The investment & disinvestment strategy in Slope is controlled by the investment strategy and assets allocations. This article describes the purpose and setup of each of these components of investment strategies.
Investment strategies are defined using investment Steps, Rules, and Allocations. These can be combined to form complex investment reinvestment and disinvestment rules that are processed in the order you define.
Constraints provide a way for you to limit buying and selling in order to keep your investment portfolio within certain limitations that you specify.
- Asset Grouping Variable - This is a Product variable on the asset products that you want to apply constraints to. The value in this variable will be compared against the Asset Grouping Value to determine if the constraint applies to the particular asset model point or not.
- Asset Grouping Value - This is a string value to be compared against the grouping variable. If the grouping variable value is equal to the Asset Grouping Value specified here, then the constraint will be applied. If it does not match, or the Asset Grouping Variable does not exist on the asset, then the constraint will not be applied.
- Lower Limit - Specifies a lower limit as a percentage of the total portfolio. For example, putting 5 in this box will tell SLOPE that assets that meet the selection criteria for this constraint must make up at least 5% of the total asset portfolio, based on a market value basis.
- Lower Limit - Specifies an upper limit as a percentage of the total portfolio. For example, putting 25 in this box will tell SLOPE that assets that meet the selection criteria for this constraint must make up no more than 25% of the total asset portfolio, based on a market value basis.
You can specify either a lower limit, an upper limit or both when creating constraints.
You can add multiple constraints to an investment strategy, but SLOPE will not always be able to verify the consistency of your constraints against the data to be run, so be careful that you do not create constraints that would conflict with each other or unexpected investment behavior may occur.
Investment Strategy Step
Investment strategies are an optional input on projections. If you want to include asset purchase/sale activity, then you may select one or more investment strategies to be included in a projection. Investment strategies are added by editing the portfolio details on a projection or projection template and selecting the strategies to apply.
If multiple investment strategies are selected, they will be processed in the order displayed on this screen. You can drag each strategy up/down to re-order them as appropriate. SLOPE will perform validations across the investment strategies prior to running to ensure there are not any conflicts in strategies. In particular, it is not possible to include two different investment strategies that both use the same starting value for any given step.