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Current Exposure

View your portfolio's exposure to each factor per security in an easy to read heat-map

Edgar Nuñez avatar
Written by Edgar Nuñez
Updated over a week ago

Using Analyze : Daily Exposure

The daily exposure map highlights, for any given day, each security's exposure to various factors available from the data cloud and is available within Analyze : Trends : Exposures-Style & Content Sets by clicking on the expansion arrows in the top-right corner of the attribution panel, located by A:

With this heat-map, you are able to analyze your portfolio’s exposure to risk model factors & content sets using a z-score** heat-map that displays each security in your portfolio (split by long/short) against a list of factors.
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**The z-score can be used as an indication of how the factor’s return may be impacting each security's performance and only available with risk model style (and other non-binary) factors. Content Set exposures are returned in the numeric format specific to that dataset.

Main Elements

  1. Date selection- Go back in time to see your portfolio’s daily exposure levels for any selected date. Click on the text to open a date selector, where available dates are not grayed out.
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  2. Descriptors - These columns provide per-security metadata, particularly focused on the weighting of each position.
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  3. Factors - These factors are specific to the selected risk model. Click on any factor to sort the table from high to low exposure. Blue represents highly negative z-score, & Red represents a highly positive z-score.
    Daily Style Exposures demonstrates how each security in the portfolio is exposed to particular factors, represented as each security's standalone z-score. The z-score showcases how that security is positioned in the market relative to other securities for each factor.
    Multiplying the position weight * z-score * factor’s return gives you the security's performance contribution to your portfolio.
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  4. Long / Short / Net - Easily expand / collapse your portfolio’s securities and see your factor exposure in aggregate. Click any on part of the long / short row to expand and see your securities. *Please note that the z-score for each leg (Long and Short) of your portfolio is position weighted for ONLY that corresponding side of your book, while the Net exposure value takes the position weighting and net of the entire portfolio into account.*
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  5. Exposure Tools - These data & navigation tools assist in your exposure analysis:

    1. Risk model selection

    2. Active selection

    3. Download security exposures

    4. Return to Exposure Trends graph

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