Interface ReportsTables.RiskDecompositionRow

  • Enclosing interface:
    ReportsTables

    public static interface ReportsTables.RiskDecompositionRow
    the risk decomposition row shows how a contribution to total factor risk is calculated
    • Method Detail

      • factorName

        java.lang.String factorName()
        the factor name.
        Returns:
        factor name
      • portfolioExposure

        double portfolioExposure()
        the portfolio exposure to the risk factor. the weighted average of all the portfolio's individual asset exposures to the factor.
        Returns:
        portfolio exposure
      • benchmarkExposure

        double benchmarkExposure()
        the benchmark exposure to the risk factor. the weighted average of all the benchmark's individual asset exposures to the factor.
        Returns:
        benchmark exposure.
      • activeExposure

        double activeExposure()
        the active exposure to the factor. portfolio exposures minus the benchmark exposures.
        Returns:
        active exposure.
      • factorVar

        double factorVar()
        the factor variance reported in the risk model
        Returns:
        factor variance
      • varContribution

        double varContribution()
        returns the contribution to total factor variance
        Returns:
        contribution to total factor variance