Creating Custom Blended Benchmarks in Orion

Creating a custom blended benchmark in Orion is a powerful way to align performance comparisons with your client’s investment strategy.

Whether you're building a static model or a dynamic benchmark that adapts to portfolio changes, this guide will walk you through each step, along with guidance on required fields, best practices, and calculation methods to ensure accuracy and clarity in your reporting.

Why Use Blended Benchmarks?  

1. Customization – Align benchmarks with specific client goals and portfolio strategies.
2. Accuracy – Reflect your client’s asset allocation more precisely.
3. Clarity – Provide relevant performance comparisons for client reporting.

How to Create a Blended Benchmark 

1. Start in Orion
1. Navigate to the Benchmarking app
2. Select Blended Benchmark from the left sidebar
3. Click the Actions menu (top right) and select New Benchmark
2. Choose Benchmark Type
1. Static Benchmark – Best for modeling performance with fixed weights that don’t adjust over time.
2. Dynamic Benchmark – Moves with your client’s portfolio allocation, mirroring actual asset class changes.

Static Benchmarks Setup

• Name – This is how the benchmark will appear in reports and the client portal.
• Dynamic Type – For a basic static blend, leave set to "None".
• Search Field – Search for indices/products; uncheck “Index Only” to add individual products.
• Use Data Query ID 2478 (Available Index Data Query) to see available options and naming conventions.
• Weightings – Assign weights totaling 100%.

Best practice: Set Rebalance Interval to Daily for all blended benchmarks. Please note, additional fields are optional for static benchmarks.

Dynamic Benchmarks Setup

1. Name – This name will appear on client reports.
2. Dynamic Type – Choose the following:
• Asset Category
• Asset Class
• Management Style
• Model Aggregate
• Risk Category
3. Each index will reflect the weight of its corresponding group in the portfolio at each calculation date.
4. Dynamic Type Assignment – Assign indices (e.g., S&P 500 for equity, Barclays Agg for bonds).
• Each group must have an index assigned.
• You cannot use other blended benchmarks—only standard market indices.
• Missing assignments will result in incomplete calculations.

Optional Fields

• Target Return – Adds an annual performance boost (e.g., entering 10 = 10% annual increase).
• Color – Customize the benchmark color in reports, Portfolio Viewer, and the Client Portal.
• Date Range – Set historic weightings and apply updated weights from a specified start date.

Calculation Methods

Blended Benchmark Calculation

Each benchmark's return is multiplied by its assigned weight, then summed:

• 30% Dow Jones (-3%)
• 20% Barclays (2%)
• 50% S&P 500 (5%)
• Blend = (0.3 × -3) + (0.2 × 2) + (0.5 × 5) = 2%

Note: This is a simplified view. Real calculations occur at every rebalance point and may vary.

Dynamic Benchmark Calculation

1. Portfolio group weightings (Asset Class, Category, etc.) are captured at each rebalance interval.
2. Those weights are multiplied by the assigned index’s performance for that period.
3. Weighted results are geometrically linked to calculate the overall benchmark return.