Benchmarking was made necessary in ACUMEN for portfolios of a LOGIN client when significant volumes where reached (hundreds of millions of EUR). This led to the launch of a benchmarking project, going through all the steps: portfolio selection, choice of benchmark, calculation principle and process, performance measurement and results presentation.

Portfolio selection was achieved in ACUMEN through multilevel queries selecting the exact deals which needed to be benchmarked. The final result was four portfolio lists including mainly bonds and money market instruments.

Four benchmark indices were chosen by the bank as representative of their portfolios, in terms of maturity, rating and activity. Historical index values were imported in ACUMEN, and a link to the LOGIN market feed interface was created to automate the upload of new index values.

Once both the portfolios and the benchmarks were identified in ACUMEN, it was then necessary to choose the calculation type and methods. A mark to market approach for bonds and a discount method for cash instruments was used. The global portfolio net present value is the basis for performance calculations. Automatic batches are launched periodically to perform all calculations in ACUMEN and save results in database tables.

Through an ODBC connection, a spreadsheet uploads all calculated values from the ACUMEN database. PV variations are transformed into an index (base 100 at start), which can then easily be compared to the benchmark index. Performance measures, adapted to the client needs, for both the portfolios and the benchmarks, are computed. Graphs allow to clearly show trends.