Portfolio Settings

What does Trade by % of Rankings mean?

By default the system will long and short the top / bottom 20% of your universe at each trading day. This means, if you have a 100 stock universe, the system will buy the best 20 and short the worst 20 stocks in terms of our rankings.  If you actually wanted it to buy the best 50 and short the bottom 50 you would change to trade by % of rankings to 50%. 


What does selecting dividend yield do?

This forces the portfolio optimizer to find a solution within the dividend bounds you have defined.  When you turn it on you will be presented with a lower bound (LB) and an upper bound (UB) option.  These are with respect to your benchmark dividend yield, so if you set a 1% LB and a 3% UB and your benchmark had a 2.75% dividend yield then the final portfolio must have an implied dividend yield of 3.75% to 5.75%.


How does alpha weight differ from equal weight?

Alpha weight increases the weightings to the top security selections from the machine.  That is, Rank 1 will have a higher weight than Rank 2 and so on and so forth throughout your portfolio.  If you equal weight then all securities that enter the portfolio will have the same weight.


What do the portfolio optimizers do? 

Boosted Insights works in a two stage process, the first is selecting the best and worst securities in your universe and the second is combining those securities into a portfolio.  The optimizers will adjust the weights of the securities selected to achieve a secondary goal (i.e. reduce risk or maximize sharpe) on the second, portfolio construction step.

See the details FAQ on optimizers here.

Why does my portfolio contain more stocks than the maximum?

By default, we view the minimum and maximum number of stocks per “portfolio” as being per “direction”.  This means if you have a 20 stock maximum but your portfolio is long and short, then the created portfolio will actually have 40 stocks - 20 stocks long and 20 stocks short.  If you select “sector neutral” this becomes more complicated, as the 20 stock maximum becomes per sector per direction.  So in a 4 sector model you would end up with 4 sectors times 2 directions times up to 20 stocks, a maximum of 160 stocks.