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Examples of Floating Weight Aggregate Benchmarks:

  • Security level aggregates with floating weights

  • Sector level aggregates

  • Blends creating a total level model

  • Aggregates that preserve official returns not supported by underlying data

The Floating Weight Aggregate Benchmark is a custom index that builds a performance model and security data by aligning the sectors and securities from a list of source entities and then weighting them at specified percentages. This merging process happens for each node and security held by any source entity. Each source entity is blended at a specified weight that can remain static or can be configured to float over time.

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