Investment restriction
Gross exposure limit
A gross exposure limit caps the sum of every position’s absolute value as a share of net portfolio value, so longs and shorts both count. ‘Gross exposure no more than 150% of NAV’ is the typical form. Acclimetry’s gross exposure template applies one method, long-only gross: the sum of absolute position values over net portfolio value.
gross_exposureGross exposure limit
How policies word it
Gross exposure caps appear where a portfolio may be geared or hold shorts: hedge fund mandates, family-office trading accounts, alternative funds. Typical forms are ‘gross exposure no more than 150% of NAV’ or ‘gross leverage below 2 times’. Two times is the same limit as 200%.
Alternative investment funds report leverage under named methods. The AIFMD gross method converts derivatives into equivalent positions and excludes certain cash equivalents, while the commitment method allows defined netting and hedging. A policy that says ‘gross exposure’ without a method leaves a question the rule author must answer.
- Gross exposure will not exceed 150% of net asset value.
- The sum of long and short positions may not exceed 200% of the portfolio’s net assets.
- Gross leverage, the sum of the absolute value of all positions divided by NAV, will be below 2.0 times.
- The account may not be geared: gross exposure is limited to 100% of portfolio value.
How it is measured
The template offers one methodology, long-only gross. It sums the absolute value of every position and divides by net portfolio value. A long-only book with no borrowing reads 100%, and a 1,200 long with a 200 short reads 140%.
Values are taken as the position data states them. The template does not convert derivatives to notional or delta-adjusted exposure, and it does not exclude cash. For signed exposure under a named gross, net or short method, use gross and net exposure limits; for derivatives, the derivative exposure limit.
When it is breached and what follows
Gross exposure rises with new positions on either side and with market moves on both legs, so breaches can be active or passive. A warning bound, for example 140% against a 150% cap, gives notice before the hard limit. Proposed trades can be checked against the cap in Trade Impact before execution.
A breach opens a case at the first observation, with assignment, escalation and service-level clocks. Missing values are never read as compliant; a rule version may choose a conservative-breach policy instead.
Data the check reads
- The value of every position, with shorts carried as negative values
- Every position in the portfolio, since net portfolio value is their sum
- The hard maximum as a percentage of net portfolio value (2 times is 200%)
- An optional warning maximum
Rule parameters
Gross exposure (sum of absolute position values, long-only methodology) as a share of net portfolio value must not exceed the limit.
| Parameter | In the platform | Options and help |
|---|---|---|
| methodology | Methodology | long_only_gross (Long-only gross — sum of |value| over net portfolio value) |
Bounds the rule must set: hardMax
Parameter names, methodology text and result-code meanings are shown exactly as the platform states them.
Worked examples, run by the engine
Gross exposure of a long-only book is its own total
Rule template:gross_exposure methodology: long_only_gross
Bounds: hard max 150%
| Holding | Market value |
|---|---|
| A | 600 |
| B | 400 |
| Group | Status | Value | Bounds | Headroom to the hard bound | Code |
|---|---|---|---|---|---|
| Gross exposure | Compliant | 100% | ≤ 150% | 50% | WITHIN_LIMITS |
WITHIN_LIMITS: The measured value sits inside every approved bound.
Largest contributors: Gross exposure → A 60%, B 40%
These are the product's own test cases for this template, evaluated by the Acclimetry rule engine (backend commit 8197063). The build fails if any result changes.
A 1,200 long and a 200 short net to 1,000 but sum to 1,400 in absolute terms: 140% breaches a 120% cap
Rule template:gross_exposure methodology: long_only_gross
Bounds: hard max 120%
| Holding | Long / short | Market value |
|---|---|---|
| L | – | 1,200 |
| S | short | -200 |
| Group | Status | Value | Bounds | Headroom to the hard bound | Code |
|---|---|---|---|---|---|
| Gross exposure | Breach | 140% | ≤ 120% | -20% | ABOVE_HARD_MAXIMUM |
ABOVE_HARD_MAXIMUM: The measured value exceeds the approved hard maximum, beyond any stated tolerance.
Largest contributors: Gross exposure → L 120%, S 20%
These are the product's own test cases for this template, evaluated by the Acclimetry rule engine (backend commit 8197063). The build fails if any result changes.
Longs of 1,220,000 and a 220,000 short give a net portfolio value of 1,000,000 and gross exposure of 144%: past the 140% warning bound, inside the 150% cap.
Rule template:gross_exposure methodology: long_only_gross
Bounds: warn max 140% · hard max 150%
| Holding | Class | Long / short | Market value |
|---|---|---|---|
| Equity longs | Equities | long | 820,000 |
| Bond longs | Bonds | long | 400,000 |
| Equity shorts | Equities | short | -220,000 |
| Group | Status | Value | Bounds | Headroom to the hard bound | Code |
|---|---|---|---|---|---|
| Gross exposure | Warning | 144% | ≤ 150% warning ≤ 140% | 6% -4% to warning | ABOVE_WARNING_MAXIMUM |
ABOVE_WARNING_MAXIMUM: The measured value has crossed the early-warning maximum but not the hard limit.
Largest contributors: Gross exposure → Equity longs 82%, Bond longs 40%, Equity shorts 22%
Computed at build time by the Acclimetry rule engine (backend commit 8197063); the same code runs in the product.
