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