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Dynamic Reinvestment Strategy (April, 2009)

Article Summary:

This article shows how to use the Reinvestment category formula table in Asset/Reinvestment cells to apply dynamic reinvestment strategy.


Reinvestment category formula table allows one to specify multiple Reinvestment Categories for an Asset or Reinvestment cell or assets purchased in matching strategy when the Reinvestment Category is required to vary by the remaining term to maturity of the asset. If there is only one Reinvestment Category for the entire term of the asset, it should be specified using the Reinvestment category field immediately above this table on the Cell / Matchin Strategy assumptions screen. Please note that this table is not supported for stocks and real estate in Asset/Reinvestment cells, since they have no maturity date.

Reinvestment Categories are used for defining a target mix of assets required as part of a Target Allocation Reinvestment Strategy. (For further information, refer to the KB Article #258 - Reinvestment Strategy)

Note that Reinvestment Categories are defined using Asset Category objects, i.e. the same type of object is used for defining both Reinvestment Categories and Reporting Categories, and any Asset Category object can be used for either purpose, or both purposes.

You may wish to set up Reinvestment Categories within each basic Asset type to reflect various specific asset characteristics, keeping the various Target Allocation Reinvestment Strategies in mind.

The following output function is used to specify the Reinvestment Categories for different remaining terms

  • SetReinvCatAtRemTerm (Period, Asset Category name)

This function is used to select a reinvestment category for the specified Period, where the period is defined as the number of remaining months to maturity. For example, SetReinvCatAtRemTerm (24, "LE 2 Years Remaining") would use the category "LE 2 Years Remaining" for the last 24 months of the asset, assuming that this was the last category defined in the table.

The function calls do not have to be ordered by Period. AXIS will automatically sort them. AXIS will not allow more than one category to be specified for a given Period. AXIS will not allow SetReinvCatAtRemTerm to be called with a Period > 1159 months.

Each function call defines the starting point for the specified category. The asset remains in that category from the specified period to the next specified period.

Please note that the specified reinvestment categories must fully cover the projection period of the asset.

The following example gives a detailed demonstration for setting up a Reinvestment category table.

Call SetReinvCatAtRemTerm (1200,"AssetCategory at issue")

For the period from Issue date until the next specified category (in this case at 10 years remaining term).

Call SetReinvCatAtRemTerm (120,"Remaining Term [10, 5) Years")

From 10 years remaining term until the next specified category (in this case at 5 years remaining term).

Call SetReinvCatAtRemTerm (60,"Remaining Term [5 , 2) Years")

From 5 years remaining term until the next specified category (in this case at 2 years remaining term).

Call SetReinvCatAtRemTerm (24,"Remaining Term <= 2 Years")

From 2 years remaining term until the next specified category (in this case none).

 

 

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