SCR Calculator User Manual

Version Last modified 2024-3-21

Adding Ad Hoc Column

Any numeric columns in the allocation table are available for use as constraints metrics. Although the recommended way is to have all columns prepared beforehand, if you do want to add ad hoc columns, you can use the "New Column" button. If the calculator is unsure how to calculate a summary of this column, it will ask you to choose from:

  • "Weighted Sum": a sum product of this column's values with the allocation weights. This is suitable for most cases.
  • "Weighted Average": same as above, but reweighted by the total weight of valid entries in this column. This is suitable for e.g. fixed income average rating, because non-fixed income weights should be excluded.
  • "Simple Sum": for purely cumulative quantities irrespective of asset weight, which are in the case of flags and indicators.
  • "None": you do not need a summary stats for this metric - and therefore it won't be eligible as an optimisation constraint.

Now let's add a "ESG Score" column (choose "Weighted Sum" when asked) and fill in the following values (on a scale 1-5, with 5 being the best score):

Then in the constraints panel, add the following "ESG Score > 4" constraint (current value 3.7070):

Click "Calibrate EF" button, and EF #4 (blue) is generated - smaller and narrower than all the previous 3 EFs:

This way you can add as many ad hoc columns and constraints as you like.