Benchmark historization

In the Infront Portfolio Manager you can assign two different benchmarks to portfolios and portfolio profiles.

The benchmarks are then historicized either via the portfolio versions of the portfolio or via the histories of the benchmarks you have created yourself, which you control via the "Index composition" dialog box.

Please read the sections Portfolio properties, Working with portfolio versions and Create and historicize your own benchmarks.

Notes on the calculation via portfolios or portfolio versions

The date in a portfolio version means that the new data situation applies from this date.

When changing the benchmark or the first benchmark, the period performance of the new (or first) benchmark is valid on the first day of the calculation (i.e. generally on the configured start date of the portfolio version). Therefore, a pre-period price of the benchmark is required to calculate the performance of the first day.

Solution

Settlement is carried out as follows:

For benchmarks without a start date for the first benchmark entry, the time series is extended to the start time of the benchmark prices.
For benchmarks with a start date at the first benchmark entry, exactly one pre-period price is also supplied for the first benchmark entry.
In the case of benchmark transitions, the new benchmark is scaled in such a way that a period performance corresponding to the new benchmark is created for the transition day.
If there are gaps in the benchmark history, no prices are provided for the gap period and the new restarting benchmark is scaled (irrespective of the currency) so that it is aligned with the prices of the benchmark before the gap.

Recording guidelines

The date of the portfolio version should be selected according to the start of performance.
There should be no gaps in benchmark histories or performance should not be calculated over a period that spans a gap. If the start date of the first portfolio version is later than the start date of the performance calculation, there is also a gap.
In the case of benchmark transitions, both the old and the new benchmark should show prices on the day of the previous period.