the build creates a custom benchmark with the securities from only one source benchmark, which can be misleading.
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If you use the Long Short Indicator in the grouping rule and intend intend to build a SP/SS Perf_summary type from S/SS/SP. Then , then the strategy_detail_id is assigned based on the node to which / under which the source index is attached. The source index will be part of that strategy. Assume we have two strategies Core and Tactical , then : you can assign one index under the core strategy and another index under the tactical strategy and build the SS/ SP perf summary types. If the same security is part of multiple nodes in the target dictionary on the same day under but different strategies (strategy detail ID), then the SS build option will not fail.
For example:
In blended benchmark, if Source 1 has Apple in equities and source 2 has Apple in bonds on the same day that the target dictionary will have Apple in both nodes and S, SS will fail. In this case the SP type commit will build showing apple under the Equity and Fixed Income buckets in the target.
In the very same example, if we have the LS Indicator in the grouping rule with 2 strategies like core and tactical and source 1 is assigned to core and source 2 is assigned to tactical, then the SS commit will not fail as they fall under different strategy detail ID on the same day. The SP type build will be successful.
Build SP/SS from S/SS/SP without LS Indicator in the grouping rule
If you do not use the Long Short Indicator in the grouping rule and intend to build a SP/SS Perf_summary type from S/SS/SP. Then based on the underlying source entity security level weights the system assumes the positive weights as long strategy and the negative weights as short strategy. The system assigns the strategy detail ID accordingly and does the CIDX build process with SP/SS. The SP will be able to commit even if the same security is part of multiple nodes on the same day.
If the same security is part of multiple nodes in the target dictionary on the same day, then the SS will not fail. It will aggregate that security if Long only or showing separately if they are Long and Short as they get the strategy detail assigned based on the weights. and assign it to the node according to the alphabetical sorting of the source entities of the entity ID.
In floating aggregate all securities are grouped by security alias. Because S does not have a strategy detail all securities gets grouped under the first available strategy. The ideal configuration would be to build SP for strategies.