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.
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The values of the new security types used are 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.Use Single
Possible Scenarios for Blended and Floating Weight CIDX Benchmark Types
Use single position and build single position is the default legacy option and will continue to work the same way as before with the . There is a limitation of build failing if the security is part of multiple nodes in the target dictionary.
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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.
Possible scenarios for Floating Aggregate CIDX Benchmark Type
Use Single position build single position (Legacy S). In the case of floating aggregates, if a security belongs to node A in source 1 and node B in source 2, then the CIDX build assigns the security based on the alphabetical order of source Entity Id’s , the security commit process would not fail.
Build SP/SS from S/SS/SP without LS Indicator in the Grouping Rule
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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.
Possible Scenarios for Currency Conversion
Currency conversion did not have the option of Security level selection, it was assumed to be default Yes in the backend, this has now been made available by default option in the UI as Use and Commit Single position.
In addition to this, the user can build the new security type options from the drop down. The user will be able to use and build the same security type option such as Use Strategy by position and build strategy by position, use strategy by position and dictionary classification and build position by strategy and dictionary classification.