SCR Calculator User Manual

Version 1.13.2.0 Last modified 2024-3-21

Step 2: Import Total Return Series

You then need to prepare and import a second spreadsheet (or tab) - monthly "Total Return Series" ("TRS") containing data like below (downloadable example):

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Ensure its assets are consistent with those in the asset allocation table. The naming can be different; and the names here will override those in the allocation table. Press the "Import TRS" button to import this additional spreadsheet. You will notice the form briefly shows you the "Correlations" tab, then reverts to the main tab.

Optionally, you can click the "Correlations" tab to understand what has been calculated:

  • Total Returns Series chart rebased to 100 on day 1.
  • Annualised Volatilities table
  • Correlation Matrix table
You can change to a Bottom 50%, 25% or 10% calibration if you want.

The calibrated correlations are an essential input for the efficient frontier process.

Back to the main tab, you will notice that the "Annualised Volatilities" column is now fully populated. If you previously entered any figures in this column, they will NOT be overwritten by this TRS calibration. It is similarly situation for the "Expected Return" column. Conversely, any cells left empty in these two columns before will have been populated now. You can modify the values in these two columns any time before/after the TRS calibration. Just ensure they are the correct values in your view.

Click the "One-click SCR" button (we explain more about how this button works in the next chapter). Market risk SCR columns are added.

You will also notice the scatter plot on the top right corner has content now. You can change between different axis combinations; drag along its edges to enlarge the plot; and export to PowerPoint or PNG. Below are two exported plots: Risk-Return and SCR-Return. You can see that EUR HY seems superior than US HY in both risk-adjusted return and Return-on-SCR.

Note that in producing the second chart, we unchecked the "Int Rate Risk" and "Currency Risk" checkboxes in Settings, so that they were not included in the Total Market SCR (although displayed as columns in the allocation table).