Reproducible examples
Four cases. Four different constraints.
Use the same arithmetic across a balanced rebalance, a concentrated bottleneck, reduced volume and a cost-budget limit.
Capacity decisionsCapacity decisionsCapacity decisionsCapacity decisions
A $100 million rebalance: separate trading cost from portfolio drag
Reconcile an illustrative $18 million basket, its sleeve participation, $23,009 modeled cost and the constraints that fail.
The smaller sleeve sets the capital boundary
Derive a hypothetical USD 16.67 million basket boundary and show why pooled liquidity overstates the feasible scale.
Halving assumed volume: a liquidity sensitivity, not a forecast
Stress a hypothetical basket with half the window volume, interpret a 120% participation warning and reconcile the reduced capital boundary.
When the cost budget becomes tighter than the participation cap
Invert a 7-basis-point illustrative cost budget, derive a 4% participation allowance and reconcile a $6.67 million capital boundary.