Floating Aggregate Benchmarks
- Tom Fahey (Unlicensed)
- Pamela Totas (Deactivated)
The Floating Weight Aggregate Benchmark is a new type of custom index that builds performance data for aggregate benchmarks with floating weights. The source data can be at the sector level or security level, allowing you to create a blend for a total-level model, as well as a multi-level model, with or without underlying securities. This functionality calculates several types of custom benchmarks that were not previously supported directly by Eagle Performance. The performance data for these benchmarks can be processed by performance analysis reports in the same fashion as other custom indexes.
Examples of Floating Weight Aggregate Benchmarks:
Security level aggregates with floating weights
Sector level aggregates
Blends creating a total level model
Aggregates that preserve official returns not supported by underlying data
The Floating Weight Aggregate Benchmark is a custom index that builds a performance model and security data by aligning the sectors and securities from a list of source entities and then weighting them at specified percentages. This merging process happens for each node and security held by any source entity. Each source entity is blended at a specified weight that can remain static or can be configured to float over time.
Securities are always calculated as a weighted average of the source entities that hold them. However, sectors can be calculated as a weighted average of the source entities that hold them, or calculated as a roll up from underling sub-sectors or securities. The Floating Weight Aggregate Benchmark is defined and built using the same processes as other types of custom indexes.