Use Benchmarks in the Composite Analysis Report

The Composite Analysis report uses this information as follows. If you set the Process Across Changes option to:

• Selected. Links benchmark history across benchmark changes for the specified benchmark definition. Retrieves benchmark data from different benchmarks.
  If you select this option for the benchmark assignment, and select the Use Entity History option in the report profile, the report reads benchmark data historically for the report run date.

• Cleared. Does not link benchmark history across benchmark changes for the specified benchmark definition. Retrieves the benchmark assignment as of the report date and uses it to provide benchmark data for the entire reporting period. You must define a Custom Benchmark per portfolio if the benchmark changes and you need to link benchmark data.
  You can configure the default value for this checkbox when you create an entity. Details appear later in this section.

Set Up the Composite Analysis Report to Link Across Benchmark History

If you set up benchmark assignments where you select the Process Across Changes option to link benchmark history across benchmark changes, consider the following when you set up the Composite Analysis report profile:

• Date Range. In Composite Performance Analysis fields, you choose an option that specifies whether to use a time period defined in the report profile (Use Profile Date Range(s) option) or whether to use a time period defined the field itself (Use Field Date Range option). For more information, see  Set Up Benchmark Return Fields

• Submit with Override Benchmark Assignments. If you run the Composite Analysis report in Submit with Override mode and use the report profile's Select the Benchmark tab to change a benchmark assignment, the report uses the Process Across Changes checkbox setting of the overriding benchmark assignment to determine whether to link benchmark history.

For example, if you override the primary benchmark with the secondary benchmark and the secondary benchmark has the Process Across Changes checkbox selected, the report links across the benchmark history for the secondary benchmark. If you override the primary benchmark with the secondary benchmark and the secondary benchmark has the Process Across Changes checkbox cleared, the report does not link across benchmark history for the second benchmark. Similarly, if you override the primary benchmark with a specific entity such as SP500, the report does not link across benchmark history for the specific entity.

How the Composite Analysis Report Uses the Process Across Changes Option

The Process Across Changes setting you define for a given benchmark definition can vary from benchmark assignment to benchmark assignment. For example, if you reassign the primary comparison index for an entity several times, it is possible that one benchmark assignment has the Process Across Changes checkbox selected for the primary comparison index, and another benchmark assignment for the primary comparison index has the Process Across Changes checkbox cleared. For this reason, it is important to understand how the system identifies the appropriate benchmark assignment data and corresponding Process Across Changes setting when you run a report, and determines whether and how to link benchmark data.

The Composite Analysis report can link benchmark changes over time when you configure the benchmark assignment to do so. During report processing, the system performs benchmark processing once for each portfolio on the report, even if the portfolios share the same benchmark. It does this because even though the benchmark shares the same portfolio, portfolios do not have the same assignment history. The report performs benchmark processing first at the Constituent level and then at the Composite level. During Composite Analysis report processing, the system does the following:

1. Based on the fields in the report, the system selects the benchmark assignments and Process Across Changes indicator for each entity's benchmark definitions (primary, secondary, and so on) from entity history if you selected the Use Entity History option or from the entity record if you did not select the Use Entity History option. Note that if you selected the Process Across Changes option and you did not select the Use Entity History option, the system must still use the historic benchmark data to process across changes.

2. For all the assignments with the Process Across Changes option selected, the system creates a new temporary benchmark entity for the combinations of each portfolio and each benchmark definition. For example, PORT1-BM1, PORT2-BM1, PORT3-BM1.

3. For all the assignments where you did not select the Process Across Changes option, the system creates a temporary entity with the benchmark entity ID. For example, SP500, LEHAGG, RU2K.

4. For all the assignments with the Process Across Changes option selected, the system selects all the benchmark assignments that occurred between the begin and end dates of the fields that reference each benchmark. This is similar to the Performance data fetch except instead of returns, all the benchmark assignments between two dates are returned.

5. For Composite Performance Analysis fields, the date range can come from either the report profile or the field. The report considers this when processing benchmark assignments for each entity.

6. The system determines the sources and performance models to query data from using one query for all the benchmark entities against the Composite Analysis report profile's performance model and report rule's source. A second query selects the benchmarks' Default Dictionary and source. (For information about default dictionaries, see the Performance Analysis and Reporting User Guide.) Based on the data returned for each of the benchmarks for the entire period, the source and performance model are selected. The benchmark uses this same source and performance model for all the portfolios on the report that use that benchmark regardless of the time period.

For example, if PORT1 uses SP500 for two years ago, RU2K for the prior year, and SP500 for the current year, then SP500 & RU2K are queried for the entire three year period. SP500 is not queried for two years ago, RU2K for the prior year, and SP500 again for the current year. This optimizes this process by sharing the source/performance model determination process across all the portfolios in the report and not making it portfolio specific.

1. After the system determines the sources and performance models to use for each entity, it forms the benchmark query to retrieve the benchmark data for all the benchmarks over the longest period on the report.

2. The system queries and retrieves benchmark data for each benchmark over the longest period from the report.

3. For all the assignments where you did not select the Process Across Changes option, the system uses the returns for each of these benchmarks as it does from the benchmark data fetch.

4. For each temporary benchmark entity created (Process Across Changes selected), the system stores the associated returns from each of the corresponding benchmarks and assignment periods with that temporary benchmark.

Use EagleEye Analysis to Identify Benchmark Assignments Used

If you use EagleEye Analysis to research information in Composite Analysis report results, be aware that the report Input section provides information about any fields that use benchmark data over time. An additional column shows the underlying benchmark assignments.

For more information about using EagleEye Analysis, see GIPS Composite Management.

Set the System Default Value for Process Across Changes

The Process Across Changes checkbox in the entity Benchmark tab identifies whether to link benchmark history across benchmark changes. The Sys Item 26 setting, located on the Performance Center > Setup > System Settings > System Parameters workspace, determines the default value that appears in the Process Across Changes checkbox. You can change the default value that appears each time you create a new entity and add a benchmark assignment.

To change system settings related to the Processing Across Changes checkbox:

1. In Performance Center, from the left navigation, click Setup > System Settings.
   You see the Performance System Parameters workspace.

2. Select the row for Sys Item 26, right-click and select Edit.

3. Select one of the following values.

   • U (Unchecked). The Process Across Change checkbox is cleared, displaying no check mark.

   • C (Checked). The Process Across Change checkbox is selected, displaying a check mark.

   The new value appears in the corresponding Sys Value field.

Set Up Benchmark Return Fields

To report on benchmark data in a Composite Analysis report, you can define a Composite Performance Analysis field with a Calculation Type of Benchmark Return.

The calculation type of Benchmark Return indicates that the field retrieves data for the entity's benchmark, and not for the entity itself. The Benchmark Entity defines which benchmark to use for the entity.