This widget displays any combination of portfolio properties.
The following are the available properties:
|The average of the worst 5-percentile of the forward looking PL distribution
|The PL that corresponds to the 5-percentile cutoff
|The net exposure of the portfolio in percentage terms
|The gross exposure of the portfolio in percentage terms
|The annualized volatility of the forward looking PL distribution, in percent
|The forward looking transfer coefficient between portfolio PL distribution and exogenous factor
|The asset weighted liquidity in days
The asset weighted liquidity of the portfolio is:
- NLV_i is the net liquidating value of each position: for cash positions it represents the market value. For margin securities it represents the margin.
- DTU_i is the “days-to-unwind” measure for each security i (see liquidity)
- NLV_port is the net liquidating value of the portfolio