Audit and Maintain Custom Index Build Results
- Tom Fahey (Unlicensed)
- Pamela Totas (Deactivated)
The following describes several ways you can audit and maintain custom benchmark single-period performance data generated using the Custom Index Builder. You can use the Commit Journal to track with performance data, can generate a detailed report about the entity build results, and can use the Performance Query Tool to review the entity build results.
Use the Commit Journal with Custom Benchmark Data
The Commit Journal allows you to track the status of the performance calculations generated for custom benchmarks using the Custom Index Builder.
The Commit Journal, designed with exception processing in mind, allows you to filter on a variety of data to quickly identify issues. Using the Commit Journal, you can finalize or disapprove custom benchmark returns just as you can finalize or disapprove returns for other entities processed by the Performance Returns or Composite Weighted Returns reports. For more information about setting up and using the Commit Journal, refer to Performance Calculation.Â
The Custom Index Builder writes to the Commit Journal for each entity that it processes. The following example shows the data calculated for a Blended custom benchmark.
Assume the rates of return defined in the following table.
Benchmark | Return |
|---|---|
S&P 500 | 0.50 |
LIBOR | 0.10 |
LEHMAN | 0.30 |
Returns are assigned and copied at the Equity, Short Term, and Long Term nodes. They are calculated at the Fixed Income and Total nodes. See the following table.
Node | Return | Formula | ABAL |
|---|---|---|---|
Total | 0.35 | (50% * 0.50) + (50% * 0.20) | 100 |
Equity | 0.50 | Copy | 50 |
Fixed Income | 0.20 | (25%/50% * 0.10) + (25%/50% * 0.30) | 50 |
Short Term | 0.10 | Copy | 25 |
Long Term | 0.30 | Copy | 25 |
View Custom Index Results from the Commit Journal
You can use the custom benchmark entity build process to generate a report about each custom benchmark, and can view this report from the Commit Journal. This report can help you better understand the status and results of the build and determine the steps you need to take to correct any issues. This custom benchmark results report shows the source values and the target values calculated for the custom benchmark.
The system creates the report results even if the entity build fails. Each Commit Journal entry in the Commit Journal has a corresponding report for a single custom benchmark (CIDX type) entity, even if you build that entity as part of an entity list. The log file, however, represents the entire entity list. If the entity build fails, the system creates a partial report, the report's Diagnostics tab identifies the error, and provides a link to a log file that you can access for further information. For more information, see Troubleshoot the Entity Build.
Generate Custom Benchmark Report Results
To generate report results, you select the Generate Custom Index Result File check box as part of your entity build criteria when you submit a manual or scheduled entity build. For more information, see Submit an Entity Build Manually or Schedule an Entity Build. The report file results look similar to those of Performance OLAP reports. The system saves the report results in the Default path under Custom Archive Rules.
View Custom Benchmark Report Results
To view report results for a custom benchmark using the Commit Journal:
Open the Commit Journal, and select a view that displays the entity for the custom benchmark you want to view.
For more information about using the Commit Journal, see Performance Calculation.Right-click the row for the custom benchmark you want to view, and select the Download Results option from the shortcut menu.
The Custom Index Results file for the selected custom benchmark appears.As you review the report results, you can use the standard options in the Results toolbar.
For example, you can expand and collapse the report results to view more detailed levels of information, and can click the Show Entity Information icon to view information about the custom benchmark entity. For more information, see the PACE Reporting Reference Guide.
About the Custom Benchmark Report Results
This custom benchmark report displays data processed while building a custom benchmark entity. This data includes source entities, calculations – including results, and the associated database columns. This report shows all calculated custom benchmark fields, including Advanced Fields defined with the Custom Index process or the Custom Index Weight process. It includes the following general sections:
Summary. Execution parameters used.
Results. Data inserted into the Performance tables.
Inputs. Performance data used by the build.
Definitions. Criteria for the source data used for each node in the build.
An example of each section follows.
You can configure custom benchmarks to allow the entity build process to store security level data for the custom benchmark in the PERFORM database. Be aware that the custom benchmark report results do not identify security level results. even if they are present.
Summary Section
The Summary section of the custom benchmark report results shows the execution parameters used to generate the report results. This section appears in the top left area of the report.
This section shows the definition and structure of the target custom benchmark. It identifies:
Period of the calculation
Name and ID of the target custom benchmark
Type of custom benchmark (Blended, Floating, and so on)
Source under which to store the target data (for example, Eagle PACE)
Target Performance Model
Exchange Rate Source Rule
Target Base Currency
In the bottom section of the report, Results columns appear at the left, Inputs columns appear in the center, and Definitions columns appear at the far right. Because these reports can become very wide when viewed on screen, the section examples that follow hide columns that apply to other sections.
Results Section
The Results section of the custom benchmark report results shows the data inserted into the Performance tables for the target fields associated with the custom benchmark. The Results data appears in the bottom section of the report in the columns that start with the word, Results.
Custom Benchmark Report Results - Results Section
The Results columns that appear in the previous figure show values for data such as begin and end weights, weighted market value, ABAL, gross and net return, and so on. This data applies to target fields of the resulting custom benchmark. The Results columns correspond to the field attributes you configured in Set Up Data for Custom Benchmarks.
Inputs Section
The Inputs section of the custom benchmark report results shows the source Performance data used by the build. The Inputs data appears in the bottom section of the report in the columns that start with the word, Inputs.
The Inputs columns that appear in the previous figure show values for Performance data such as begin and end weights, weighted market value, invest base, ABAL, gross, net, and Total return, and so on. This data applies to underlying entities associated with the custom benchmark.
Definitions Section
The Definitions section of the custom benchmark report results shows the criteria for the source data used for each node in the build. The Definitions data appears in the bottom section of the report in the columns that start with the word, Definitions.
This section identifies the node alignment between the source and target entities, and provides information about the source components with associated weights. For example, the previous figure shows that the custom benchmark's target dictionary Equity component has a source entity of Domestic Equity Index, a source of Performance 01, a source dictionary of Asset Class Model, a source dictionary node of Total, and a weight of 60%.
View Entity Build Results in the Performance Query Tool
Once the return and weight data are created by the Custom Index Builder and populated in the PERFORM database, it can be viewed via the Performance Query Tool. You create a view of the results in the Reporting window Performance Queries options. The Performance Query Tool displays a time series of data, allowing you to view multiple dates on the same report.
For information about the Performance Query Tool, refer to the Performance Query Tool .