Portfolio Stats¶
This widget displays any combination of portfolio-level properties in a compact summary view.
Available Properties¶
| Property | Description |
|---|---|
| CVaR− | Average P&L of the worst 5% outcomes from the forward-looking P&L distribution |
| VaR | The P&L value at the 5th-percentile cutoff of the forward-looking distribution |
| Net Exposure | Net portfolio exposure as a percentage |
| Gross Exposure | Gross portfolio exposure as a percentage |
| Expected Volatility | Annualized volatility of the forward-looking P&L distribution, in percent |
| Forward Beta | Forward-looking transfer coefficient between the portfolio P&L distribution and an exogenous factor |
| Liquidity | Asset-weighted liquidity in days (see formula below) |
Liquidity Calculation¶
The asset-weighted liquidity of the portfolio is calculated as:
Where:
| Variable | Description |
|---|---|
DTU_i |
Days-to-unwind for security i (see Liquidity) |
NLV_i |
Net liquidating value of position i — market value for cash positions, margin for margin securities |
NLV_port |
Net liquidating value of the full portfolio |