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February 2021: Investment Strategies! Constraints, Matching & More

This past month has been all about investment. We aim to give you the most flexible investment options around, so you can manage your asset portfolios however you like. With that in mind we’ve introduced the concept of Investment Strategies, and have added features to give you significantly more control over the behavior during investment. To read more about the features released in February, read on. To see more about investment strategies in particular, visit the support site.

NEW

Investment Strategies

Instead of configuring a single asset allocation for pro-rata buying/selling, we’ve introduced the concept of Investment Strategies, accessible through the Assumption Management module. All existing allocations have been migrated into this new structure, and now users can configure the behavior of investment in greater detail.

Keep track of all your different investment strategies. Strategies and allocations are automatically versioned as needed, so you always know what was driving the investment on any projection.
Multiple investment strategies can be used on a single portfolio.

Investment Strategy Matching Rules

In addition to Pro-rata, a new rule type is available: Target Value Match. This allows users to buy/sell while trying to maintain a target value on the portfolio (ex: Duration/Convexity Matching).

Allocations are used on the buy side to give users the flexibility/control of deciding the level of granularity to use when buying.
Rules can be chained together, so if duration matching fails (including partial failure), the remaining amount will be handled by the next rule.

Investment Strategy Constraints

Constraints are also available for configuration on investment strategies. The current options allow for limiting of groups of assets using product level variables and upper/lower limit percentages.

Constraints currently only apply to the new Target Value Match rules, but can be configured using any product variables you’d like to use to group your assets.

IMPROVEMENTS

  • Data tables for newly added table structures now appear under the table structure in the compare view.
  • Additional endpoints around file management have been added to the Automation API.
  • Stability improvements around status updates when running a large number of scenarios.
  • General improvements to dialogs across the site.
  • Interface improvements to the Goal Seek formula’s settings area.
  • The debug view now maintains all applicable state when changing variables to make it easier to navigate.
  • We’ve added a Projection ID to the debug view to quickly change to newer/older runs.
  • Portfolios are now sorted by name in all lists in Model Development.

FIXES

  • Allocation % is now hidden on allocations set to Auto, to avoid confusion.
  • Apostrophes in portfolio names no longer cause issues on the debug view.
  • Fixed the compare view for indirect array variables.
  • Option price formula now allows a risk-free rate of zero.
  • Fixed yield curve calculations for yield curve of less than 30 years.
  • Fixed a compare issue for tables with missing nested table values.
  • Projections using product output groupings no longer sometimes cause errors during comparison.
  • Model point fields that are used by allocations can now be deleted (with a warning).
  • Model point filters now properly clear out when switching the product, allowing for proper re-selection of new fields.
  • Nested data table validation errors no longer cause unknown failures at the start of the run.
  • The debug view’s array value dropdown now initializes properly in all cases.
  • Excel “#N/A” references no longer cause unknown errors during parsing.