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