User Manual

Step 1: Import Allocation

The SAA form is a "multi-instance" form: You can open multiple instances of this form; and they will work independently from each other. But if you close an SAA form, all the data associated with that form will be lost.

The form initially appears quite blank, with only 3 buttons:

Import Method 1 - An Independent Import

Build an independent allocation spreadsheet with at least five fields (asset class, current allocation, currency, duration, rating) and preferrably an additional column of Expected Return, as shown below.

This sample inputsheet above is also available for download via Menu → Help & Demo Inputs → Demo Inputsheets → Spreadsheets for the Allocation Optimiser → Allocation Table.

Once the inputsheet is ready, you can use the "Import Table" button to import it into the SAA form.

Note that we entered the US HY expected return as its EUR hedged value of 7.22.

Import Method 2 - Pull from the Portfolio SCR Form

Build a model portfolio in the Model Portfolio form, then click the "Pull Portfolio" button in the SAA form. See below for an inputsheet to the Portfolio SCR form for use.

This sample inputsheet above is also available for download via Menu → Help & Demo Inputs → Demo Inputsheets → Spreadsheets for the Portfolio SCR Form → Model Portfolio Inputsheet.

Note that its "FX" tab contains a 120bps hedging cost from USD to EUR; and since US HY is assumed 100% FX hedged, its expected return will be reduced from 8.42 in USD terms (LC) to 7.22 in EUR terms (PC) in the SAA form.

Using this method, if you are importing a model portfolio of more than 10 rows, the calculator will ask you if you wish to aggregate by Cat Code or Port Code. The aggregation choices are useful when you have a sizable, granular line-level model portfolio set up in the Portfolio SCR form, and you wish to simplify before optimisation.

After Import

Using either method, the allocation table in the SAA form would look like the following after importing:

The allocation table is fully editable, subject to the following validation checks upon importing and editing:

Index and Asset Class must be unique and non-empty
User cannot edit 'Total' row
Expected Return must be numeric and non-empty
Current Allocation, Lower Bound, Upper Bound must be numeric and non-empty (can have negative value for short positions)
Lower Bound must be less than or equal to Upper Bound
Annualised Volatility and Duration must be numeric and positive, or empty
Currency must be 3-letter currency and non-empty
Rating must be within the interpreted rating expressions range
Whole table checked upon import

Rows and columns are all drag-and-droppable, except for the "Total" row.

Columns Explained

The "Index", "Annualised Volatility", "Lower Bound" and "Upper Bound" columns are auto-added if the user has not supplied them, with these rules:

"Lower Bounds" for all asset classes default value = 0.
"Upper Bounds" for all asset classes default value = twice the current value, rounded to the nearest 5%, and with minimum value = 5%.
"Annualised Volatility" will be populated in the next step after user importing total return series of the asset classes.

Note that the calculator can accept long/short positions. If you entered short positions, be sure to adjust or have supplied the appropriate lower/upper bounds.

If you prepared additional columns in the spreadsheet (e.g. ESG scores, carbon emission intensity, etc.), they will appear here.

You can also use the "New Column" button to add ad hoc columns to the table.

SCR Calculator User Manual

Step 1: Import Allocation

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