This widget displays any combination of portfolio properties.
The following are the available properties:
|CVaR-||The average of the worst 5-percentile of the forward looking PL distribution|
|VaR||The PL that corresponds to the 5-percentile cutoff|
|Net Exposure||The net exposure of the portfolio in percentage terms|
|Gross Exposure||The gross exposure of the portfolio in percentage terms|
|Expected Volatility||The annualized volatility of the forward looking PL distribution, in percent|
|Forward Beta||The forward looking transfer coefficient between portfolio PL distribution and exogenous factor|
|Liquidity||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