Raw Value and Decile Value Modes
Long aggregation = sum( % Equity * Raw or Decile Value ) / sum( all long %equity )
Short aggregation = sum( % Equity * Raw or Decile Value ) / sum( all short %equity )
Both of these calculations result in the ‘single-side’ position weighted average. As a result of the denominator, these calculations do NOT reflect degree of gross or net exposure.
The ‘insight’ of these values is as to the internal construction of the portfolio.
If Long Aggregation of Raw Value = 6% for 52 week return, this means the weighted performance of the long book is 6%. This means a 100% long book at the current weights would have performed 6% over the past 52 weeks.
Net aggregation = Long - Short
The insight here is as to the spread of the internal construction of the portfolio
Attribution and Factor Exposure Modes
Long aggregation = sum( Attribution or Factor Exposure Value )
Short aggregation = sum( Attribution or Factor Exposure Value )
Both of these calculations result in the aggregate weighted factor attribution value or exposure. The calculations DO reflect degree of gross and net exposure
The ‘insight’ of these values is as to the exposure of the portfolio:
If Long Aggregation of Attribution Value = 4.8%, it will result from a portfolio where Long Aggregation of Raw Value = 6%, and Long % Equity = 80%. This means the current book as held would have returned 4.8% over the past 52 weeks
Net aggregation = Long+Short
The insight here is to the net exposure of the portfolio