This section describes the Build Security Level check box in the entity Custom Index Attributes section , of Blended weighted ,Floating weight, Floating Aggregate and Currency conversioncustom benchmarks.
Editing Entity – Build Security Level Option
The custom benchmark builder can build both segment and security level returns for a custom benchmark. Both the segment and security levels created for each entity build dependent upon the source data. The entity build uses whatever source data is available in the database for the indicated source entities to create the blend.
The build security level options (Perf_Summ_Type - “S”) have been modified to include the existing Perf_summ_type S and added with the newly introduced Perf_Summ Types – SS and SP. The Custom Index Module will now be able to consume and commit the newly introduced security type returns like SS and SP for the following options: Blended Weighted, Floating Weight, Floating Aggregate and Currency Conversion CIDX benchmark types.
- Use Single position instance and
- Build Single Position (Legacy S)
- Build Position by Strategy and Dictionary classification (SP).
- Build Position by strategy (SS).
- Use Position by Strategy and
- Build Position by strategy and Dictionary classification (SP).
- Build Position by Strategy (SS).
- Use SP and Build SS or SP
Committing SP from S
CIDX types like Blended, Floating weight and Floating Aggregate require security returns from multiple source entities.
In the case of floating weight and blended benchmarks, if there were overlapping securities across nodes in the target dictionary, the security commit process failed earlier due to inherent limitations in database design.
This can be overcome by committing Position by strategy and dictionary classification (SP) records, which involves committing same security returns under multiple nodes in the target dictionary. In addition, SP can be committed from Single position even if there are no overlapping securities although it serves no additional purpose.
In the case of floating aggregates, if a security belongs to node A in source 1 and node B in source 2, then the CIDX build assigns the security based on the alphabetical Entity Id order of source 1 and source 2 (the security commit process would not fail). With this enhancement, the security will be committed at multiple nodes under ‘SP’ instance, if the option is chosen on UI.
Committing SS from S
If a fund has SS records (both L and S), then for performance attribution to be meaningful, the benchmark should also have SS records. CIDX will build Strategy by position from Single position.
Committing SP from SS
If SS or SP is chosen as security type for source entities, then the target could be either SS or SP. If source entities have overlapping securities with L and S records and if these securities are assigned to multiple nodes in the target dictionary, then the position by strategy build for the CIDX would fail. If SP is enabled, then the security under multiple nodes along with strategy codes would be committed under SP instance.
Committing SS from SS
If source entities have L and S records and if same security is not assigned to multiple nodes in the target dictionary, then the security level build for the CIDX would not fail for SS. This can be committed under SS or SP instance.
Committing SS or SP from SP
If SP is chosen as security type for source entities, then the target could be either SS or SP. The CIDX build for the security would work fine for SS if securities are not part of multiple nodes in the target dictionary.
The various commit scenarios are summarized in the table below.
1 Commit would succeed only if same security is not assigned to more than one node.
2Committing SS from SP is supported for Floating weight and Blended benchmark only.
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