Combined weighting

Also seen as: Combined allocation, strategy-level allocation, multi-strategy weighting

What are the two independent weighting layers?

A Combined applies two allocation layers and never merges them into one. The Combined layer decides what share of capital each member strategy receives. Inside each member strategy, that strategy's own allocation method then decides how its share is spread across instruments. The layers do not interact: a member strategy keeps exactly the same internal weighting whether the Combined hands it 10% of capital or 40%, and changing a member's internal method leaves the Combined's split untouched.

Which weighting schemes can a Combined use?

A Combined can use six of the eleven allocation methods: Equal Weights, Fixed Allocation, Ranking-Based, Inverse Volatility, Risk Parity and MPT (Markowitz). The five that exist only inside a single strategy — Floating, Market Cap, Min Correlation, Mimicking and Beta Neutral — are not offered at this level, because they weight instruments rather than strategies.

Two of the six produce the schemes people usually mean by "combined weighting":

• Fixed Allocation — you set a weight per strategy in the Strategies table and it stays there, whatever the strategies do.
• Ranking-Based — the member strategies are ranked each period and paid by rank position, with fixed exceptions you nominate. This is the scheme that introduces strategy roles.

What are strategy roles, static weight and rank weight?

When a Combined uses Ranking-Based, every member strategy takes one of two roles, set per strategy in the Strategies table:

• static — Rotate is off. The strategy is held every period at the fixed Static weight you gave it, regardless of how it ranks.
• rotating — Rotate is on. The strategy joins the ranking pool, and its weight comes from where it ranks that period rather than from a fixed number.

The editor summarises the split under the heading Strategy roles as "{rotating} rotating · {staticCount} static", with the note "Rotate and static weights are configured per strategy".

The rotating strategies share one Rotation weights curve — a relative weight per rank position, labelled Rank 1, Rank 2 and so on, described as "Relative weight given to each rotating rank, top to bottom." There is exactly one slot per rotating strategy: switch Rotate on for one more strategy and a slot is added, switch it off and a slot is removed. The weight a rotating strategy actually receives — its rank weight — is whichever slot matches its rank in that period, so the slots stay put while the strategies move between them.

Defaults in Fincanva

• The Combined's default method is Equal Weights: capital split evenly across the member strategies.
• Under Ranking-Based, the Combined's ranking metric defaults to Price Change, and four metrics are offered — Price Change, Average Momentum, Volatility and Sharpe Ratio. P/E Ratio is not available at this level; it exists only inside a single strategy.
• A newly added strategy starts static with a weight of 1, so a fresh Ranking-Based Combined has no rotating strategies and no rotation weights until you switch Rotate on.
• Rotation weights are relative, exactly like the rank-tier weights inside a single strategy — they are normalised to 100% before capital is assigned.
• Weighting belongs to the allocation profile, so a Combined that has a Risk-Off allocation can weight its strategies one way in Risk-On and another way in Risk-Off.
• How the two layers are combined into the final positions is part of the engine and is not published; what is documented is that both layers apply and neither overrides the other.

Worked example

A Combined holds three strategies — A, B and C — and rebalances monthly.

Under Equal Weights, each receives a third of capital every period. Under Fixed Allocation, you type 50, 30 and 20, and those shares hold whatever the three strategies do. Under Ranking-Based, you mark A as static with a Static weight of 20 and switch Rotate on for B and C. That leaves two rotation slots: you give Rank 1 a weight of 60 and Rank 2 a weight of 20. The raw total is 100, so A is held at 20% every period, whichever of B and C ranks higher on the chosen metric takes 60%, and the other takes 20%. Next month the ranking flips: B and C swap slots, their weights swap with them, and A's 20% does not move.