Before you can use benchmark relative processing to generate returns for a fund's benchmark, you perform several setup tasks. This section describes setup considerations specific to Retail Fund Performance. For general information about defining benchmark definitions and setting up fund to benchmark relationships, refer to Benchmark Management.
Store Benchmark Data
The benchmark relative processing for retail funds described in this section assumes that you store the benchmark's total unit price in the NAV table, the table where unitized products have their prices and distributions stored.
Assign Benchmarks to Retail Fund Entities
You must use Eagle PACE to maintain benchmark assignments for funds. Because performance reports take entity history into account (by default), you must maintain the benchmark assignments on a historical basis. You can perform this task using the Portfolio Data Center, as described in Benchmark Management.
If you are setting up benchmark assignments to backfill a fund's return history in order to report on volatility and SRRI, be aware that some specialized setup guidelines apply. For details, see Calculate the Volatility for Synthetic Risk Reward Indicator (SRRI).
When you add or edit a benchmark assignment, you can select a value for the Process Across Changes check box in the entity Benchmark tab.
If you set the Process Across Changes option for a benchmark assignment to:
Selected. This option allows you to calculate a benchmark dynamic return that reflects one or more changes to a retail fund's benchmark over time. When calculating a benchmark dynamic return, the system determines if a fund's benchmark assignment changed at any point during the performance period, and if so, on which dates. Then, it uses each benchmark's price data for the period of time for which it was assigned.
Cleared. This option instructs the calculation to ignore historical benchmark changes and instead use the current benchmark as of the report run date. The current benchmark price data is used for the entire reporting period.
Be aware that if you run a report that calculates benchmark returns for several funds, the system only calculates returns that reflect benchmark changes for those funds that have benchmark assignments with the Process Across Changes option selected. If you select Process Across Changes for benchmark assignments for Fund 1, and do not select Process Across Changes for benchmark assignments for all other funds in the report profile, only the Fund 1 benchmark relative return reflects benchmark changes.
For an example of how the system processes benchmark relative returns for benchmark assignments that change over time, see Process Benchmark Returns that Reflect Benchmark Changes.
Set the System Default Value for Process Across Changes
You can assign a default value for the Process Across Changes check box that appears when you create an entity benchmark assignment. For details, see Benchmark Management.
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