bayesline.api.equity.FactorAttributionMeasureSettings

pydantic model bayesline.api.equity.FactorAttributionMeasureSettings

Settings for factor attribution measure.

This class defines settings for a factor attribution measure, which provides factor attribution calculations for portfolio analysis.

Show JSON schema

{
   "title": "FactorAttributionMeasureSettings",
   "description": "Settings for factor attribution measure.\n\nThis class defines settings for a factor attribution measure,\nwhich provides factor attribution calculations for portfolio analysis.",
   "type": "object",
   "properties": {
      "type": {
         "const": "FactorAttribution",
         "default": "FactorAttribution",
         "title": "Type",
         "type": "string"
      },
      "rescale_bench": {
         "default": true,
         "description": "Rescale the benchmark holdings to sum to the sum of the holdings.",
         "title": "Rescale Bench",
         "type": "boolean"
      },
      "normalize_holdings": {
         "default": true,
         "description": "Make holdings sum to one.",
         "title": "Normalize Holdings",
         "type": "boolean"
      },
      "multiperiod_aggregation": {
         "default": "none",
         "enum": [
            "none",
            "optimized"
         ],
         "title": "Multiperiod Aggregation",
         "type": "string"
      },
      "return_aggregation_type": {
         "default": "geometric",
         "enum": [
            "arithmetic",
            "geometric"
         ],
         "title": "Return Aggregation Type",
         "type": "string"
      }
   },
   "additionalProperties": false
}

Config:

• frozen: bool = True

• extra: str = forbid

Fields:

• multiperiod_aggregation (Literal['none', 'optimized'])

• normalize_holdings (bool)

• rescale_bench (bool)

• return_aggregation_type (Literal['arithmetic', 'geometric'])

• type (Literal['FactorAttribution'])

field type: Literal['FactorAttribution'] = 'FactorAttribution'

field rescale_bench: bool = True

Rescale the benchmark holdings to sum to the sum of the holdings.

field normalize_holdings: bool = True

Make holdings sum to one.

field multiperiod_aggregation: Literal['none', 'optimized'] = 'none'

field return_aggregation_type: Literal['arithmetic', 'geometric'] = 'geometric'

property columns: list[str]

Get the column names for this measure.

Returns

list[str]

The column names for this measure.