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Risk tear sheet
Risk, perf attrib tear sheet
| 2017-04-05 311.0 206.0 | ||
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| caps : pd.DataFrame | ||
| Daily Morningstar sector code per asset |
| 2017-04-05 -0.90132 1.13981 | ||
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| sector : pd.DataFrame | ||
| Daily Morningstar sector code per asset |
| return longed_threshold, shorted_threshold, grossed_threshold | ||
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| def plot_volume_exposures_longshort(longed_threshold, shorted_threshold, |
| return ax | ||
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| def plot_volume_exposures_gross(grossed_threshold, percentile, ax=None): |
| ax.plot(tot_sfe.index, tot_sfe, label=factor_name) | ||
| avg = tot_sfe.mean() | ||
| ax.axhline(avg, linestyle='-.', label='Mean = {:.3}'.format(avg)) | ||
| ax.axhline(0, color='k', linestyle='-') |
| Percentile to use when computing and plotting volume exposures. | ||
| - Defaults to 10th percentile | ||
| ''' | ||
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| @plotting_context | ||
| def create_risk_tear_sheet(positions, | ||
| style_factor_panel=None, | ||
| sectors=None, |
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Jul 12, 2017Open
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