bayesline.api.equity.TSBetaReportSettings#
- pydantic model bayesline.api.equity.TSBetaReportSettings#
Defines settings to build a time-series Beta report.
Show JSON schema
{ "title": "TSBetaReportSettings", "description": "Defines settings to build a time-series Beta report.", "type": "object", "properties": { "report_type": { "const": "TS Beta report", "default": "TS Beta report", "title": "Report Type", "type": "string" }, "measures": { "description": "The measures to include in the report.", "items": { "anyOf": [ { "$ref": "#/$defs/PassThroughFactor2DMeasureSettings" }, { "$ref": "#/$defs/HoldingsMeasureSettings" }, { "$ref": "#/$defs/ExposureMeasureSettings" }, { "$ref": "#/$defs/XSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesXSigmaRhoMeasureSettings" }, { "$ref": "#/$defs/RiskDecompositionMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesBetaMeasureSettings" }, { "$ref": "#/$defs/HVaRMeasureSettings" }, { "$ref": "#/$defs/AVaRMeasureSettings" }, { "$ref": "#/$defs/TimeSeriesVolatilityMeasureSettings" }, { "$ref": "#/$defs/CumsumMeasureSettings" }, { "$ref": "#/$defs/DrawdownMeasureSettings" }, { "$ref": "#/$defs/MovingAverageMeasureSettings" }, { "$ref": "#/$defs/FactorMovingAverageMeasureSettings" }, { "$ref": "#/$defs/MovingAverageRSquaredMeasureSettings" }, { "$ref": "#/$defs/VolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorVolForecastMeasureSettings" }, { "$ref": "#/$defs/FactorCovarianceMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticReturnMeasureSettings" }, { "$ref": "#/$defs/IdiosyncraticVolatilityMeasureSettings" }, { "$ref": "#/$defs/FactorIdioMeasureSettings" }, { "$ref": "#/$defs/ForecastBacktestMeasureSettings" }, { "$ref": "#/$defs/BrinsonAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionMeasureSettings" }, { "$ref": "#/$defs/FactorAttributionDrilldownMeasureSettings" }, { "$ref": "#/$defs/PortfolioStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetStressTestMeasureSettings" }, { "$ref": "#/$defs/AssetHoldingsMeasureSettings" } ] }, "title": "Measures", "type": "array" }, "halflife_factor_vol": { "default": 42, "description": "The half-life for the factor volatility.", "title": "Halflife Factor Vol", "type": "integer" }, "halflife_factor_vra": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The half-life for the factor volatility regime adjustment. If None, no adjustment is applied.", "title": "Halflife Factor Vra" }, "halflife_factor_cor": { "default": 126, "description": "The half-life for the factor correlation.", "title": "Halflife Factor Cor", "type": "integer" }, "halflife_idio_vol": { "default": 42, "description": "The half-life for the idiosyncratic volatility.", "title": "Halflife Idio Vol", "type": "integer" }, "shrink_factor_cor_method": { "anyOf": [ { "enum": [ "LIS", "QIS", "GIS" ], "type": "string" }, { "type": "null" } ], "default": null, "description": "The method to use for the shrinkage of the factor correlation. If None, don't shrink.", "title": "Shrink Factor Cor Method" }, "shrink_factor_cor_length": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": 1008, "description": "If a shrinkage method is provided, the length of the shrinkage for the factor correlation.", "title": "Shrink Factor Cor Length" }, "shrink_factor_cor_standardized": { "default": false, "description": "If True, the correlation matrix is combined with an estimate based on the standardized returns. The halflife_factor_vra is used for the weights.", "title": "Shrink Factor Cor Standardized", "type": "boolean" }, "nw_lags_factor_vol": { "default": 0, "description": "The Newey-West lags of the factor volatility.", "title": "Nw Lags Factor Vol", "type": "integer" }, "nw_lags_factor_vol_halflife_override": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The Newey-West lags override for the factor volatility for lagged returns.", "title": "Nw Lags Factor Vol Halflife Override" }, "nw_lags_factor_cor": { "default": 0, "description": "The Newey-West lags of the factor correlation.", "title": "Nw Lags Factor Cor", "type": "integer" }, "nw_lags_idio_vol": { "default": 0, "description": "The Newey-West lags of the idiosyncratic volatility.", "title": "Nw Lags