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An example of how PACE calculates the weights and returns for blended benchmarks is described in the following paragraphs.
The blended benchmark weights for December month-end are used to calculate the January return for the custom benchmark. See the following figure.
The returns that are below the total level of the source index are copied to the target blended index for the period. For example, if you drilled into the blended benchmark down to the security level, the returns for each stock in the blended benchmark are the same as those from the source indexes.
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