The pro-rata investment strategy allows assets to be bought or sold on a pro-rata basis. The amount of assets to buy/sell is scaled evenly across all applicable asset model points.
The pro-rata investment rule is applied to one or more asset allocations. When creating a pro-rata rule, you will be required to include at least one asset allocation.
- First, the purchase amount will be allocated to each asset allocation based on the allocation % configured within the pro-rata buy rule.
- Second, the amount allocated to each asset allocation will be further split between the products in that allocation based on the Allocation % specified for each product and the configured allocation field for each product
When purchasing assets within a given product, the scaling factor for model points is calculated for the file as a whole. The Model Point Allocation Field will be used to determine how this scaling is done.
The amounts in the Model Point Allocation field will be summed across the entire model point file for each product specified. The total asset purchase amount will be divided by this sum to determine the scaling factor for each given model point file and product. The individual model points will then be scaled using this factor, which will get multiplied by each column configured to scale on purchase or sale.
The pro-rata investment rule applies to ALL in-force asset model points. Each model point will be reduced by a proportional amount. This amount is calculated by dividing the sales amount required by the sum of the market values of all assets.
If the sales amount is greater than the sum of the market values of all asset model points at any point in time, an error will be logged and the run will fail.