Portfolio Stats¶
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:
DTU_port = sum(DTU_i * NLV_i ) / NLV_port
Where:
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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.
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DTU_i is the “days-to-unwind” measure for each security i (see liquidity)
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NLV_port is the net liquidating value of the portfolio