Package nis.svc.opt.api

Interface ProjectReports.RiskDecompositionSummaryReport

  • Enclosing interface:
    ProjectReports
    public static interface ProjectReports.RiskDecompositionSummaryReport
    The Risk Decomposition Summary Report is where the tracking error is broken down into it's individual components. Total tracking variance is shown to be the sum of total factor variance and total stock specific variance. Total tracking variance is broken down into the factor contributions to variance. Factor contributions to variance are shown to be calculated from active exposures and the covariance matrix.

    • Method Summary

      All Methods Instance Methods Abstract Methods 
      Modifier and Type Method Description
      void addRow​(java.lang.String factorName, double portfolioExposure, double benchmarkExposure, double activeExposure, double factorVar, double varContribution)  
      double factorTrackingVariance()
      returns the factor tracking variance.
      double rSquared()
      returns the RSquare of the portfolio and benchmark.
      void setData​(double factorTrackingVariance, double stockSpecificTrackingVariance, double totalTrackingVariance, double trackingError, double totalPortfolioRisk, double totalBenchmarkRisk, double rSquared)  
      double stockSpecificTrackingVariance()
      returns the asset specific variance.
      ReportsTables.RiskDecompositionRow[] table()
      returns an array of Risk Decomposition Row objects.
      double totalBenchmarkRisk()
      returns the absolute tracking error of the benchmark.
      double totalPortfolioRisk()
      returns the absolute tracking error of the portfolio.
      double totalTrackingVariance()
      return total tracking variance.
      double trackingError()
      return the tracking error.

    • Method Detail

      • factorTrackingVariance

        double factorTrackingVariance()
        returns the factor tracking variance. the total factor variance is the sum of the contributions to factor variances.
        Returns:
        factor tracking variance.

      • stockSpecificTrackingVariance

        double stockSpecificTrackingVariance()
        returns the asset specific variance. the weighted sum of individual asset specific variances.
        Returns:
        asset specific variance.

      • totalTrackingVariance

        double totalTrackingVariance()
        return total tracking variance. the sum of factor tracking variance and stock specific tracking variance.
        Returns:
        total tracking variance.

      • trackingError

        double trackingError()
        return the tracking error. the square root of the total tracking variance.
        Returns:
        tracking error.

      • totalPortfolioRisk

        double totalPortfolioRisk()
        returns the absolute tracking error of the portfolio.
        Returns:
        total portfolio risk.

      • totalBenchmarkRisk

        double totalBenchmarkRisk()
        returns the absolute tracking error of the benchmark.
        Returns:
        total benchmark risk.

      • rSquared

        double rSquared()
        returns the RSquare of the portfolio and benchmark. The square of the correlation coefficient between the portfolio and benchmark.
        Returns:
        rSquared.

      • table

        ReportsTables.RiskDecompositionRow[] table()
        returns an array of Risk Decomposition Row objects. Each object contains portfolio factor exposure, benchmark factor exposure, active exposure, factor variance, and contribution to factor variance.
        Returns:
        risk decomposition table.

      • setData

        void setData​(double factorTrackingVariance,
             double stockSpecificTrackingVariance,
             double totalTrackingVariance,
             double trackingError,
             double totalPortfolioRisk,
             double totalBenchmarkRisk,
             double rSquared)

      • addRow

        void addRow​(java.lang.String factorName,
            double portfolioExposure,
            double benchmarkExposure,
            double activeExposure,
            double factorVar,
            double varContribution)