Sovereign Wealth Fund Portfolio Model

The model begins with the sources of cash that shape a sovereign fund. Government contributions are built from resource revenue above a threshold, multiplied by a transfer rate, plus any budget surplus, floored at zero.

• Investment returns are calculated per asset class using beginning-of-year assets and scenario-linked return rates. Realised gains on sales are treated as lumpy.
• These drivers are sensitive to commodity prices, production volumes, market cycles and fiscal policy. Scenario inputs for Base, Good, Bad and a 2008-style stress case let you see how the same allocation behaves under different conditions.

The fund's spending rule, usually a percentage of trailing assets, is another operating lever. Together these inputs define how money enters, grows and leaves the fund each year.

The model works through a sequence that avoids circular references. First, beginning asset balances per class are used to calculate gross returns and base fees.

• Performance fees only apply when returns exceed a hurdle, and private-market carry is adjusted by vintage-based J-curve scalars. Fees and returns, calculated on beginning assets, prevent circularity.
• Contributions are then added, fiscal transfers are subtracted using a trailing three-year average, and the resulting ending balance for each class feeds a rebalancing step. That step compares drifted actual weights to targets and generates trades that sum to zero.
• The rollforward then locks in the post-rebalance ending values. Cash flow from private equity commitments, including capital calls and distributions, sits alongside the main rollforward so lumpy private-market timing is visible.

Internal operating costs are inflated over time, and a total expense ratio is calculated on average assets.

The model produces a per-class and total asset rollforward, net investment return, total expense ratio, nominal and real returns, cumulative flows, and a real assets-per-capita index. A fiscal transfer figure is derived from the trailing average and spending rate.

• A liquidity view groups assets into tiers by how quickly they can be sold, then compares them with three-year forward obligations, including fiscal transfers and private equity capital calls, to produce a liquidity coverage ratio.
• Validation checks confirm that allocation weights sum to 100%, rebalancing nets to zero, the cash buffer stays above a minimum, performance fees are never negative, and the ending real assets per capita does not fall below the beginning value. These checks flag breaches such as an investment policy corridor violation or a liquidity shortfall, so the model surfaces risks rather than hiding them.

This template is useful for testing whether a fund's current allocation, drawdown policy and contribution schedule can sustain intergenerational savings over a ten-year horizon. By changing scenario toggles, you can see how a commodity price drop affects contributions and fiscal transfers, how a market stress alters returns and fees, and whether the cash buffer or liquidity ratio falls below safe levels.

• It also shows how private-market commitments create future calls and lumpy distributions. The model covers public equities, fixed income, private equity, real estate, infrastructure and cash, with investment policy corridor limits and a fiscal stabiliser adjustment that dampens contributions in weak commodity years.
• It does not model pension liabilities, operating companies or tax. The public download is a values-only preview, not a live calculation engine.