Create a Constrained Benchmark

You can create a custom benchmark with a type of Constrained. In this example, the custom benchmark constrains the Domestic Equity Index weights, setting the Oil & Gas sector to 10% and capping the Mining sector to <= 5%.

To create a Constrained benchmark:

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 Constrained 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 the Effective Date, Entity ID and Entity Name for the custom benchmark.
Select a value from the Entity Base Currency drop-down list. 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.
Enter the Inception Date for the custom benchmark. 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) for the custom benchmark.
Click Next.
The Constrained page opens.
Enter the required fields.
Target Performance Model. The source dictionary under which the entity data is stored in the PERFORM When you select the source dictionary, the system displays the levels and sub levels associated with that dictionary in a grid at the bottom of the page.
Source Entity Name. The source entity from the PERFORM database.
Source. The source under which the source entity data is stored in the PERFORMb database.
A grid appears for the Target Performance Model with data columns, as well as columns for Constraint Flag, Weight %, and Security Level Constraints.
In the grid area, enter any constraints that apply to an entire segment level by entering the constraint flag and weight percentage at the desired level.
Constraint Flag. Indicates the type of constraint:
- Sector Cap. A cap constraint sets the upper limit that the weight of a segment or security can take in the target custom benchmark. If the cap is not reached, the vendor-supplied benchmark weight for the segment is used for the period.
- Sector Fixed. A fixed constraint sets the exact weight that a segment or security takes in the target custom benchmark.
Weight (%). The weight to set for the Fixed or Cap constraint.
For example, you can apply a cap of 5% to the Mining sector, and a fixed constraint of 10% to the Oil & Gas sector.
You can constrain individual securities for a level displayed in the grid by clicking the Define Security button next to the level.
The Securities Selector dialog box appears, displaying securities that belong to that specific level.
If you are constraining securities within a level, select the securities to constrain, enter the Constraint Flag and Weight information, and click OK.
You can use the arrows to move securities from the Available Securities area to the Selected Securities area. In this case, the selected securities are selected for constraint.
The Weight % cell for the level with constrained securities displays a solid gray color, indicating that you applied a constraint to part, but not all, of the specified level.
Click Save.
Additional pages are available in the entity setup but these pages are not required for the custom benchmark setup.
The custom index attributes information is saved in the database in the RULESDBO.CUSTOM_INDEX_ATTRIBUTES table and in the RULESDBO.CUSTOM_INDEX_ATTR_DETAIL table.
The column PINSTANCE in the CUSTOM_INDEX_ATTR_DETAIL table is the column instance in the CUSTOM_INDEX_ATTRIBUTES table.