Package nis.svc.opt.api

Interface ProjectReports.ReturnDecompositionSummaryReport

  • Enclosing interface:
    ProjectReports
    public static interface ProjectReports.ReturnDecompositionSummaryReport
    The return decomposition summary report is where the returns are broken down by factor. Factor returns are further broken down - active exposures are calculated factor risk premia are reported and factor contribution to returns are shown. These are summed up into active factor return. That plus stock specific return equals total active return.

    • Method Detail

      • activeFactorReturnPremia

        double activeFactorReturnPremia()
        returns the active factor return premia.
        Returns:
        active factor return premia.

      • activeFactorReturnEconomicChange

        double activeFactorReturnEconomicChange()
        returns the active factor return economic change.
        Returns:
        active factor return economic change.

      • activeFactorReturnReturnContribution

        double activeFactorReturnReturnContribution()
        returns factor contribution to active return.
        Returns:
        contribution to factor return.

      • stockSpecificReturn

        double stockSpecificReturn()
        returns the total asset specific return.
        Returns:
        total asset specific return.

      • totalActiveReturn

        double totalActiveReturn()
        returns the total active return. the sum of the active factor return plus the total asset specific return.
        Returns:
        total active return.

      • table

        ReportsTables.ReturnDecompositionRow[] table()
        returns an array of return decomposition row objects. Each object contains portfolio factor exposure, benchmark factor exposure, active exposure, factor premia , factor return economic change and contribution to factor variance.
        Returns:
        return contribution table

      • setData

        void setData​(double activeFactorReturnPremia,
             double activeFactorReturnEconomicChange,
             double activeFactorReturnReturnContribution,
             double stockSpecificReturn,
             double totalActiveReturn)

      • addRow

        void addRow​(java.lang.String factorName,
            double portfolioExposure,
            double benchmarkExposure,
            double activeExposure,
            double premia,
            double economicChange,
            double returnContribution)