public ManagedInvestmentSuitabilityParameters()
{
#region current parameters
Mif0Parameters = new MIF0Parameters
{
Assertive = new MICurrentParameter
{
ScoreRanking = 8,
FiveYearTotalReturn = 0.05,
FiveYearAlphaRatio = -5,
FiveYearBeta = 1.2,
FiveYearInformationRatio = 1,
FiveYearSharpRatio = 1,
FiveYearSkewnessRatio = 1,
FiveYearStandardDeviation = 5,
FiveYearTrackingErrorRatio = -0.05,
FundSize = 100000000,
GlobalCategory = 0.02
},
Conservative = new MICurrentParameter
{
FiveYearInformationRatio = 3,
FiveYearSharpRatio = 3,
FiveYearSkewnessRatio = 3,
FiveYearStandardDeviation = 15,
FiveYearTrackingErrorRatio = 0.05,
FundSize = 200000000,
GlobalCategory = 0.04,
ScoreRanking = 4,
FiveYearTotalReturn = 0.15,
FiveYearBeta = 0.8,
FiveYearAlphaRatio = 5
},
Increment = new MICurrentParameter
{
ScoreRanking = 2,
FiveYearTotalReturn = 0.05,
FiveYearBeta = 0.2,
FiveYearAlphaRatio = 10,
FundSize = 0,
FiveYearTrackingErrorRatio = 0.01,
GlobalCategory = 3,
FiveYearSharpRatio = 1,
FiveYearStandardDeviation = 0.01,
FiveYearSkewnessRatio = 0.01,
FiveYearInformationRatio = 0.01
},
Aggressive = new MICurrentParameter
{
FiveYearInformationRatio = 0,
FiveYearSharpRatio = 0,
FiveYearSkewnessRatio = 0,
FiveYearStandardDeviation = 0,
FiveYearTrackingErrorRatio = -0.1,
FundSize = 50000000,
GlobalCategory = 0.01,
ScoreRanking = 10,
FiveYearTotalReturn = 0,
FiveYearBeta = 1.4,
FiveYearAlphaRatio = -0.1
},
Balance = new MICurrentParameter
{
ScoreRanking = 6,
FiveYearTotalReturn = 0.1,
FiveYearBeta = 1,
FiveYearAlphaRatio = 0,
FundSize = 150000000,
FiveYearTrackingErrorRatio = 0,
GlobalCategory = 0.03,
FiveYearSharpRatio = 2,
FiveYearStandardDeviation = 10,
FiveYearSkewnessRatio = 2,
FiveYearInformationRatio = 2
},
Defensive = new MICurrentParameter
{
FiveYearInformationRatio = 4,
FiveYearSharpRatio = 4,
FiveYearSkewnessRatio = 4,
FiveYearStandardDeviation = 20,
FiveYearTrackingErrorRatio = 0.1,
FundSize = 250000000,
GlobalCategory = 0.05,
ScoreRanking = 2,
FiveYearTotalReturn = 0.2,
FiveYearBeta = 0.6,
FiveYearAlphaRatio = 10
},
MaxScore = new MICurrentParameter
{
ScoreRanking = 100,
FiveYearTotalReturn = 10,
FiveYearBeta = 10,
FiveYearAlphaRatio = 10,
FundSize = 10,
FiveYearTrackingErrorRatio = 10,
GlobalCategory = 10,
FiveYearSharpRatio = 10,
FiveYearStandardDeviation = 10,
FiveYearSkewnessRatio = 10,
FiveYearInformationRatio = 10
}
};
#endregion
#region forecast parameters
Mif1Parameters = new MIF1Parameters
{
Conservative = new MIForecastParameter
{
ScoreRanking = 4,
OneYearTotalReturn = 0.05,
MaxManagementExpenseRatio = 0.02,
OneYearAlpha = 5,
OneYearBeta = 0.8,
OneYearInformationRatio = 3,
OneYearSharpRatio = 3,
OneYearTrackingError = 5,
PerformanceFee = 0.05,
YearsSinceInception = 7
},
Increment = new MIForecastParameter
{
OneYearAlpha = 0.1,
OneYearBeta = 0.05,
OneYearInformationRatio = 0.05,
OneYearSharpRatio = 0.1,
OneYearTrackingError = 2,
PerformanceFee = 4,
YearsSinceInception = 0.1,
ScoreRanking = 2,
