Create a Linked Benchmark

You can create a Linked custom benchmark by linking the history of multiple indexes under a single index. The returns from more than one source index are used to form the time series of index returns.

For example, you can link a Domestic Equity Large Cap index with an as-of date of 8/6/2009, to a Domestic Equity index with an as-of date of 4/1/2004. The Domestic Equity Large Cap index might use the Total Level Model, at the Total level and assign it a weight of 100%. You can then link the History prior to that to the Domestic Equity index, which was in place as of 4/1/2004.

To create a Linked benchmark:

1. From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
2. Enter Benchmarks in the Start Search text box.
3. Click the Benchmarks (Performance Center).
   You see the Performance Center and the Benchmarks workspace with a list of entities.
4. Click Create New on the Home tab ribbon.
   The Create New dialog box appears.
5. Select Custom Benchmarks from the Select Policy drop-down list.
   The Select Custom Index Type drop-down list appears in the dialog box.
6. Select Linked from the Custom Index Type drop-down list and click OK.
   You see the Create New Custom Benchmark wizard with the Details page displayed.
7. In the Details page, enter the Inception Date for the custom benchmark and click Next.
   The Linked Benchmark page opens.
8. Select the Target Performance Model from the drop-down list.
   The Target Performance Model structure appears in a grid.
9. Double-click a cell in the grid to populate that node in the target dictionary.
   The Total dialog box opens.
10. Assign values for Entity, Source, Model, and Weight for the node, and click OK.
11. Assign entity information for each as-of date on which the entity benchmark changes. This tells the entity build program that the entity assignment has changed and on what effective date.
12. Click Save.
    Additional pages are available Benchmark, Peer Group Association, Disclosures, and Permissions, but they are not required for a floating weight benchmark setup.
    The custom index attribute definition is saved in the database in the RULESDBO.CUSTOM_INDEX_ATTRIBUTES table.
    When the Linked benchmark’s source entity changes, edit the Linked Benchmark and repeat this process to assign a different source entity as of the appropriate date. You update the entity information for each as of date on which the entity benchmark changes. This tells the entity build program that the entity assignment has changed and on what effective date.