Set Up Data for Custom Benchmarks
- Tom Fahey (Unlicensed)
- Pamela Totas (Deactivated)
Read the material below to learn how to set up data for use by the custom benchmarks entity build process and downstream reports. Review these tasks before you build performance data for custom benchmarks.
About the Source Entity Weight Column
The custom index build algorithm requires a weight from the source entities. Check your uploaders and performance calculation commit rules to make sure the beginning weight is committed or loaded. The weight column is configurable but defaults to the ABAL column. The weight is required for the process, but it can be stored in a column other than and used by the custom index builder. A weight, for example, would be 100 for 100Â percent or 50 for 50Â percent. A market value, for example, would be 125,000.
The algorithm does not produce the proper results if a market value is loaded to the ABAL column or the alternatively defined weight column. The value of a weight is still required (for example, 100, 50, 25, and so on).
The weight column is defined by an internal field attribute. It can be changed by running the following command in a SQL query tool:
Update rules..field_attributes set field_name = 'new psr column name' where field_attribute_id = 339
The new psr column name is the column you would like to use for the custom benchmark builds.
Also, be sure to update the UPDATE_DATE column on this table and stop and restart the PACE Server.
The weight column which is defined by the internal field attribute applies to the PACE environment which means all entities. The weight column cannot be changed on a per entity basis
On this page:
- 1 About the Source Entity Weight Column
- 2 Set Up Field Attributes for Custom Benchmarks
- 3 Describe Custom Benchmark Construction in Reports
- 4 Use Entity Descriptions in Entity Reports
- 5 Description Formats Used for Different Custom Benchmark Types
- 6 Build Entity Descriptions that Use Overrides
- 7 Build Entity Descriptions for Underlying Entities
- 8 Create an Entity Description Field for Custom Benchmarks
Set Up Field Attributes for Custom Benchmarks
Before you use the Custom Index Builder, you must define a set of field attributes for the custom benchmark entity build process to complete successfully. The custom benchmark entity build process creates performance data only for those fields that you configure as field attributes. Creating these field attributes allows the Custom Index Builder to store the performance data it calculates in the appropriate column in the PERFORM database tables, and makes that performance data available for downstream reporting.
The custom benchmark process entity build requires Advanced field attributes that you need to set up only once. In the beginning of the entity build, the process finds and builds all Advanced field attributes configured with the process of Custom Index or Custom Index Weight Field. (The Custom Index Weight Field process description is named in the scripts as Custom Index Weight Field.)
All fields defined for the source are the same fields that are populated for the target custom benchmark. For example, if you set up the PERFORMDBO..PERF_SEC_RETURNS.PSR_USER_FLOAT8 column with a process of Custom Index, then the Custom Index Builder looks for source entity data in this column and also writes back to this same column with the target entity data.
The field attributes you define can apply to multiple types of custom benchmarks in some cases. Use field naming conventions that reflect this. The Custom Index Builder does not permit two separate field attributes to populate the same database field; it treats those field attributes as potential duplicates and does not populate the field. For example, create a single Custom Index Total Return field for use with all types of custom benchmarks rather than creating both a Blended Index Total Return field and a Floating Index Total Return field.
For hedged benchmarks, use the local return to ensure intended results. A field attribute set up against local return also writes back to this same column as noted above. The Custom Index Builder does not have the ability to write data to a different column than it is sourced from.
To set up the field attributes to build for custom benchmarks:
From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
Enter Reporting in the Start Search text box.
Click the General Reporting (Reporting Center) link to access the Reporting Center.
You see the Reporting Center workspace.On the Components tab, select Fields.
Choose New.
Create the return field.
This field is required. This is an Advanced field and the process must be Custom Index. See the example in the following figure.
If you are defining a base return with currency conversion, be sure to specify the currency process. Otherwise, for a local return, do not define the currency process. In this example, note that the Currency Process attribute is set to Return Value for currency conversion.This field is populated in the PERFORM database after the entity build has completed.
Optionally create a weighted field.
This field is not required. This also is an Advanced field, but the process is Custom Index Weight Field. See the following figure.
If you are using currency conversion, if a weight is stored, do not define a value for the Currency Process attribute. However, if a market value is stored, you must specify a value for the Currency Process attribute to enable currency conversion. In this example, note that the Currency Process attribute is not specified, and currency conversion does not apply.
Describe Custom Benchmark Construction in Reports
After you define custom benchmarks, you can show the composition of indices within a custom benchmark based on its definition at a given point in time.
You can create custom Entity Description fields for this purpose and can include those fields in Entity Range reports. The Entity Description field creates the description based on the historical attributes of the benchmark itself and the historical attributes of all the benchmark's underlying components. When Eagle Performance generates the description text for the report, it does not store that text in the database.
If you use the GIPS Composite Management component of Eagle's Performance Measurement solution, you can also include Entity Description fields used for custom benchmark descriptions in Disclosure fields used for GIPS reporting. For information about creating Disclosure fields, see GIPS Composite Management Configuration.
You can also create Entity Description fields for entities that are not custom benchmarks. However, an Entity Description field created for an entity that is not a custom benchmark shows only the entity name and an entity description override.
Use Entity Descriptions in Entity Reports
You can add Entity Description fields used for custom benchmark descriptions to any Entity report.
You can set up the report to reformat long descriptions to organize them into multiple lines or shorten the definition. Otherwise, if you move the pointer over the custom benchmark description in the Entity report results, the report displays a window that contains the complete custom benchmark description text. See the following figure.
If you select the Use Entity History option for the report, the description is for the report effective date. Otherwise, if you do not select the Use Entity History option for the report, the description is the current benchmark description. The entity description is a "snapshot," it does not reflect changes to benchmarks over time.
