Parameters of the risk-return diagram report
Module "Portfolio Service Extended Portfolio Analysis"
In addition to the parameters described in the section Parameters of the standard reports , the "Risk/return chart report" has the following parameters, which you can show and hide using the<CTRL>+<A>key combination:
Parameters | Description |
|---|---|
Calculation type | Select the performance calculation method here:
For the exact calculation of performance according to these models, please read the chapter on calculating performance. |
Confidence | Probability that the amount of losses in the forecast period will not exceed the VaR. The default setting is 95%. |
Forecast period | Period for which the VaR is determined (see definition of value at risk). The information is given in periods (trading days). The default setting is 20 trading days. |
Time series analysis period | Use this parameter to specify how many periods of the historical time series should be used for parameter estimation. The information is given in periods (trading days). The default setting is 20 trading days. |
Restriction to instruments that can be valued | If you activate this checkbox, the value at risk is only calculated on the measurable instruments, i.e. the result is always a value. Non-valuable instruments are simply not taken into account. |
Benchmark 1-4 | Enter up to 4 additional benchmarks here (or search for them using the object search), which are then plotted in the diagram as comparative values. |