This widget displays any combination of portfolio properties.

The following are the available properties:

Property | Explanation |
---|---|

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:

Where:

- 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