Custom benchmarks
User-defined weighted benchmarks: composition by date, rebalancing, TWR vs buy-and-hold, and use in portfolio attribution
A single market index is the wrong hurdle for most institutional books. A mandate that holds sovereigns, credit and a cash sleeve should not be judged against an equity index: the gap would measure mix, not skill.
A custom benchmark in TrackRecords is a weighted basket of listed instruments (and similar public codes) in a base currency you choose. It is the passive implementation of the policy mix: same weights, same rebalancing rule, no manager trades. Portfolio TWR minus that TWR is the starting point for attribution.
Why a custom mix
Example policy: 50% government-bond index, 30% credit index, 20% equity index, restored every quarter. Beating that basket is a statement about active weights and security choice. Beating “the stock market” is not.
The same object is reused for:
- overlay of portfolio and benchmark TWR (and the excess path)
- contribution of each benchmark constituent
- Brinson attribution of the portfolio vs this benchmark
- Brinson of two benchmarks (policy vs published index, old mix vs new mix)
Share a benchmark with colleagues as view-only if they should run numbers without editing weights.
Composition
On each composition date you list instruments (ticker, asset class, currency, weight in percent). Weights on a date must sum to 100%. Several dates are allowed: that is how you model a policy change (add a sleeve, cut equities) rather than only a calendar rebalance.
Quotes are converted into the benchmark currency. Missing prints are filled forward within a limited window; they are not filled backward.
Rebalancing
| Frequency | Meaning |
|---|---|
| Daily | Restore target weights every trading day |
| Monthly | Restore on the first trading day of the month |
| Quarterly | Restore on the first trading day of the quarter |
| None | No forced restore: starting weights drift with prices (buy-and-hold) |
A composition change is not the same as a calendar rebalance. On a composition date the new target mix is applied; between dates the chosen frequency restores that mix.
On a rebalance day the engine marks the book first, then trades back to target. The cash implicit in that reset is the flow used in TWR and MWR.
What is calculated
For a chosen start and end date:
- Daily value and TWR of the rebalanced strategy. Rebalance and composition-change days are marked on the chart.
- Monthly and YTD returns (click through to a single month or year).
- TWR of each constituent and its contribution to the rebalanced TWR (Frongello-linked, same idea as portfolio contribution).
- Buy-and-hold TWR: starting weights times constituent returns, no restores.
- Rebalancing effect: rebalanced TWR minus buy-and-hold. Positive means the restore rule added return over the period (you sold strength / bought weakness in a way that paid, or the reverse).
- MWR of constituents via Modified Dietz (income / average invested capital), for the capital-weighted view.
Excel export includes daily path, per-ticker detail, rebalance days only, monthly table, contribution, and a composition legend.
In portfolio analytics
Assign the benchmark to a transaction-based portfolio. The terminal then plots both TWRs, excess, and runs allocation / selection (BHB or BF) on the same segment map the benchmark uses (asset class × currency).
Related: Attribution, TWR and MWR, Contribution.