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In order to load index positions and calculate and store index daily and monthly performance returns you need to load the following types of interfaces:
Entity interfaces, described in this section.
Security interfaces, described in this section.
Codes interfaces, described in this section.
Position interfaces, described in this section. Setup the Index Toolkit
Performance interfaces, described in this section.
Analytics must be loaded to support Fixed Income Attribution; that interface is described in the Attribution Toolkit section of this guide.
Indexes can be assigned as a benchmark for a portfolio by using the Benchmark Assignment Interface; that interface is described in the Reporting section of this guide.
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RIMES Technologies Corporation is a data vendor familiar with Eagle’s generic interfaces and the data Eagle requires for use with the Performance Toolkit 2.0. RIMES can provide your organization with index data along with other types of data used by the Performance Toolkit, such as security analytics and yield curve data.
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See Appendix A, Requesting Index Toolkit Data from RIMES, for a form you can share with RIMES (or other market data providers) when you submit a request for index data for use with the Performance Toolkit. Your answers can help the vendor better understand the Performance data you are requesting and specific values you want to receive for certain data elements. |
Generic Entity Interface
The Index Toolkit requires each index to be set up as an entity with a unique ENTITY_ID. An index must be available as an entity before positions or performance can be loaded.
Most indexes must be set up with an ENTITY_TYPE of INDX.
When you load entities, be aware that the Toolkit assumes you are providing only gross total returns for securities in an index, and the Toolkit reports are designed to report on gross total returns for indexes in which you provide security level information.
You can, however, provide other types of returns by providing those returns for an additional index entity or by customizing the index feeds and interfaces to support the required returns. For example, without customizing the index feed, a data vendor can provide a net return index as one index entity and can provide a gross return index as a second index entity. Or you can provide a price return for one index entity and a Total return as a second index entity.
Interface Details
The standard Entity interface is a generic stream available in Message Center in the CSV or STAR formats:
- Eagle_Default_In_Csv_Entity
- Eagle_Default_In_Star_Entity
See the Generic Streams and Data Uploaders Reference Guide for more details.
Columns Used
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This section includes:
The Index Toolkit requires performance data to be available for each entity. You can use the Standard Performance Interface as a batch loader to populate performance data directly into the PERFORM tables. Official Total-level returns for each index should be loaded this way daily; these returns are reconciled to calculated returns.
The best practice to store most daily performance is to load index constituents using the Positions Interface and then calculate performance for the performance models in the Toolkit. This ensures consistency between benchmarks and the invested portfolios.
The performance loader can be used to directly load official historical data for any performance fields for any performance model and index constituents. The performance loader eliminates the step of running historical performance calculations and ensures the official returns are stored. It might also be necessary to load historical positions and calculate performance models when official performance model history is not available or in order to match the invested portfolio calculations. Weights and ABALs should be loaded as percentages and sum to 100 at the total level. Returns should also be loaded as percentages, such that a price that doubled would have a return of 100.
In addition, the performance interface is used to load analytics for fixed income sectors as described in the Attribution section of this guide. These four fields are identified in the summary table that follows.
The Standard Performance Interface can also create new performance models or update existing performance models with the required nodes for the data being loaded.
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If you do not load index constituents, but use the performance loader to directly load daily index returns for use in calculating monthly returns, note that calculated performance returns are stored under the Eagle PACE (EAGLE PACE) source. Eagle recommends you use a source of Eagle PACE under these conditions so that the daily index returns and the monthly index returns share the same source, and facilitate use of mixed frequency linking. |
Interface Details
The generic Performance interface is a generic uploader available in the PIPE format under:
Eagle Generic Interfaces (EGLGENERIC) > Performance (PRF)
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