Index Daily Calculation Setup

This section describes how to set up daily Index calculations.

To set up daily Index calculations:

1. (Optional) Define Entity Build Process for Sub-Portfolios and Aggregates. If you use Sub-Portfolio and Aggregate type entities for indexes, you can set up an entity build process to populate the Holding tables for those entities. The Toolkit includes standard configurations for market value, weight, and return fields that are calculated by entity build processes for Aggregates and Sub-Portfolios. For more information, see the Field Attributes section of this chapter.

2. Copy and Configure Daily Index Calculation Reports. Perform the following tasks for your daily index calculation reports:
   
   Copy Report Profiles for Daily Index Calculations. Make copies and rename the Performance Calculation report profiles used for daily index calculations that you plan to use for your performance workflow. You can use the renamed versions of your daily 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 daily index calculation report profile you plan to use, edit the Daily Profile Period Option (Between Date Rule).
   Each daily calculation profile needs a specific date rule for the daily workflow. This date period is a “between” date period using a date rule which sets the start date to -1 day using the Business calendar. This returns the previous business day as your start date. 
   
   Maintain Your Results Queue. In each Performance Calculation report profile you are using for your daily index calculations, select the Report Options dialog box, and clear the Do Not generate the Result when submitted check box, or confirm that it is not selected. For more information, see Performance Calculation.
   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 nightly process.
   
   

3. Create Daily Calculation Workflows. Use Process Manager to create daily calculation workflows for indexes as follows:

   • Create one workflow for your equity list, and one for your fixed income list:

     • Daily Calculation Index Equity Workflow

     • Daily Calculation Index Fixed Income Workflow

   These workflows are required for all performance models.

   • In the Workflow Definition tab, each workflow has a Type of Static.

   • In the Workflow Definition tab, when you set up date rules for each workflow, ensure that your date range is set to pass the current day through to the 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 to apply the business calendar to both start and end dates. See the following example of the workflow’s adjuster date rule.

   • 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 Daily <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, and Aggregates, and do not include Custom Benchmarks. (You define daily custom benchmarks in a separate process, described later.)

   • 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.
     
     

4. Schedule Daily Index Calculation Workflow Use Data Steward’s Maintain Events window to create a daily event package with the daily index calculation workflows. Schedule the daily index calculation equity and fixed income workflows as a daily event. When you add the daily index calculation workflows, ensure that these workflows are #1 in the Group Run Order column.

5. (Optional) Define Daily Custom Benchmark Build Process. If you use custom benchmark type entities for indexes, you can set up an entity build process to define daily custom benchmark returns and related performance data. The Toolkit includes standard configurations for market value, weight, and return fields that are calculated by entity build processes for custom benchmarks. For more information, see the Field Attributes section of this chapter. For general information about setting up and building custom benchmarks, see the Benchmark Management.