OneYearTotalReturn = 0.03,
MaxManagementExpenseRatio = 3
},
Assertive = new MIForecastParameter
{
ScoreRanking = 8,
OneYearTotalReturn = -0.05,
MaxManagementExpenseRatio = 0.04,
YearsSinceInception = 3,
OneYearSharpRatio = 1,
OneYearBeta = 1.2,
OneYearInformationRatio = 1,
OneYearTrackingError = -5,
PerformanceFee = 0.1,
OneYearAlpha = -5
},
Aggressive = new MIForecastParameter
{
OneYearAlpha = -10,
OneYearBeta = 1.4,
OneYearInformationRatio = 0,
OneYearSharpRatio = 0,
OneYearTrackingError = -10,
PerformanceFee = 0.2,
YearsSinceInception = 1,
ScoreRanking = 10,
OneYearTotalReturn = -0.1,
MaxManagementExpenseRatio = 0.05
},
Balance = new MIForecastParameter
{
ScoreRanking = 6,
OneYearTotalReturn = 0,
MaxManagementExpenseRatio = 0.03,
YearsSinceInception = 5,
OneYearSharpRatio = 2,
OneYearBeta = 1,
OneYearInformationRatio = 2,
OneYearTrackingError = 0,
PerformanceFee = 0.1,
OneYearAlpha = 0
},
Defensive = new MIForecastParameter
{
OneYearAlpha = 10,
OneYearBeta = 0.6,
OneYearInformationRatio = 4,
OneYearSharpRatio = 4,
OneYearTrackingError = 10,
PerformanceFee = 0,
YearsSinceInception = 9,
ScoreRanking = 2,
OneYearTotalReturn = 0.1,
MaxManagementExpenseRatio = 0.01
},
MaxScore = new MIForecastParameter
{
ScoreRanking = 100,
OneYearTotalReturn = 10,
MaxManagementExpenseRatio = 10,
YearsSinceInception = 10,
OneYearSharpRatio = 10,
OneYearBeta = 10,
OneYearInformationRatio = 10,
OneYearTrackingError = 10,
PerformanceFee = 10,
OneYearAlpha = 10
}
};
#endregion
}
public ManagedInvestmentSuitabilityParameters()
{
#region current parameters
Mif0Parameters = new MIF0Parameters
{
Assertive = new MICurrentParameter
{
ScoreRanking = 8,
FiveYearTotalReturn = 0.05,
FiveYearAlphaRatio = -5,
FiveYearBeta = 1.2,
FiveYearInformationRatio = 1,
FiveYearSharpRatio = 1,
FiveYearSkewnessRatio = 1,
FiveYearStandardDeviation = 5,
FiveYearTrackingErrorRatio = -0.05,
FundSize = 100000000,
GlobalCategory = 0.02
},
Conservative = new MICurrentParameter
{
FiveYearInformationRatio = 3,
FiveYearSharpRatio = 3,
FiveYearSkewnessRatio = 3,
FiveYearStandardDeviation = 15,
FiveYearTrackingErrorRatio = 0.05,
FundSize = 200000000,
GlobalCategory = 0.04,
ScoreRanking = 4,
FiveYearTotalReturn = 0.15,
FiveYearBeta = 0.8,
FiveYearAlphaRatio = 5
},
Increment = new MICurrentParameter
{
ScoreRanking = 2,
FiveYearTotalReturn = 0.05,
FiveYearBeta = 0.2,
FiveYearAlphaRatio = 10,
FundSize = 0,
FiveYearTrackingErrorRatio = 0.01,
GlobalCategory = 3,
FiveYearSharpRatio = 1,
FiveYearStandardDeviation = 0.01,
FiveYearSkewnessRatio = 0.01,
FiveYearInformationRatio = 0.01
},
Aggressive = new MICurrentParameter
{
FiveYearInformationRatio = 0,
FiveYearSharpRatio = 0,
FiveYearSkewnessRatio = 0,
FiveYearStandardDeviation = 0,
FiveYearTrackingErrorRatio = -0.1,
FundSize = 50000000,
GlobalCategory = 0.01,
ScoreRanking = 10,
FiveYearTotalReturn = 0,
FiveYearBeta = 1.4,
FiveYearAlphaRatio = -0.1
},
Balance = new MICurrentParameter
{
ScoreRanking = 6,
FiveYearTotalReturn = 0.1,
