Portfolio analysis

Volatility risk contribution & ES risk contribution

Plot the asset contribution by the corresponding risk. Please refer to the Frontiers module for detailed calculation functions.


Calculates the total weight (position) changes over each period and then cumulates it as the total turnover plot.

Transaction cost

A percentage of the turnover. By setting this value, the user can save a new portfolio return series to include the transaction cost.

Default loss

This is used for portfolios with an unbalanced dataset. It is possible that the invested assets are missing the next period return. In such a case, we ascribe a default loss to this asset. The user can set the default loss value here.

Last updated