Weight configuration modules

Portfolio Service Investment Agent" module or "Portfolio Service Rebalancing" module

Use the basis factor to temporarily overweight or underweight modules or to allocate liquidity to a module weight.

In the module properties, there is a "Base weight" field that can be used to set the base weight total. If this remains empty, the effective sum of the configured position weights is used, which means that the module's occupancy rate is always 100%. The base weight must be greater than the effective weight total for the module to be under-allocated.

This also covers the following matching use cases:

• Sale of a security in favor of liquidity
• Purchase of a security from liquidity
• Exchange of securities

Several securities may be affected by these operations at the same time. This also includes partial sales and acquisitions.

At the time of the reallocation, it can be assumed that customer portfolios are misallocated not only in the directly affected securities, but also in all other classes due to price changes. Since the central decision to reallocate must be implemented differently in the portfolios using the allocation model, the allocation model must be taken into account in these operations. However, for the purpose of carrying out this limited reallocation intention, it is inappropriate to carry out a complete reconciliation or to create a complete allocation configuration (which then corresponds to the current market situation, for example). Restricting the module configuration and the adjustment to module parts is generally possible in the event of a sale or if there are sufficient liquidity reserves without major effort when updating the adjustment result.

If module elements are partially reweighted, the effective module weight may shift. For example, buying a share solely for liquidity reasons leads to an increase in the equity allocation. The weighting of the equity module would therefore have to be increased accordingly if the model portfolios were to be kept consistent with the bearer portfolios (except for price changes). If the module weight is to be retained, some elements in the module would have to be reweighted as counterweights. The current input procedure is suitable for this: If the sum of the weighting factors is retained, for example, another element, e.g. a fund as a quota buffer, must be reduced by the value 1 when building up a Unilever share with a value of 1. If this counterweighting is not carried out, the necessary counterweight is automatically distributed equally to all other positions (which is probably less sensible, as the balance would be created by many small orders).

However, tasks less suitable for mental arithmetic arise in the module configuration in the following scenarios:

• The module weights are not adjusted as required. The design of the allocation formula must also ensure that such adjustments are possible via parameters.
• New weighting factors are introduced by changing the factor sum. (Which is relatively obvious if you shift against liquidity)

One approach to these configuration cases would be to assign a base factor to each module so that it can be over- or underweighted from the module configuration. However, this would primarily be useful for temporary configurations that are produced for certain partial regrouping purposes. For example, this makes it easy to create a configuration in which one share from an equity module is sold into liquidity and all other positions retain their weights without having to adjust the strategic parameters for the equity quota. The resulting liquidity remains allocated to the equity module. Conversely, 10% Unilever could simply be included in a module and the module weight increased to 110%.