Defining Benchmarks

This name identifies the benchmark throughout the system, and appears in the quote name.

The benchmark is given a unique identifier by the system upon saving.

Displays the version number of the benchmark.

Check if the benchmark is active, or clear otherwise.

Select the type of benchmark: Weight, Quantity, Notional, Market value, MarketIndex, Portfolio, Strategy, Carve out, or Top-down.

 See Defining Top-down Benchmarks for details on defining a top-down benchmark.

Select the currency of the benchmark.

Only applies to Weight benchmarks.

If checked, the weight of the components is computed daily. Otherwise, the weight is constant between two record dates.

If checked, the benchmark is dimensioned to the Market Value of the object to which it is compared (Fund, Strategy, or Mandate). Otherwise the benchmark has a market capitalization.

This attribute is for information purposes only.

If checked, when benchmark valuation is required (i.e. when running Benchmark analysis), valuation history is read. If history is found, computation is skipped. If history is not found, valuation is computed and history is stored.

If un-checked, valuation history is ignored.

Historization is supported for the following benchmark types:

Note that although historization is not supported for the other types of benchmarks, those that are composites of the supported types will still benefit from the historization of these.

The BENCHMARK_HISTORIZE scheduled task can be used to pre-compute the valuation and store the history.

See Historizing Benchmarks for details.

Select a holiday calendar as needed.

Select a pricing environment to price the components.

Only applies to MarketIndex benchmarks.

Select a market index.

Only applies to Portfolio benchmarks.

Select a portfolio. Portfolios are created using Configuration > Asset Management > Portfolio Hierarchy from the Calypso Navigator.

See Portfolio Hierarchy for details.

Only applies to Strategy benchmarks.

Select a fund or a mandate.

Strategies have been allocated to the fund or mandate, and the strategies may contain sub-strategies. Enter the level of the allocation in case multiple levels of allocation have been defined.

Strategies are allocated to funds and mandates using Configuration > Asset Management > Portfolio Hierarchy.

See Portfolio Hierarchy for details.

Only applies to Strategy benchmarks.

Select the allocation indicator: SAA or TAA. The adjustment type for both is Weight.

Only applies to Carve out benchmarks.

Select a static data filter that defines a subset of a master benchmark. For example, the static data filter may filter issuers. Only static data filters defined for the group "Carve-out" are available for selection.

Select the master benchmark.

Only applies to Top-down benchmarks.

 See Defining Top-down Benchmarks for details.

Select the benchmark family to which the benchmark belongs. Benchmark access permissions are set at the benchmark family level.

You need to define the benchmark families in the domain benchmarkFamily. For example:

Select the benchmark group to which the benchmark belongs. Benchmark groups allow running the BENCHMARK_HISTORIZE scheduled task on a sub-set of benchmarks.

 See Historizing Benchmarks for details.

You need to define the benchmark groups in the domain benchmarkGroup.

Enter an external reference id as applicable.

Select the country of the benchmark.

Select the issuer of the benchmark. The issuer is a legal entity with the Issuer role.

Select the benchmark's exchange. The exchange is a legal entity with the MarketPlace role.

Select the provider of the benchmark. The provider is a legal entity with the Provider role.

Select the publish frequency.

Some schedules have specific publishing days: Day of the week, month, etc.

Select the holiday calendars to determine the non-business days for the publication dates.

Enter the hour of the day when publishing occurs.

Enter the minute when publishing occurs.

Select the timezone for the publish time.

Select a date rule for publication dates, if any.

Date rules are created using Configuration > Definitions > Date Schedule Definitions > Date Rules.

Enter a free-text description as applicable.