def __init__(self, snapshot_date):
### Can trade equity futures, options and currency forwards
self.constraints = [
Constraint('equity_net_exposure',
upperValue=0.65,
lowerValue=-0.65),
Constraint('bond_net_exposure', upperValue=1.0, lowerValue=-1.0),
Constraint('max_single_currency', upperValue=0.8),
Constraint('min_single_currency', lowerValue=-0.8),
Constraint('gross_exposure', upperValue=6.25),
Constraint('net_exposure', upperValue=2.5, lowerValue=-2.5),
Constraint('equity_options', upperValue=0.20), ### NAV or Gross?
### Commodity Interest Positions
Constraint('equity_futures', upperValue=4.0),
###Constraint('bond_futures',upperValue = 4.0), ## Need to add in
Constraint('commodity_interest', upperValue=4.0),
Constraint('max_outstanding_etf_shares',
upperValue=0.03,
override_id='max_outstanding_etf_shares'),
Constraint('illiquid_securities',
upperValue=0.00,
override_id='illiquid_securities')
]
portfolio.__init__(self, MellonConstraints.port_id, snapshot_date)
ManagerConstraintCalculation.__init__(self)
ManagerConstraints.__init__(self)
return
def __init__(self, snapshot_date):
### Include Warrants, Bond Options and Futures, Fixed Income
self.constraints = [
Constraint('non_developed', upperValue=0.30),
Constraint('single_issuer', upperValue=0.10, marketValue=True),
Constraint('single_security', upperValue=0.10, marketValue=True),
Constraint('top10_security', upperValue=0.60),
Constraint('sector', upperValue=0.35),
Constraint('industry', upperValue=0.25),
Constraint('beta_msci', upperValue=0.70, override_id='beta_msci'),
Constraint('gross_exposure', upperValue=2.3),
Constraint('long_exposure', upperValue=1.3),
Constraint('long_exposure', upperValue=1.0,
excludeDerivative=True),
Constraint('short_exposure', upperValue=1.0),
Constraint('short_exposure',
upperValue=0.4,
excludeDerivative=True),
Constraint('net_exposure', upperValue=1.0, lowerValue=0.0),
Constraint('equity_options', upperValue=0.20), ### NAV or Gross?
Constraint('currency_forwards', upperValue=0.20),
Constraint('max_outstanding_etf_shares',
upperValue=0.03,
override_id='max_outstanding_etf_shares'),
Constraint('illiquid_securities',
upperValue=0.05,
override_id='illiquid_securities')
]
portfolio.__init__(self, PassportConstraints.port_id, snapshot_date)
ManagerConstraintCalculation.__init__(self)
ManagerConstraints.__init__(self)
return
def __init__(self, snapshot_date):
### Include Warrants, Bond Options and Futures, Fixed Income
self.constraints = [
Constraint('developed_europe_asia_non_us',
upperValue=0.30), ### Change to general Non US Exposure
Constraint('non_developed', upperValue=0.10),
Constraint('single_issuer', upperValue=0.15,
marketValue=True), ### Excluding ETFS and Indices
Constraint('single_security', upperValue=0.15, marketValue=True),
Constraint('top10_security', upperValue=0.65),
Constraint('sector', upperValue=0.40),
Constraint('industry', upperValue=0.25),
Constraint('beta_sp500', upperValue=0.75,
override_id='beta_sp500'),
Constraint('gross_exposure', upperValue=2.4),
Constraint('long_exposure', upperValue=1.4),
Constraint('short_exposure', upperValue=1.0),
Constraint('net_exposure', upperValue=1.0, lowerValue=0.0),
Constraint('currency_forwards', upperValue=0.3),
Constraint('max_outstanding_etf_shares',
upperValue=0.03,
override_id='max_outstanding_etf_shares'),
Constraint('illiquid_securities',
upperValue=0.0,
override_id='illiquid_securities')
]
portfolio.__init__(self, ChiltonConstraints.port_id, snapshot_date)
ManagerConstraintCalculation.__init__(self)
ManagerConstraints.__init__(self)
return
def __init__(self, snapshot_date):
self.constraints = [
Constraint('developed_europe_asia_non_us', upperValue=0.30),
Constraint('single_security', upperValue=0.10, marketValue=True),
Constraint('single_issuer', upperValue=0.15, marketValue=True),
Constraint('top10_security', upperValue=0.60),
Constraint('emerging', equalValue=0.0),
Constraint('frontier', equalValue=0.0),
Constraint('short_exposure', upperValue=0.60),
Constraint('short_exposure',
upperValue=0.40,
excludeDerivative=True),
Constraint('long_exposure', upperValue=1.4),
Constraint('long_exposure', upperValue=1.0,
excludeDerivative=True),
Constraint('gross_exposure', upperValue=1.60),
Constraint('net_exposure', upperValue=1.0),
Constraint('beta_sp500', upperValue=0.75,
override_id='beta_sp500'),
Constraint('sector', upperValue=0.45),
Constraint('industry', upperValue=0.25),
Constraint('equity_options', upperValue=0.5),
Constraint('equity_futures', upperValue=0.25),
Constraint('credit_derivatives', upperValue=0.30),
Constraint('interest_rate_swaps',
upperValue=0.20), ### Need to implement
Constraint('total_return_swaps', upperValue=0.30),
Constraint('currency_forwards', upperValue=0.30),
Constraint('commodity_interest', equalValue=1.05),
Constraint('commodity_interest_options', equalValue=0.0),
Constraint('commodity_interest_options',
equalValue=0.0,
marketValue=True),
Constraint('max_outstanding_etf_shares',
upperValue=0.03,
override_id='max_outstanding_etf_shares'),
Constraint('restricted_securities',
upperValue=1.00,
override_id='restricted_securities'),
Constraint('illiquid_securities',
upperValue=0.15,
override_id='illiquid_securities'),
]
portfolio.__init__(self, CanyonConstraints.port_id, snapshot_date)
ManagerConstraintCalculation.__init__(self)
ManagerConstraints.__init__(self)
return
def __init__(self, snapshot_date):
### Include Warrants, Bond Options and Futures, Fixed Income
self.constraints = [
Constraint('single_issuer', upperValue=0.08, marketValue=True),
Constraint('single_security', upperValue=0.08, marketValue=True),
Constraint('top10_security', upperValue=0.50),
Constraint(
'sector',
lowerValue=-0.20,
upperValue=0.20,
excludeDerivative=True
), ### Discrepancy, this is a slightly modified measurement compared to other managers.
