Methodology note
Headroom and capacity
Headroom is the distance from the measured value to the nearest bound, in the limit's unit: percentage points, years or a count. Capacity is the trade size that would use the headroom up. They differ because a trade can change the denominator, so capacity depends on how the trade is funded.
concentration · Cash minimum and maximumcash_range · Time-to-liquidate limittime_to_liquidate · Asset allocation ranges (policy ranges and rebalancing bands)allocation_rangeHeadroom in the result
Every result carries headroom to the hard bound and, where one is set, to the warning bound. Positive means room remains; negative means the bound is crossed by that much.
With both a minimum and a maximum, the headroom that matters is to the nearer bound. Cash at 2.5% in a 2–10% band has 0.5 points to the floor.
From points to money
Headroom in percentage points times the denominator gives an amount, if the trade is funded from inside the book. Two points under a 10% issuer cap on a 1,000,000 book is 20,000.
Funded with new money, the book grows with the purchase. Capacity is then (c × N − h) / (1 − c): with a 10% cap, a book of 1,000,000 and a holding of 80,000, it is 22,222.
Pitfall: floors and redemptions
Raising cash from 1.5% to a 2% floor by selling equities keeps the book the same size. The amount needed is the gap times NAV: 5,000 on 1,000,000.
A redemption paid from cash works the other way. It cuts cash and the book together, and can breach a floor with no trade by the manager.
Pitfall: a warning with room to spare
A rule can be in warning with healthy hard headroom. The example shows 16% of a book beyond a 30-day liquidation horizon.
That is one point past a 15% warning, and four points inside a 20% hard limit. Report both distances, so nobody mistakes the warning for a breach.
Worked example
16% of the book needs more than 30 days to sell: a warning, one point past the 15% warning bound and four points inside the 20% hard limit.
Rule template:time_to_liquidate fieldCode: DTLhorizonDays: 30
Bounds: warn max 15% · hard max 20%
| Holding | Market value | DTL |
|---|---|---|
| Private equity fund | 160 | 180 |
| Listed equities | 840 | 1 |
| Group | Status | Value | Bounds | Headroom to the hard bound | Code |
|---|---|---|---|---|---|
| Beyond 30 days | Warning | 16% | ≤ 20% warning ≤ 15% | 4% -1% to warning | ABOVE_WARNING_MAXIMUM |
ABOVE_WARNING_MAXIMUM: The measured value has crossed the early-warning maximum but not the hard limit.
Largest contributors: Beyond 30 days → Private equity fund 16%
Computed at build time by the Acclimetry rule engine (backend commit 8197063); the same code runs in the product.
Questions
Why does capacity differ from headroom times NAV?
Because a purchase funded with new money also enlarges the book. Capacity accounts for that; headroom alone does not.
Is headroom shown for a not-evaluated result?
No. Without a value there is no distance to measure, so the result shows the reason instead.