Where it is

ScreenResearch Lab, Dynamic allocationAdvanced

Research Lab, Dynamic allocation (from the Research Lab menu, or Research Lab on a dynamic strategy's page), for accounts with Research Lab access. Basic and Advanced.

Index in this video: Dynamic Asset Allocator (Research Lab).

What it means

A dynamic allocation holds sleeves, each one a universe such as an index or a single instrument. In a rank group the universes are ranked against each other at every rebalance by their index momentum score. The rank table gives each rank a share of the whole portfolio: rank 1 gets its share, rank 2 the next, and universes ranked below the last row get nothing that time. Fixed allocation sleeves keep their weight whatever the ranks say. The rank shares and fixed weights together must total 100 percent before a run.

The formula

Rank the universes in each group, hand out the shares by rank, add the fixed sleeves: the total must be 100 percent.

As computed in the RupeeCase app
Each rebalance, per group: rank its universes by index momentum score
The universe at rank N gets the Rank N share of the whole portfolio; below the last rank, 0
Fixed sleeve: its weight at every rebalance
A run needs rank shares + fixed weights = 100% (within 1 point); no rank at 0%; no more ranks than universes

Worked example

Example only

  • Group 1, equity or debt: rank 1 gets 40%
  • Group 2, equity or gold: rank 1 gets 25%; a fixed equity core 35%
  • 40 + 25 + 35 = 100%: the run can start

How to read it

  • A group with two universes and one rank row holds only the stronger of the two.
  • The total line reads 100% when the shares add up; under or over, a run is refused.
  • History starts where every universe has momentum history; a notice says so.

Watch out

  • A Lab run is a back test of a design, not a strategy you can invest in.
  • Ranks come from past momentum: the top rank can change at every rebalance.
  • This video shows the settings only; it does not run or save a backtest.

Transcript

Tap Sound on for voice and music. These are the captions of the video, chapter by chapter.

  1. 0:00Where it is. Research Lab, Dynamic allocation: rank groups, fixed sleeves, settings.
  2. 0:09What it means. A group ranks its universes by index momentum at every rebalance.
  3. 0:40Worked example. Worked example, example only: Group 1, equity or debt: rank 1 gets 40%. Group 2, equity or gold: rank 1 gets 25%; a fixed equity core 35%. 40 + 25 + 35 = 100%: the run can start.
  4. 0:46How to read it. The total of rank shares and fixed weights must read 100%.
  5. 1:01Watch out. Watch out: A Lab run is a back test of a design, not a strategy you can invest in. Ranks come from past momentum: the top rank can change at every rebalance. This video shows the settings only; it does not run or save a backtest.

Terms in this tutorial

  • Rank tableThe list that says what share of the money each rank gets in a dynamic allocation: the top ranked universe gets Rank 1's share, the next Rank 2's, and so on.
  • Dynamic allocationA strategy that moves money between its sleeves by a written rule instead of holding them at fixed shares.
  • Research LabA part of the app for testing ideas on past data, such as ranking indices against each other and moving money between them by a rule.
  • momentum factorTendency of stocks that have performed well recently to continue performing well in the near future.

Learn it in depth