This section describes how to set up monthly Index calculations.
To set up monthly Index calculations:
1. Copy and Configure Monthly Calculation Reports. Perform the following tasks for your monthly from daily (also called daily to monthly) index calculation reports:
Copy Report Profiles for Monthly Index Calculations. Make copies and rename the Performance Calculation report profiles used for Monthly from Daily index calculations that you plan to use for your performance workflow. You can use the renamed versions of your monthly index calculation reports in Process Manager to run your workflow.
You copy reports to avoid issues when new versions of the reports are distributed with the Toolkit in the future. When you rename the reports, it can be helpful to use a consistent naming convention to identify all Process Manager calculation reports, such as a prefix of PM. For a description of available reports, see the Preconfigured Components section of this chapter.
Identify Date Rule. In each Monthly from Daily index calculation report profile you plan to use, edit the Monthly Profile Period Option (Between Date Rule).
Your monthly calculation profiles need a specific date rule for the monthly workflow. This date period is a “between” date period using a date rule which sets the start date to -1 month end uses the Business calendar. This returns the previous month end as your profile’s start date. An example follows.
Maintain Your Results Queue. In the Performance Calculation report profile you are using for your monthly from daily index calculations, select the Report Options dialog box, and:
Select the Do Not Return the Result when submitted check box from the profile options. This keeps your results queue from filling up during your month end process.
Clear the Do Not generate the Result when submitted check box, or confirm that it is not selected.
For more information, see Performance Calculation.
2. Create Monthly Index Calculation Workflows. Use Process Manager to create monthly index workflows as follows:
Create monthly workflows for index calculations, such as:
Monthly Calculation Index Equity Workflow
Monthly Calculation Index Fixed Income Workflow
In the Workflow Definition tab, each workflow has a Type of Static.
In the Workflow Definition tab, ensure that each date range is set to pass the current day as the effective date to each profile. Eagle recommends that you select a (first) date rule, select the Adjust Effective dates using the Date Rule check box, and assign a (second) adjuster date rule in which you set both the Adjust to start date and end date to a value of Month End.
In the Run Groups tab, for each workflow, select the Performance Calculation report profiles you wish to run for that LIST and the LIST entities for that workflow. For example, select a PACE Event of Performance Calculation – Index Monthly <MODEL NAME>.
In the Entities tab, associate the appropriate LIST type entity with each workflow. Use the equity and fixed income lists that include Benchmarks, Sub-Portfolios, Aggregates, and Custom Benchmarks. (You calculated daily custom benchmarks in a separate process, but can calculate monthly from daily custom benchmarks along with other indexes.)
In the Schedules tab, do not add a schedule, or if one exists, be sure to clear the Enable this Schedule check box. This allows the Event manager to control when the workflow is kicked off.
For more information, see the Process Manager User Guide.
3. Schedule Monthly Index Calculation Workflows. Use Data Steward’s Maintain Events window to create a monthly event package with the monthly index calculation workflows and schedule them as a monthly event. When you add the monthly index calculation workflows, ensure that the appropriate workflows are #1 in the Group Run Order column.
4. (Optional) Create Commit Journal Views. The Commit Journal helps you to monitor your Performance workflow. Create Commit Journal Views for:
Equity Index Entities
Fixed Income Index Entities
Each Performance Model associated with indexes
For more information, see Performance Calculation.
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