Risk Engine 3.4 – VaR with Different Portfolio Scope per Horizon

[Mira3]

Hello,
In SAS ALM (Risk Engine 3.4), I am running a VaR calculation with multiple horizons (1-day, 10-day, and 21-day) defined in a single run.

Is it supported to apply a different portfolio scope per horizon-specifically:
10-day horizon calculated on a subset of the portfolio And 1-day and 21-day horizons calculated on the full portfolio
within the same VaR run?

If this is not supported, what is the recommended approach (e.g. multiple runs, portfolio flags, horizon-specific filtering)?

Thank you,
Mira