Scenario-Based Portfolio Calculator
Copyright (C) 2005 Jem E. Berkes
www.sysdesign.ca

Email: jberkes@pc-tools.net

SBPcalc 0.94 beta
	Windows 9x/NT/2000/XP:	sbpcalc-0.94.exe
	Linux with GTK+ 2:	sbpcalc-0.94-linux-gtk2
	Mac OS X version also likely
Thanks to www.wxwidgets.org for their wonderful cross platform GUI API!

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THIS FREE SOFTWARE COMES WITHOUT ANY WARRANTY.
USE AT YOUR OWN RISK.
VERIFY ALL CALCULATIONS BY HAND BEFORE USING RESULTS.
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This software allows you define a number of potential future scenarios
and evaluate your portfolio's % returns under each scenario. If used
properly, the software can also help you build a portfolio that is well
diversified and hedged against different market conditions. This kind of
portfolio may demonstrate superior performance under adverse conditions.

There are two main functions:

1. Enter the relative weights of each position in your portfolio and
calculate the resulting performance ('Performance' button)

2. Enter the worst allowed percent returns under each scenario in the red
cells. Then let the software automatically calculate the optimal relative
weighting of positions to give the maximum return across all scenarios,
while satisfying your indicated worst allowed returns ('Optimize' button).


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HOW TO USE
==========

After starting the program, use the Scenario and Positions menus to define
new future scenarios and positions (arbitrary names). A scenario might be
"energy crisis" or "bull market". Positions represent any financial
instrument you want, such as "long SPY". Note: while you can also enter
options and derivative products, be aware that their rapidly changing
values may not be appropriate for this kind of linear model.

Next, you must enter the anticipated percent return under each combination
of scenario and position. These are obviously estimates, and the better
your estimates are the more meaningful your results will be. Enter either
positive or negative integer percent values, but do not include the %.
Examples of valid input are +5, -10, 0 (no change), etc.

If you are going to use the 'Performance' button enter the relative weight
of each position in your portfolio (leftmost column). The output in the
first row will show the resulting percent performance.

If you are going to use the 'Optimize' button, define the worst percent
returns allowed for each scenario in the red row. For instance, if you
demand that the portfolio return at least +5% in a bull market then enter
+5 into the appropriate cells. Negative values are also acceptable, and
realistically you might have to tolerate a negative return under some
scenario in order to find ANY solution that works overall. The output will
show the relative weighting of positions to achieve the greatest overall
return while obeying your limits. A relative weighting of 10:1 means any
monetary amount that satisfies that ratio; absolute values don't matter.


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LIMITATIONS
===========

The software only considers integer values 0-10 for position weights.

You can enter as many scenarios and positions as you want. However, the
'Optimize' operation can take a long time for large numbers of positions.
Calculating up to six positions is usually insant. However, it can take
a minute or more to optimize weightings for eight or more positions.


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WARNING
=======

Inaccurate estimates for the returns of each position, or an incomplete
model that omits important scenarios may lead to unsatisfactory results.
This software is just a calculator; it has no knowledge of financial
markets or economics!