Create a Static Floating Weight Benchmark

The custom benchmark (target benchmark) return equals the weighted sum of the vendor index (source index) returns, but the weights are calculated by PACE, in between reset dates, using weights that reflect the relative change in source index levels over the period.

For example, a floating benchmark can have three components, with the component weights reset quarterly to 25/50/25.

For information about active weight custom benchmarks, see Create an Active Weight Custom Benchmark.

To create a static floating weight benchmark entity:

From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
Enter Benchmarks in the Start Search text box.
Click the Benchmarks (Performance Center).
You see the Performance Center and the Benchmarks workspace with a list of entities.
Click Create New on the Home tab ribbon.
The Create New dialog box appears.
Select Custom Benchmarks from the Select Policy drop-down list.
The Select Custom Index Type drop-down list appears in the dialog box.
Select Floating Weight from the Custom Index Type drop-down list and click OK.
You see the Create New Custom Benchmark wizard with the Details page displayed.
In the Details page, enter an Entity ID and Entity Name for the custom benchmark.
Select a value from the Entity Base Currency drop-down list in order to perform currency conversion. If you are performing multicurrency conversion for the benchmark, Eagle’s best practice is to specify a base currency value in the Base Currency field.
Select an Entity Inception Date. This field is not required, but as a best practice, Eagle recommends entering an inception date that matches the effective date of the earliest definition (that is, the earliest date associated with data entered in the Custom Index Attribute tab) for the custom benchmark.
Click Next.
The Floating Weight page opens.
Select a value from the Target Performance Model drop-down list.
The Target Performance Model structure appears in a grid.
Select a value from the FX Source Rule drop-down list. By default, the Weight based on radio button is selected for Defined Weights.
Select a value from the Reset Date Rule drop-down list.
Select or clear one of the check boxes, as needed.
Build index to include a security level data. This check box allows you to build the security level by entity. To build index to include security level data, select one of the following options from the drop-down list:
- Build Single Position
- Build Positons by Strategy
- Build Positions by Strategy and Dictionary Classification.
Do not build Target performance model below assigned level. This option allows you to build custom benchmarks from source nodes with a different number of levels below them than their assigned target nodes to increase the compatibility between performance models. When you select this check box, the default value, the entity build process builds the target performance model from the assignment node up to the total level for the model. It does not process levels below the assigned node. When you clear this check box, the entity build process builds the target performance model all the way down to its lowest level. For more information, see Build the Target Dictionary at Assigned Level and Above.
Double-click a cell in the Target Performance Model grid to populate that node in the target dictionary.
The Total dialog box appears.
Assign values for Entity, Source, Performance Model, and Weight data for the node, and click OK.
Continue assigning target dictionary nodes, as needed.
After you assign values for each node, those values appear in the target dictionary grid.
Click Save.
Additional pages are available Benchmark, Peer Group Association, Disclosures, and Permissions, but they are not required for a floating weight benchmark setup.
The custom index attribute definition is saved in the database in the RULESDBO.CUSTOM_INDEX_ATTRIBUTES table.