How do I target analytic values in the Rebalance dashboard?

You can generate orders in the Rebalance dashboard in the LUSID web app to achieve targets for the following analytics:

• Duration

• DTS

• Spread

• Yield

To do this:

1. Populate instruments with one or more analytic values.

2. Use the Rebalance dashboard to generate orders to meet your targets.

Step 1: Populate instruments with analytic values

Create Instrument/Analytic/* property types

Before you can target analytic values, you must create and decorate your desired instruments with the relevant following properties:

• Instrument/Analytic/DTS

• Instrument/Analytic/Duration

• Instrument/Analytic/Spread

• Instrument/Analytic/Yield

For each property type, select the following:

• Value property as Property type

• Number [system/number] as Data type

• Perpetual as Life time

See how to create a property type.

Decorate instruments with Instrument/Analytic/* properties

Populate your instruments with the relevant Instrument/Analytic/* properties and values.

See how to add a property to an instrument.

Step 2: Use the Rebalance dashboard to generate orders to meet your targets

Once your desired instruments are decorated with the relevant Analytic properties, you can begin entering values in the Rebalance dashboard.

You may need to add the following columns to your Rebalance dashboard configuration via the Configuration icon:

• Duration:

  • Current Duration Contribution

  • Resulting Duration Contribution

  • Current Duration Weight

  • Resulting Duration Weight

• DTS:

  • Current DTS Contribution

  • Resulting DTS Contribution

  • Current DTS Weight

  • Resulting DTS Weight

• Spread:

  • Current Spread Contribution

  • Resulting Spread Contribution

  • Current Spread Weight

  • Resulting Spread Weight

• Yield:

  • Current Yield Contribution

  • Current Yield Weight

  • Resulting Yield Contribution

  • Resulting Yield Weight

How does LUSID calculate <analytic> Contribution and <analytic> Weight?

LUSID calculates values using the following formulae:

Analytic Contribution

Analytic Weight

Note: sum[<Analytic> Contribution] refers to the total in the portfolio.

How does LUSID calculate Resulting End Weight?

Note: The following formulas cannot be calculated if you enter more than one target.

Entering a value into <analytic> Contribution

When you enter a value into an <analytic> Contribution cell in the Rebalance dashboard, LUSID calculates the Resulting End Weight for the holding using the following formula:

For example, you might change the Resulting Duration Contribution for a bond from 1.18 to 1.20. LUSID calculates the new Resulting End Weight as 10.71% using the formula above.

LUSID then uses the Resulting End Weight as the target weight to calculate the proposed order.

Entering a value into <analytic> Weight

When you enter a value into an <analytic> Weight cell in the Rebalance dashboard, LUSID calculates the Resulting End Weight for the holding using the following formula:

For example, you might change the Resulting Duration Weight for a bond from 24.96% to 27%. LUSID uses the formula above to calculate the Resulting End Weight as 11.69% and propose the order quantity required to reach that weight.

Note

LUSID does not currently support targeting <analytic> Weight for multiple holdings at once.

If you enter a target <analytic> Weight for a particular holding, and then enter a target <analytic> Weight for a separate holding, the Resulting <analytic> Weight for the first holding switches away from the target value.

View the derivation of the formula to calculate Resulting End Weight (target weight) from <analytic> Weight: