This section describes how to set up the Composite Analysis report to report on benchmark data for Performance Composites.
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Using the Process across Changes Option to Link Benchmark Assignments
When processing Composite Performance Analysis fields, the Composite Analysis report uses the benchmark's Process Across Changes setting to determine whether to 1) use the benchmark assigned to the entity as of the report date and apply that benchmark's data to the entire date range of the report (regardless of benchmark assignment changes), or to 2) read the benchmark history for that time period and link data across any benchmark changes during the date range.
The Benchmark Management User Guide describes how you can set up an entity that represents a benchmark or a custom benchmark and then identify that entity as the benchmark to use with specific funds. If you use Eagle's GIPS Composite Management solution, you can assign benchmarks to both constituents and composites. When you add or edit a benchmark assignment for a composite or a constituent, you can select a value for the Process Across Changes checkbox in the entity Benchmark tab. See the following figure. 
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The Composite Analysis report uses this information as follows. If you set the Process Across Changes option to:
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You can configure the default value for this checkbox when you create an entity. Details appear later in this section.
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The Performance Analysis report also uses Process Across Changes option to link benchmark assignments, and can link benchmark assignments for composites in a similar manner. For more information, see the Benchmark Management User Guide. |
Set Up the Composite Analysis Report to Link Across Benchmark History
If you set up benchmark assignments where you select the Process Across Changes option to link benchmark history across benchmark changes, consider the following when you set up the Composite Analysis report profile:
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For example, if you override the primary benchmark with the secondary benchmark and the secondary benchmark has the Process Across Changes checkbox selected, the report links across the benchmark history for the secondary benchmark. If you override the primary benchmark with the secondary benchmark and the secondary benchmark has the Process Across Changes checkbox cleared, the report does not link across benchmark history for the second benchmark. Similarly, if you override the primary benchmark with a specific entity such as SP500, the report does not link across benchmark history for the specific entity.
How the Composite Analysis Report Uses the Process Across Changes Option
The Process Across Changes setting you define for a given benchmark definition can vary from benchmark assignment to benchmark assignment. For example, if you reassign the primary comparison index for an entity several times, it is possible that one benchmark assignment has the Process Across Changes checkbox selected for the primary comparison index, and another benchmark assignment for the primary comparison index has the Process Across Changes checkbox cleared. For this reason, it is important to understand how the system identifies the appropriate benchmark assignment data and corresponding Process Across Changes setting when you run a report, and determines whether and how to link benchmark data.
The Composite Analysis report can link benchmark changes over time when you configure the benchmark assignment to do so. During report processing, the system performs benchmark processing once for each portfolio on the report, even if the portfolios share the same benchmark. It does this because even though the benchmark shares the same portfolio, portfolios do not have the same assignment history. The report performs benchmark processing first at the Constituent level and then at the Composite level. During Composite Analysis report processing, the system does the following:
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- After the system determines the sources and performance models to use for each entity, it forms the benchmark query to retrieve the benchmark data for all the benchmarks over the longest period on the report.
- The system queries and retrieves benchmark data for each benchmark over the longest period from the report.
- For all the assignments where you did not select the Process Across Changes option, the system uses the returns for each of these benchmarks as it does from the benchmark data fetch.
- For each temporary benchmark entity created (Process Across Changes selected), the system stores the associated returns from each of the corresponding benchmarks and assignment periods with that temporary benchmark.
Use EagleEye Analysis to Identify Benchmark Assignments Used
If you use EagleEye Analysis to research information in Composite Analysis report results, be aware that the report Input section provides information about any fields that use benchmark data over time. An additional column shows the underlying benchmark assignments.
For more information about using EagleEye Analysis, see the GIPS Composite Management User Guide.
Set the System Default Value for Process Across Changes
The Process Across Changes checkbox in the entity Benchmark tab identifies whether to link benchmark history across benchmark changes. The Sys Item 26 setting, located on the Performance Center > Setup > System Settings > System Parameters workspace, determines the default value that appears in the Process Across Changes checkbox. You can change the default value that appears each time you create a new entity and add a benchmark assignment.
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Be aware that the Sys Item 26 setting applies a default value for all types of entities when you are assigning benchmarks, not just to Performance Composites (ACOM). |
To change system settings related to the Processing Across Changes checkbox:
- In Performance Center, from the left navigation, click Setup > System Settings.
You see the Performance System Parameters workspace. - Select the row for Sys Item 26, right-click and select Edit.
- Select one of the following values.
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The new value appears in the corresponding Sys Value cell. Anchor
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Set Up Benchmark Return Fields
To report on benchmark data in a Composite Analysis report, you can define a Composite Performance Analysis field with a Calculation Type of Benchmark Return. See the following figure. 
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Composite Performance Analysis Field - Benchmark Return
The calculation type of Benchmark Return indicates that the field retrieves data for the entity's benchmark, and not for the entity itself. The Benchmark Entity defines which benchmark to use for the entity. For example, a value of 1 identifies the use of the entity's primary benchmark.