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This section provides detail on daily and monthly operation.

Daily Operation

The daily operation for the Index Toolkit involves the following phases:

  • Loading Index Data

  • Calculating Index Returns and Committing the Data to the PERFORM Database

  • Commit Journal Review of Index Data

  • Verifying Index Data

The details of each phase follow.

1.  Daily Data Load. Index data must be loaded every business day to support benchmark relative analysis and reporting, as follows:

  • Stage and validate index and supporting data from vendors

  • Any new index entities must be set up; can be loaded using the standard interface.

  • Any new performance models of nodes within existing models must be set up; can be done by the standard performance interface.

  • Official total level returns are loaded to PERFORM tables by the standard performance interface.

  • New Index constituents and changes to industry assignments are loaded to securities tables using the standard SMF interface.

  • New code translations are updated or loaded with standard code values interface.

  • Index constituents are loaded to holdings tables using the standard positions interface.

  • FX rates are required for conversion to alternate currencies, so daily FX Rates need to be loaded as well.

  • Use the Data Steward Event Details windows and Message Center Console to see data load errors.

  • Verification reports for entities, securities, positions, and performance can be run to confirm expected data values were loaded and translated. Performance queries can be run to verify a time series of performance data.

  • For information about Performance verification reports and Performance Query Tool views provided with the Index Toolkit, see the Preconfigured Components section of this chapter.

2.  Daily Data Calculations. Calculating daily index returns and committing the data involves:

  • Position details for derived entities such as aggregate blends and sub-portfolios are calculated and stored to holdings tables using entity builds.

  • Standard performance models are calculated and stored in PERFORM tables by running daily index performance calculation reports. If you are not using performance calculation reports to calculate the models, you need to load the performance data daily using the standard performance interface.

  • Custom benchmarks are calculated by the custom benchmark entity build process.

3.  Confirming the Calculation and Commit Process. To check for issues in the Performance Calculation process for indexes, you can first use the Commit Journal and index performance audit reports to check for system errors, messages from your built in return checks, or other issues. You can also advance each performance commit to the next performance status as prescribed by your workflow.

4. Verifying the Data. To verify data:

  • The Index Daily Return Calculation Audit reports offer many return checks for verifying the returns and also the supporting data for your calculation reports. These reports do not commit data to the PERFORM

  • The Performance Analysis Verification reports for positions and performance are available to confirm expected data values were calculated and the correct data was committed for each performance model. The Toolkit also offers Query Tool views to see a time series view of committed performance returns and data over a month to date or year to date time period.

For information about Performance verification reports and Performance Query Tool views provided with the Index Toolkit, see the Preconfigured Components section.

Monthly Operation

The monthly operation for the Index Toolkit involves the following phases:

  • Running the Monthly Performance Return Calculation and Commit Process for Indexes

  • Commit Journal Review of Index Data

  • Verifying Index Data

The details of each phase follow.

1. Monthly Data Calculations. Calculating monthly index returns and committing the data involves:

  • When using Eagle Performance for index calculations, you have returns committed for every calendar month end. If you are not using Eagle Performance for index returns, you need to load those portfolio returns every calendar month end.

  • FX rates are required for conversion to alternate currencies, so calendar month end FX Rates need to be loaded as well.

  • Use the Data Steward Event Details windows and Message Center Console to see data load errors.

  • Index data must be loaded every month end to support benchmark relative analysis and reporting. This is done by running index monthly from daily performance calculation reports for each model.

2. Confirming the Calculation and Commit Process. To check for issues in the Performance Calculation process for indexes, you can use the Commit Journal to check for system errors, messages from your built in return checks, or other issues. You can also advance each performance commit to the next performance status as prescribed by your workflow. The Commit Journal allows you to set up separate views by frequency, so you can separate your monthly commits from your daily commits.

3.  Verifying the Data. The Performance Analysis Verification reports for positions and performance are available to confirm expected data values were calculated and the correct data was committed for each performance model. The Toolkit also offers Query Tool views to see a time series view of committed performance returns and data over a month to date or year to date time period.

For information about Performance verification reports and Performance Query Tool views provided with the Index Toolkit, see the Preconfigured Components section of this chapter.

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