Description Formats Used for Different Custom Benchmark Types
The following table describes how Eagle Performance builds entity descriptions for various types of custom benchmarks. All descriptions start with the Entity Name Field followed by the word "consists of" and then the description of the definition.
Custom Benchmark Type | Comments | Entity Description Example |
|---|---|---|
Blended | Components are preceded by the % of the blend and separated by ",". | Different source entities example: |
Constrained | Entity Name Field followed by "; with" and a list of the constraints separated by ",". Each constrained component is named followed by "capped" or "fixed", the word "at", and the percentage. | DomEQ adjust Natural Resources consists of Domestic Equity Index; with Mining capped at 5.00%, Oil & Gas fixed at 10.00% |
Currency Conversion | Entity Name Field followed by a suffix: ", converted to" currency. The currency is the base currency of the custom benchmark. | Domestic Equity Bmrk in GBP consists of Domestic Equity Index, converted to British Pound Sterling |
Exclusion | Described similar to constrained benchmarks except using the term "excluding". | Domestic Equity Bmrk x Energy consists of Domestic Equity Index; excluding Oil & Gas |
Floating | The same as Blended except with a suffix:"; reset" followed by the date rule comment. | Balanced Benchmark consists of 25.00% 3-Month Treasury Bills, 50.00% Domestic Equity Index, 25.00% Domestic Fixed Income IG Index; reset every 3 months |
Floating Active Weight | Same as Floating except without the percentages and including a suffix " , tracking " followed by the Entity Name Field for the reference entity. | Balanced LC Benchmark consists of 3-Month Treasury Bills, Domestic Equity Large Cap Indx, Domestic Fixed Income IG Index; reset every 3 months, tracking Asset Class Blend |
Hedged | Described similar to the Currency conversion except including a percentage. | Dom Equity Large Cap Hedged consists of Domestic Equity Large Cap Indx, 100.00% hedged to British Pound Sterling |
Linked | Identifies the last underlying component in the definition as of the effective date. The component is identified by the Entity Name Field. | Domestic Broad Equity Bmrk consists of Domestic Equity Large Cap Indx |
Build Entity Descriptions that Use Overrides
When you use entity descriptions in reports to describe the construction of custom benchmarks, there are some instances when you may prefer not to use the standard generated entity description for a custom benchmark. You can create an entity description that overrides the standard generated text and replaces it with the data of your choice, by entering a value in the Entity Description Override Field within the Entity Description field.
For example, if you create a custom benchmark that excludes 25 individual "sin stocks," you may prefer to use an entity description that indicates the exclusion of sin stocks without identifying all 25 stocks.
The following example demonstrates the format for an index description that you specify using an override, rather than that the system builds from a definition. The description format used is:
<Entity Name Field> consists of <Entity Description Override Field>
For example:
Asset Class Blend consists of a blend of asset classes reviewed quarterly by committee
Build Entity Descriptions for Underlying Entities
The system builds descriptions for custom benchmarks from underlying components and can apply multiple levels of customizations (blended, hedged, exclusion, and so on). To clearly capture these customizations, the system assembles the descriptions of underlying components into the description of the custom benchmark.
The report builds the custom benchmark description from the historical definition, typically for the effective date of the report. It builds the custom benchmark description one level at a time with the first level describing how the components are customized for the entity reported. If none of these components are themselves a custom benchmark, the definition is complete. If any component is a custom benchmark, the report adds a new level to the parent definition, and describes the child component in the same fashion as its parent. The report adds additional levels until it describes all the components. The description format provides one line to describe each index, or component. The format describes the parent index, all children for a parent index, and then any of the grandchildren.
An example follows. The indentation shows the generations (parent, child, grandchild, and so on).
BM1 consists of 60% BMA, 40% BMB | Blended | ||||
BMA consists of Custom Index for Fund 2 | Entity Description Override Field | ||||
BMB consists of 50% BMC, 50% BMD | Blended | ||||
BMC consists of 30% BME, 70% BMF | Blended | ||||
BMD consists of BMG, converted to CAD | Currency Conversion | ||||
BME consists of BMH, 50% hedged to USD | Hedged | ||||
BMF consists of US Large Cap Index | Not a Custom Benchmark | ||||
BMG consists of CAD Small Cap Index | Not a Custom Benchmark | ||||
BMH consists of Investment Grade Index | Not a Custom Benchmark |
Create an Entity Description Field for Custom Benchmarks
You can create a custom Entity Description field to build an index description for a custom benchmark. You can use this field for custom benchmarks with a Custom Index (CIDX) entity type.
To add an Entity Description field:
From the Components tab of the PACE General Reporting module, expand the Fields folder, expand the Custom folder, select the Entity Description folder, and click New.
The Entity Description dialog box appears.ÂName the field and enter the appropriate information in the first few fields.
In the Entity Name Field, specify the field that identifies the entity when the system builds the entity description. You can either:
Accept the default value of Entity Name to identify entity components by name.
Click the field to open the Entity Selector and select another field that identifies the entity.In the Entity Description Override Field, either:
Accept the blank default value, which represents a value of NULL, and provides a component description. The report generates a description and describes underlying components.
Select an entity field to use as the description in place of the component description by clicking the field to open the Entity Selector and selecting a field that identifies the entity.
The report substitutes a description provided by this field for the standard description of the entity and its underlying components. For more information, see Build Entity Descriptions that Use Overrides.In the Index Type field, specify the type of index you are using to describe the report profile portfolio.
The Benchmark Definitions list allows you to select a benchmark definition such as Primary Comparison Index (the default value), the profile portfolio, or a fixed entity. The system uses this value to retrieve the appropriate entity associated with the fund.Click OK.
You can include the Entity Description field as a column in an Entity report.