--- title: "Defining portfolio rebalancing algorithms" slug: "defining-portfolio-rebalancing-algorithms" updated: 2025-08-04T12:15:23Z published: 2025-08-04T12:15:23Z canonical: "support.lusid.com/defining-portfolio-rebalancing-algorithms" --- > ## Documentation Index > Fetch the complete documentation index at: https://support.lusid.com/llms.txt > Use this file to discover all available pages before exploring further. # Defining portfolio rebalancing algorithms > **Note:** As a prerequisite to this article, we recommend you’re familiar with [performing valuations in LUSID](/v1/docs/valuations). LUSID allows you to create your own custom rebalancing algorithms to rebalance portfolios and easily create new orders using the results. You define these custom rebalancing algorithms using Luminesce [custom views](/v1/docs/creating-custom-views-sysadminsetupview). Once you have created a custom view, you can select it as your rebalancing algorithm when interacting with the Rebalance dashboard in the [LUSID web app](https://www.lusid.com/app/home): ![](https://cdn.document360.io/d575ad81-c0ed-4980-bbd1-d59ac5c3de82/Images/Documentation/image(760).png) > [!NOTE] > Note > > LUSID minimises the toolbar options as menus if your dashboard is below a particular width. To choose your **Rebalance type**, simply click the **Portfolio** menu: > > ![](https://cdn.document360.io/d575ad81-c0ed-4980-bbd1-d59ac5c3de82/Images/Documentation/image(966).png) When using the Rebalance dashboard, users must select a portfolio to rebalance and a recipe and rebalancing algorithm to use (if selecting a **Rebalance type** of **Algorithm**). The rebalancing algorithm is a custom view that must take in the following input parameters: - Portfolio scope and code - Valuation recipe scope and code - A scope for the resulting [order instructions](/v1/docs/what-is-rebalancing-in-lusid) The custom view should then do the following: 1. Perform a valuation to retrieve the portfolio's current holdings and exposures. 2. Aggregate columns and pivot the valuation using `Tools.Pivot` to access one row of data per instrument. [Read more about using Tools.Pivot.](/v1/docs/toolspivot) 3. Use its own custom algorithm to generate order instructions, with each order instruction containing the instrument identifier for the order and one of quantity, weight or (coming soon) value. 4. Save the order instructions into the scope specified in the input parameters. ## Example: Creating a rebalancing algorithm that sells out of all equity holdings less than 1% Let's imagine you want to see which orders might be required to sell all equity holdings which make up less than 1% of the exposure of a portfolio. You can use [Sys.Admin.SetupView](/v1/docs/creating-custom-views-sysadminsetupview) to define the following rebalancing algorithm that can be applied to any relevant portfolio, specifying in your query: - A name for the custom view. - The required input parameters for a rebalancing algorithm, as detailed above. - The [valuation metrics](/v1/docs/valuing-a-multi-asset-multi-region-portfolio#deciding-which-metrics-to-report) required to perform a valuation using [Lusid.Portfolio.Valuation](/v1/docs/lusidportfoliovaluation). In this example: - The algorithm uses `'Valuation/ExposureInPortfolioCcy/Amount','Proportion'` to calculate portfolio exposure as a percentage. Note the algorithm has access to any field returned from [GetValuation](http://lusid.com/docs/api/lusid/endpoints/aggregation/GetValuation/) (and any other data accessible via Luminesce). - `Tools.Pivot` is then used to aggregate relevant columns and pivot the valuation to access one row of data per instrument. [Read more about using Tools.Pivot.](/v1/docs/toolspivot) - The holdings to generate order instructions for from the valuation output. In this example: These order instructions must then be written into LUSID using [Lusid.OrderInstruction.Writer](/v1/docs/lusidorderinstructionwriter). - To identify any holdings of less than 1% of the total portfolio exposure, you can filter on the `Proportion(Valuation/ExposureInPortfolioCcy/Amount)` metric to select all non-currency holdings which make up less than 1%. - You can also specify at this point that the `Weight` of these holdings should be adjusted to 0%. ```sql @@providerName = select 'RebalanceAlgo.RemoveSmallPositions'; -- Create the View @x = use Sys.Admin.SetupView with @@providerName --provider={@@providerName} --description="An example algorithm for Rebalancing, sells any position less than 100bps" --parameters EntityType,Text,Portfolio,false EntityScope,Text,FBNUniversity,false EntityCode,Text,Module-4-1,false RecipeScope,Text,FBNUniversity,false RecipeCode,Text,Module-4-1Recipe,false OrderInstructionScope,Text,Finbourne-Examples,false ---- @@EntityType = select #PARAMETERVALUE(EntityType); @@EntityScope = select #PARAMETERVALUE(EntityScope); @@EntityCode = select #PARAMETERVALUE(EntityCode); @@RecipeScope = select #PARAMETERVALUE(RecipeScope); @@RecipeCode = select #PARAMETERVALUE(RecipeCode); @@OrderInstructionScope = select #PARAMETERVALUE(OrderInstructionScope); @@Recipe = select @@RecipeScope || '/' || @@RecipeCode; @metrics = values  ('Valuation/ExposureInPortfolioCcy/Amount','Proportion'); @toReturn = select column1 as MeasureName, column2 as Operation from @metrics; @valuation = select    PortfolioScope,    PortfolioCode,    LusidInstrumentId,    MeasureName,    MeasureDecimalValue  from Lusid.Portfolio.Valuation  where PortfolioCode = @@EntityCode    and PortfolioScope = @@EntityScope    and Recipe = @@Recipe    and MeasuresToReturn = @toReturn union  select    @@EntityScope as PortfolioScope,    @@EntityCode as PortfolioCode,    'PLACEHOLDER' as LusidInstrumentId,    'Proportion(Valuation/ExposureInPortfolioCcy/Amount)' as MeasureName,    0 as MeasureDecimalValue; @pivoted = use Tools.Pivot with @valuation --key=MeasureName --aggregateColumns=MeasureDecimalValue enduse; @orders = select  LusidInstrumentId,  LusidInstrumentId as OrderInstructionCode,  @@OrderInstructionScope as OrderInstructionScope,  PortfolioCode,  PortfolioScope,  0 as Weight from @pivoted where LusidInstrumentId != 'PLACEHOLDER'  and LusidInstrumentId not like '%CCY%'  and [Proportion(Valuation/ExposureInPortfolioCcy/Amount)] < 0.01;   select  PortfolioCode,  PortfolioScope,  OrderInstructionCode,  WriteError,  WriteErrorDetail,  WriteAction from Lusid.OrderInstruction.Writer where ToWrite = @orders; enduse; @create_view = select * from @x; --- Set the requirement metadata on the view @metadata = values  (@@providerName, 'RebalanceAlgo', 'True'); @toWrite = select  column1 as ProviderName,  column2 as MetadataKey,  column3 as MetadataValue from @metadata; select * from Sys.Registration.Metadata.Writer  where ToWrite = @toWrite ``` Once you have created a rebalancing algorithm in the form of a custom view, you can navigate to **Portfolio Management > Rebalance** via the [LUSID web app](https://www.lusid.com/app/home) and try out your algorithm. Select a **Rebalance type** of **Algorithm** and your custom view under **Algo** to use the algorithm against a selected portfolio. For example, running the rebalancing algorithm on the following portfolio shows that 50 Microsoft shares should be sold to reduce its weight from 0.67% to 0%: ![](https://cdn.document360.io/d575ad81-c0ed-4980-bbd1-d59ac5c3de82/Images/Documentation/f1de2d49-7baa-4c26-b252-164bc2856d99.png) Once the algorithm has executed, you can convert the target orders, or order instructions, into actual orders using the **Generate orders** button. The **Generate orders** screen allows you to pick and choose which order instructions you'd like to convert into orders, and make changes to the orders before you confirm such as adjusting the quantity.