Generic Performance Interface

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. The Standard Performance Interface can also create new performance models or update existing performance models with the required nodes for the data being loaded.

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)

See the Generic Streams and Data Uploaders Reference Guide for more details.

Columns Used

The following table shows columns used by the Index Toolkit.

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