Separately Managed Account - Strategy

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Strategy:

A strategy is roughly equivalent to the model.

Much in the same way a model controls the allocation of funds to securities to an SMA account, a strategy controls the allocations to accounts, subaccounts or sleeves in an account. The strategy defines a set of segments—or sleeves—that follow a certain investment style and have a specific allocation. For example, a Global Balanced strategy may have set of allocations like below:

Strategy Types

You can typically create and work with two types of strategies:

Standard—You define the target weights for the segments within the strategy. All accounts, sleeves and sub-accounts associated with this strategy type follow the same set of weights.

Flexible—You define the target weights for the segments within the sleeve when modifying an account. The account follows the general structure of the strategy, but each sleeve controls the target weights.

Strategy Attributes

Following are typical Strategy attributes.

Strategy - Name of the Strategy

Manager - Management firm associated with the Strategy

#Sleeves / #Segments - Number of Sleeves / Segments defined within strategy

Date of Workflow State - Date on which current workflow state was entered.

Status - The current status of the strategy in its workflow lifecycle. Typical workflow states for a strategy can be: Needs Approval, Active, Approve Close, Approve Activate, Closed, Approve Terminate, Terminated, and Approve Unterminate.

Custom Fields - Customized attributes of a strategy

Strategy Workflow

A strategy can be moved as needed from one workflow state to another. Be aware that multiple users are likely to be involved in the workflow state change process. For example, one user might define a new strategy, while another user is responsible for approving the new strategy. Yet another user might be responsible for closing or terminating strategies. The task buttons used for workflow state changes are: Approve, Make Available, Close, Terminate, and Revert.

Strategy Rebalance Range

The rebalance range defines the percent from the target to the band that the trade generation process should use when initially attempting to put sleeves in alignment with the strategy.

When the range is set to 0%, it is the same as using the target. When the range is set to 100% (the default), it is the same as using the band.

A strategy can optionally be configured (by your system administrator, using Role-based Access Controls at the particular strategy level) to allow the user to create a product commentary document to be associated with that strategy. The commentary is often a long (possibly multi-page), formatted text to be optionally included in account and sleeve reports, such as quarterly performance reports (these QPRs can contain multiple commentaries).

I will continue these thoughts on Separately Managed Accounts my next Article

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