Constraint('industry', upperValue=0.25),
### Excel Doc Says Irrelevant
Constraint('beta_msci',
lowerValue=0.20,
upperValue=0.60,
override_id='beta_sp500'),
### Exclusion of Derivatives Means Options
Constraint('gross_exposure', upperValue=3.50),
Constraint('long_exposure',
upperValue=1.00,
excludeDerivative=True),
Constraint('long_exposure', upperValue=2.00),
Constraint('short_exposure',
upperValue=0.75,
excludeDerivative=True),
Constraint('short_exposure', upperValue=2.00),
Constraint('net_exposure', upperValue=1.00, lowerValue=0.0),
Constraint('equity_options', upperValue=1.00),
### Equity Futures and Total Swaps Bucketed into Same Category
Constraint('equity_futures', upperValue=1.00),
Constraint('total_return_swaps', upperValue=0.35),
Constraint('max_outstanding_etf_shares',
upperValue=0.03,
override_id='max_outstanding_etf_shares'),
Constraint('illiquid_securities',
upperValue=0.10,
override_id='illiquid_securities')
]
portfolio.__init__(self, WellingtonConstraints.port_id, snapshot_date)
ManagerConstraintCalculation.__init__(self)
ManagerConstraints.__init__(self)
return
def __init__(self, snapshot_date):
### Include Warrants, Bond Options and Futures, Fixed Income
self.constraints = [
Constraint('non_us_single_country', upperValue=0.20),
Constraint('single_issuer', upperValue=0.20),
Constraint('single_security',
upperValue=0.15), ## Market val or gross notional?
Constraint('top10_security', upperValue=0.50),
Constraint('sector', upperValue=0.35),
Constraint('industry', upperValue=0.25),
Constraint('beta_sp500', upperValue=0.20,
override_id='beta_sp500'),
### Exclusion of Derivatives Means Options
Constraint('gross_exposure', upperValue=2.85),
Constraint('long_exposure',
upperValue=1.35,
excludeDerivative=True),
Constraint('long_exposure', upperValue=1.50),
Constraint('short_exposure',
upperValue=1.50,
excludeDerivative=True),
Constraint('short_exposure', upperValue=1.50),
Constraint('net_exposure', upperValue=0.20, lowerValue=-0.20),
Constraint('equity_futures', upperValue=0.15),
Constraint('equity_options', upperValue=0.20), ### NAV or Gross?
Constraint('currency_forwards', upperValue=0.30),
### No Swaps
Constraint('total_return_swaps', equalValue=0.0),
Constraint('interest_rate_swaps', equalValue=0.0),
Constraint('max_outstanding_etf_shares',
upperValue=0.03,
override_id='max_outstanding_etf_shares'),
Constraint('illiquid_securities',
upperValue=0.10,
override_id='illiquid_securities')
]
portfolio.__init__(self, PineRiverConstraints.port_id, snapshot_date)
ManagerConstraintCalculation.__init__(self)
ManagerConstraints.__init__(self)
return
def __init__(self, snapshot_date):
### Include Warrants, Bond Options and Futures, Fixed Income
self.constraints = [
Constraint('developed_europe_asia_non_us',
upperValue=0.35), ### PDF says 0.30
Constraint('emerging', upperValue=0.20),
Constraint('single_issuer', upperValue=0.15, marketValue=True),
Constraint('single_security', upperValue=0.10, marketValue=True),
Constraint('top10_security', upperValue=0.60),
Constraint('sector', upperValue=0.40),
Constraint('industry', upperValue=0.25),
### Excel Doc Says Irrelevant
Constraint('beta_sp500', upperValue=0.90,
override_id='beta_sp500'),
### Exclusion of Derivatives Means Options
Constraint('gross_exposure', upperValue=1.60),
Constraint('long_exposure',
upperValue=1.00,
excludeDerivative=True),
Constraint('long_exposure', upperValue=1.40),
Constraint('short_exposure',
upperValue=0.40,
excludeDerivative=True),
Constraint('short_exposure', upperValue=0.60),
Constraint('net_exposure', upperValue=1.00, lowerValue=0.0),
Constraint('equity_options', upperValue=0.35), ### PDF Different
Constraint('currency_forwards',
upperValue=0.35), ### PDF Different
Constraint('max_outstanding_etf_shares',
upperValue=0.03,
override_id='max_outstanding_etf_shares'),
Constraint('illiquid_securities',
upperValue=0.00,
override_id='illiquid_securities')
]
portfolio.__init__(self, SiriosConstraints.port_id, snapshot_date)
ManagerConstraintCalculation.__init__(self)
ManagerConstraints.__init__(self)
return