Asset Allocation Drift & Rebalancing Command Center

Halcyon Endowment Partners • Portfolio NAV $680M • IPS v3.2 (Jan 2024)

As of
Dec 18, 2024
Outer Rebalancing Band Breach — Action Required
US Equity allocation 36.2% (+6.2pp drift, $42.1M overweight) has exceeded outer band threshold for 47 days. Recommend immediate rebalancing to policy weight 30.0%.
Weighted Avg Drift
4.8%
+1.2pp vs Q3
Rebalancing Cost Est.
18 bps
$122K @ $680M NAV
Tax Cost (Net Gains)
$1.8M
$340K loss harvest avail.
Liability Coverage
142%
+4pp YTD
Breach Duration (Days)
47
US Equity outer band
Cash Flow Efficiency
38%
Next 30d inflows offset

Allocation Drift by Asset Class

Within Inner Band (±2%)
Inner Breach (±2-4%)
Outer Breach (>±4%)

Rebalancing Trade Matrix

Asset ClassTrade ($M)Cost (bps)Action
US Equity−$42.112SELL
Core Fixed Income+$22.04BUY
High Yield+$10.218BUY
Real Estate+$6.135BUY
Infrastructure+$3.828BUY
Total Trade Volume $84.2M
Weighted Avg Cost 18 bps

Correlation-Adjusted Drift Risk

Marginal risk contribution from drift (tracking error vs. policy portfolio)

90-Day Drift Forecast Fan Chart

Projected drift under base-case capital market assumptions (US Equity +2.1% q/q, Fixed Income +0.8% q/q)

Cash Flow Rebalancing Opportunity

Incoming Cash Flows (30d) +$16.2M
Scheduled Distributions (30d) −$4.8M
Net Cash Available +$11.4M
Target AssetNeededCash Offset
Core Fixed Income$22.0M$7.2M (33%)
High Yield$10.2M$3.4M (33%)
Real Estate$6.1M$0.8M (13%)
Efficiency: 38% of required purchases can be met with incoming cash, reducing market impact and trading costs.

Tax Impact Analysis

Unrealized Gains (US Equity) $8.9M
Tax on Realization @ 23.8% $2.1M
Loss Harvest Opportunities $1.4M
Net Tax Cost $1.8M

Rebalancing History

Last Rebalance
Oct 2, 2024
6 trades • 14 bps cost
Prior Rebalance
Jul 15, 2024
4 trades • 11 bps cost
Avg Frequency (2024)
92 days
Within target 75-120d
YTD Total Cost
52 bps
vs. 60 bps budget

Band Breach Timeline (Last 90 Days)

Red zones indicate days with outer-band breaches; amber indicates inner-band breaches.

Asset Class Detail Table

Asset Class Policy Wt Current Wt Drift (pp) Drift ($M) Inner Band Outer Band Status 90d Forecast Wt
US Equity 30.0% 36.2% +6.2 +$42.1 28-32% 26-34% OUTER 36.8%
Intl Developed Equity 15.0% 15.4% +0.4 +$2.7 13-17% 11-19% OK 15.6%
EM Equity 10.0% 9.2% −0.8 −$5.4 8-12% 6-14% OK 9.0%
Core Fixed Income 20.0% 16.8% −3.2 −$22.0 18-22% 16-24% INNER 16.4%
High Yield 8.0% 6.5% −1.5 −$10.2 6-10% 4-12% OK 6.3%
Real Estate 7.0% 6.1% −0.9 −$6.1 5-9% 3-11% OK 6.0%
Infrastructure 5.0% 4.4% −0.6 −$3.8 3-7% 1-9% OK 4.3%
Private Equity 4.0% 4.2% +0.2 +$1.4 2-6% 0-8% OK 4.4%
Cash 1.0% 1.2% +0.2 +$1.3 0-3% 0-5% OK 1.2%
Policy Bands: Inner rebalancing band ±2pp, outer band ±4pp. Cash flows are allocated pro-rata to underweight asset classes monthly. Rebalancing triggered when any asset class breaches outer band OR weighted average drift exceeds 5%. IPS v3.2 effective January 2024. Portfolio managed in-house; external manager fees excluded from cost estimates.