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| Eagle Performance offers two approaches to linking data to reflect benchmark changes over time. You can create linked benchmarks or can configure the entity's benchmark assignments to process across changes. For more information, see Link Data Across Benchmark Assignment Changes. |
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A linked benchmark has a one to one relationship with its underlying source entity. Note that you can only create a linked benchmark at the Total level.
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Date | Benchmark 1 Return | Benchmark 2 Return | Benchmark 3 Return | Linked Custom Benchmark |
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January 2000 | 1.783789832176 | 1.783789832176 | ||
February 2000 | 2.476630811445 | 2.476630811445 | ||
March 2000 | 2.173112358870 | 2.173112358870 | ||
April 2000 | 2.608787321871 | 2.608787321871 | ||
May 2000 | 3.884952900351 | 3.884952900351 | ||
June 2000 | 1.925400872419 | 1.925400872419 | ||
July 2000 | -.538051121508 | -.538051121508 | ||
August 2000 | 1.244881581082 | 1.244881581082 | ||
8 month linked | 16.597637401914* | |||
*The linking is accomplished in a Performance Analysis report and not by the custom index builder. |
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When you create a hurdle based benchmark, the hurdle based benchmark has a one to one relationship with its underlying source entity. You can use an index, a custom benchmark, or another portfolio as the source entity. Because the hurdle based benchmark is a Linked type benchmark, you can only create a hurdle based benchmark at the Total level. In addition, you can:
- Adjust the return by a positive or negative number of basis points (bp) relative to the source entity over a year.
- Use Daily or Monthly frequency to calculate returns for the custom benchmark.
- Change the source entity and number of basis points within an annual period.
- Select a noncompounded or a compounded adjustment methodology.
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During the entity build, the system calculates a simple Nth root offset. It applies this offset in different ways, depending on whether or not you adjust for compounding effects.
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The system allows you to change the custom benchmark definition, but the annual result may not match the +bps specified if the time period spans two custom benchmark definitions. This occurs because the new definition applies only from its effective date and does not recalculate prior periods. You can also build two Linked hurdle based benchmarks with static definitions and then create a third Linked benchmark that switches between the two hurdle based benchmarks.
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If you calculate a hurdle based return without compounding, Eagle Performance applies a simple Nth root offset to each observation in the period. If you link the returns for a year, the system may not create an annual return adjusted by exactly the specified number of bps, due to compounding effects.
The system can calculate the CIDX effective dates in any order. For example, a monthly index with 100bps adjustment has 
added to the return of the source index for every month in the year.
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If you calculate a hurdle based return adjusted for compounding, Eagle Performance adjusts for compounding effects by calculating a running return for the period that is adjusted by the specified bps, and then backing into the return for the observation date being calculated.
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