The Analyze: Exposure graph displays the portfolio's historic exposure levels to each factor, grouped by factor category (style, sector, country, currency). Clicking on the graph will select that date and display the portfolio's Net daily exposure to each factor on the panel to the right. Further, each factor can be analyzed to see the underlying security contributors.
Exposure Contributors Methodology
A security's contribution to a factor's exposure has the following calculation:
Security_Weighted_Exposure / Sum(all Security_Weighted_Exposures in Portfolio)
ABS( [%_Equity * 0.01] * Portfolios_Net_Factor_Exposure * Security_exposure_to_factor)
Portfolio @ 100% equity — Exposed 0.25 to Volatility
AAPL @ 50% equity — Exposed 0.3 to Volatility
MSFT @ 50% equity — Exposed 0.2 to Volatility
Then calculate the Security Weighted Exposure for each position
AAPL Weighted Exposure = ABS(0.5 * 0.25 * 0.3) = 0.0375
MSFT Weighted Exposure = ABS(0.5 * 0.25 * 0.2) = 0.0250
To calculate the overall “exposure contribution” for each security, we divide the security's weighted exposure by the total of all securities:
AAPL Contribution = 0.0375 / [0.0375 + 0.0250] = 0.6 *100 = 60%
MSFT Contribution = 0.0250 / [0.0375 + 0.0250] = 0.4 *100 = 40%
- Values in the app are calculated on our servers to a Float64 level of precision, whereas data provided in the CSVs are truncated to 2-3 decimal points.
- Each contributor is a modeled security.