Interpretation traps
Name the method
‘Gross exposure’ in a fund document may mean the AIFMD gross method, which converts derivatives and excludes certain cash. This template sums stated values instead, so the two figures differ for a book with derivatives or cash; see leverage methodologies.
Times or percent
‘1.5x’ and ‘150%’ are the same cap. Enter the percentage, and record the conversion where the policy states a multiple.
Cash and borrowing
Cash counts as a position here. A borrowing carried as a negative cash balance adds its absolute value to gross exposure, whereas the AIFMD gross method excludes cash borrowings. Align the data with the method the policy names; see gross versus net exposure.
Result codes this check can return
| Code | State | Meaning | What to do |
|---|---|---|---|
| WITHIN_LIMITS ✓ | Compliant | The measured value sits inside every approved bound. | – |
| ABOVE_WARNING_MAXIMUM | Warning | The measured value has crossed the early-warning maximum but not the hard limit. | No breach yet; the early-warning band exists so the position can be managed before one. |
| BELOW_WARNING_MINIMUM | Warning | The measured value has crossed the early-warning minimum but not the hard limit. | No breach yet; the early-warning band exists so the position can be managed before one. |
| ABOVE_HARD_MAXIMUM ✓ | Breach | The measured value exceeds the approved hard maximum, beyond any stated tolerance. | Remediate the exposure, or record an approved waiver against the case. |
| BELOW_HARD_MINIMUM | Breach | The measured value falls below the approved hard minimum, beyond any stated tolerance. | Remediate the exposure, or record an approved waiver against the case. |
| CONSERVATIVE_MISSING_DATA | Breach | Data was missing and this rule version's approved unknown-data policy is conservative_breach, so the gap is treated as a breach rather than as Not Evaluated. | Supply the missing values; the reading is deliberately pessimistic until you do. |
| EMPTY_PORTFOLIO | Not applicable | The portfolio held no positions at the evaluation moment. | – |
| NOT_IN_SCOPE | Not applicable | This rule version does not apply to this portfolio — the portfolio is outside the version's stated scope. Recorded so that "considered and out of scope" can be told from "never run". | – |
| AGGREGATE_MEMBER_NOT_ACCEPTED | Not evaluated: data quality | A portfolio in the measured set has no authoritative snapshot, so the set-level number cannot be stated. | Accept the named portfolios' snapshots. A partial set produces no aggregate. |
| MISSING_POSITION_DATA | Not evaluated: data quality | One or more positions had no readable value, and the partial numbers do not prove the outcome either way. | Supply the missing valuations. The platform will not fabricate a zero to produce a reading. |
| SNAPSHOT_NOT_ACCEPTED | Not evaluated: data quality | The portfolio's newest snapshot awaits data-quality review; only accepted data may produce an authoritative result. | Accept, override or reject the snapshot on Data & Quality. |
| SNAPSHOT_REJECTED | Not evaluated: data quality | The portfolio's newest snapshot was rejected, so there is no authoritative data to measure. | Load a corrected file. |
| STALE_POSITIONS | Not evaluated: data quality | The newest snapshot is older than the organisation's staleness threshold. | Load current positions, or revisit the threshold on Data & Quality ▸ Policy. |
| STALE_PRICES | Not evaluated: data quality | A holding had no price on the position file and its approved price was older than the organisation's price-staleness threshold, so it was left unvalued. | Load a current price for the holding, price it on the position file, or revisit the threshold on Data & Quality ▸ Policy. |
| AWAITING_EXTERNAL_DATA | Pending external data | An approved input is late but still inside the organisation's grace window. This is not a pass and not an exception. | None yet. If the delivery does not arrive, this becomes a data-quality exception. |
| METHOD_NOT_SUPPORTED | Not evaluated: unsupported | The rule version asks for a measurement method this engine does not implement. Declared rather than approximated. | Choose a supported methodology, or treat this limit as a manual obligation until the method ships. |
| EVALUATOR_ERROR | Not evaluated: system error | The evaluator raised an error. Surfaced as a visible result rather than as silence. | Report it. A system error is never a pass and never a compliant reading. |
✓ seen in the worked examples. The rest come from the platform registry’s own scan of the template source.
Regulatory analogues
- AIFMD leverage: the gross method (Reg 231/2013 Art 7)
- AIFMD leverage: the commitment method and substantial leverage (Arts 8, 111)
Acclimetry evaluates the long-only gross method: the sum of absolute position values over net portfolio value, against a cap. It does not convert derivatives, exclude cash or borrowings, or calculate AIFMD gross or commitment leverage. Signed-exposure methods and derivative measures are separate templates.
Questions
Is gross exposure the same as leverage?
Not always. Gross exposure is one leverage measure; borrowing ratios and the commitment method are others. The rule should name its method rather than say ‘leverage’; see leverage and borrowing limits.
What does a long-only portfolio read?
100% when fully invested with no borrowing, because the sum of absolute values equals net portfolio value.
Sources
- Commission Delegated Regulation (EU) No 231/2013, Art 7: gross method (legislation.gov.uk copy) · OGL v3.0 · Read on12 October 2026
- Commission Delegated Regulation (EU) No 231/2013, Art 8: commitment method (legislation.gov.uk copy) · OGL v3.0 · Read on12 October 2026