FiveYearBeta = 1,
FiveYearAlphaRatio = 0,
FundSize = 150000000,
FiveYearTrackingErrorRatio = 0,
GlobalCategory = 0.03,
FiveYearSharpRatio = 2,
FiveYearStandardDeviation = 10,
FiveYearSkewnessRatio = 2,
FiveYearInformationRatio = 2
},
Defensive = new MICurrentParameter
{
FiveYearInformationRatio = 4,
FiveYearSharpRatio = 4,
FiveYearSkewnessRatio = 4,
FiveYearStandardDeviation = 20,
FiveYearTrackingErrorRatio = 0.1,
FundSize = 250000000,
GlobalCategory = 0.05,
ScoreRanking = 2,
FiveYearTotalReturn = 0.2,
FiveYearBeta = 0.6,
FiveYearAlphaRatio = 10
},
MaxScore = new MICurrentParameter
{
ScoreRanking = 100,
FiveYearTotalReturn = 10,
FiveYearBeta = 10,
FiveYearAlphaRatio = 10,
FundSize = 10,
FiveYearTrackingErrorRatio = 10,
GlobalCategory = 10,
FiveYearSharpRatio = 10,
FiveYearStandardDeviation = 10,
FiveYearSkewnessRatio = 10,
FiveYearInformationRatio = 10
}
};
#endregion
#region forecast parameters
Mif1Parameters = new MIF1Parameters
{
Conservative = new MIForecastParameter
{
ScoreRanking = 4,
OneYearTotalReturn = 0.05,
MaxManagementExpenseRatio = 0.02,
OneYearAlpha = 5,
OneYearBeta = 0.8,
OneYearInformationRatio = 3,
OneYearSharpRatio = 3,
OneYearTrackingError = 5,
PerformanceFee = 0.05,
YearsSinceInception = 7
},
Increment = new MIForecastParameter
{
OneYearAlpha = 0.1,
OneYearBeta = 0.05,
OneYearInformationRatio = 0.05,
OneYearSharpRatio = 0.1,
OneYearTrackingError = 2,
PerformanceFee = 4,
YearsSinceInception = 0.1,
ScoreRanking = 2,
OneYearTotalReturn = 0.03,
MaxManagementExpenseRatio = 3
},
Assertive = new MIForecastParameter
{
ScoreRanking = 8,
OneYearTotalReturn = -0.05,
MaxManagementExpenseRatio = 0.04,
YearsSinceInception = 3,
OneYearSharpRatio = 1,
OneYearBeta = 1.2,
OneYearInformationRatio = 1,
OneYearTrackingError = -5,
PerformanceFee = 0.1,
OneYearAlpha = -5
},
Aggressive = new MIForecastParameter
{
OneYearAlpha = -10,
OneYearBeta = 1.4,
OneYearInformationRatio = 0,
OneYearSharpRatio = 0,
OneYearTrackingError = -10,
PerformanceFee = 0.2,
YearsSinceInception = 1,
ScoreRanking = 10,
OneYearTotalReturn = -0.1,
MaxManagementExpenseRatio = 0.05
},
Balance = new MIForecastParameter
{
ScoreRanking = 6,
OneYearTotalReturn = 0,
MaxManagementExpenseRatio = 0.03,
YearsSinceInception = 5,
OneYearSharpRatio = 2,
OneYearBeta = 1,
OneYearInformationRatio = 2,
OneYearTrackingError = 0,
PerformanceFee = 0.1,
OneYearAlpha = 0
},
Defensive = new MIForecastParameter
{
OneYearAlpha = 10,
OneYearBeta = 0.6,
OneYearInformationRatio = 4,
OneYearSharpRatio = 4,
OneYearTrackingError = 10,
PerformanceFee = 0,
YearsSinceInception = 9,
ScoreRanking = 2,
OneYearTotalReturn = 0.1,
MaxManagementExpenseRatio = 0.01
},
MaxScore = new MIForecastParameter
{
ScoreRanking = 100,
OneYearTotalReturn = 10,
MaxManagementExpenseRatio = 10,
YearsSinceInception = 10,
OneYearSharpRatio = 10,
OneYearBeta = 10,
OneYearInformationRatio = 10,
OneYearTrackingError = 10,
PerformanceFee = 10,
OneYearAlpha = 10
}
};
#endregion
}
