Portfolio Position Analysis

For a more detailed explanation, please go to the FAQ's. For all of the options, the "Display" box determines the number of outputs that you wish to view.

Hedge / RS Hedge

The 'Hedge P/F Size determines the number of instruments to be used in the hedge portfolio. Please note that the calculation time scales exponetially with the size of the hedge portfolio. The Reduced Set (RS) Hedge option allows the user to approximate the impact of a large hedging portfolio for a combination of smaller ones. Thus a hedge portfolio of 6 instruments may be approximated by three two instrument portfolio's (RedSet P/F size = 2, # P/F's = 3).

Use Option

Clicking these buttons On/Off determines which assets in the selected Risk Sectors are used in the Portfolio / Position analysis. Please note that the functionality operates on a process of "Layer Down". That is, if you select the L1 button (the top one), all positions in the asset class will be selected, irrespective of whether you have selected "On" for the other risk sectors.

Hedge Option

This allows the user to determine the assets from a particular risk sector that will be used in the Hedge and RS Hedge functionality. Please note that if risksctors above L5 are selected, the calculation may take a significant amount of time to conclude. In this case it is suggested that the user executes a batch analysis. In this case the user will be informed by e-mail when the analysis has concluded.

Hedge Option

This allows the user to chose between using instruments already in the portfolio, external instruments, selected using the sequence of hedge buttons below, or both sets. Please note that the larger the number of instruments, the longer the calculation will take.

Hedge Size

The default position size reflects an instrument that is a FSB with a risk factor of 1 of the asset described in the first column. The the two implications of this is that the base currency of the position will be that of the user and the size may need to be altered to conform with an actual traded instrument.

Asset Risk

This column reflects the risk of a position in the asset described in the first column. The size of the position is shown in the second column. A negative number implies a selling action. The risk of the "Portfolio" asset is that of the portfolio that has been selected.

Asset Risk

This column reflects the risk in the original user specified portfolio, first number, and the risk in the optimal hedging portfolio, second number. The risk of the hedging portfolio is the aggregate risk of the positions displayed in the first and second columns. Optimal in this case is defined as minimum variance of aggregate portfolio consisting of the original portfolio and the hedge portfolio.

Asset + Portfolio Risk

This column reflects the risk of a portfolio consisting of the client portfolio that has been selected and the and the asset whose size is given in the second column. For the "Portfolio" asset, this is the risk of the selected portfolio

Asset + Portfolio Risk

This column reflects the risk in the original user specified portfolio, first number, and the risk in the risk in the portfolio that is the combination of the original portfolio and the optimal hedging portfolio. Optimal in this case is defined as minimum variance of aggregate portfolio consisting of the original portfolio and the hedge portfolio.