Idio Vol", "type": "integer" }, "nw_lags_idio_vol_halflife_override": { "anyOf": [ { "type": "integer" }, { "type": "null" } ], "default": null, "description": "The Newey-West lags override for the idiosyncratic volatility for lagged returns.", "title": "Nw Lags Idio Vol Halflife Override" }, "shrink_idio_vol": { "default": 0.0, "description": "The shrinkage factor for the idiosyncratic volatility.", "title": "Shrink Idio Vol", "type": "number" }, "clip_idio_return_lb": { "anyOf": [ { "type": "number" }, { "type": "null" } ], "default": -0.3, "description": "The lower bound to clip the idiosyncratic return in order to compute the idiosyncratic volatility. If None, no clipping is applied.", "title": "Clip Idio Return Lb" }, "clip_idio_return_ub": { "anyOf": [ { "type": "number" }, { "type": "null" } ], "default": null, "description": "The upper bound to clip the idiosyncratic return in order to compute the idiosyncratic volatility. If None, no clipping is applied.", "title": "Clip Idio Return Ub" }, "void_idio_return_lb": { "anyOf": [ { "type": "number" }, { "type": "null" } ], "default": null, "description": "The lower bound to remove the idiosyncratic return in order to compute the idiosyncratic volatility. Removed returns are treated as if there was a holiday for this asset. If None, no removal is applied. Voiding returns is applied before clipping.", "title": "Void Idio Return Lb" }, "void_idio_return_ub": { "anyOf": [ { "type": "number" }, { "type": "null" } ], "default": 0.5, "description": "The upper bound to remove the idiosyncratic return in order to compute the idiosyncratic volatility. Removed returns are treated as if there was a holiday for this asset. If None, no removal is applied. Voiding returns is applied before clipping.", "title": "Void Idio Return Ub" }, "structural_model_fallback_halflife": { "default": 21, "description": "The half-life to use for the structural model fallback. The structural model computes idio vol based on the factor exposures. The halflife determines the dacay of this estimate when historical returns become available.", "title": "Structural Model Fallback Halflife", "type": "integer" } }, "$defs": { "AVaRMeasureSettings": { "additionalProperties": false, "description": "Settings for analytical VaR measure.\n\nThis class defines settings for an analytical Value at Risk (VaR) measure,\nwhich provides analytical VaR calculations at specified confidence levels.", "properties": { "type": { "const": "Analytical VaR", "default": "Analytical VaR", "title": "Type", "type": "string" }, "alpha": { "default": [ 0.1, 0.05 ], "items": { "type": "number" }, "title": "Alpha", "type": "array" } }, "title": "AVaRMeasureSettings", "type": "object" }, "AssetHoldingsMeasureSettings": { "additionalProperties": false, "description": "Settings for asset holdings measure.\n\nThis class defines settings for an asset holdings measure,\nwhich provides asset holdings calculations and comparisons.", "properties": { "type": { "const": "AssetHoldings", "default": "AssetHoldings", "title": "Type", "type": "string" } }, "title": "AssetHoldingsMeasureSettings", "type": "object" }, "AssetStressTestMeasureSettings": { "additionalProperties": false, "description": "Settings for asset stress test measure.\n\nThis class defines settings for an asset stress test measure,\nwhich provides asset stress test calculations.", "properties": { "type": { "const": "AssetStressTest", "default": "AssetStressTest", "title": "Type", "type": "string" }, "shock_size": { "default": 1.0, "description": "The size of the shock to apply in standard deviations.", "title": "Shock Size", "type": "number" } }, "title": "AssetStressTestMeasureSettings", "type": "object" }, "BrinsonAttributionMeasureSettings": { "additionalProperties": false, "description": "Settings for Brinson attribution measure.\n\nThis class defines settings for a Brinson attribution measure,\nwhich provides Brinson attribution calculations for portfolio analysis.", "properties": { "type": { "const": "BrinsonAttribution", "default": "BrinsonAttribution", "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" } }, "title": "BrinsonAttributionMeasureSettings", "type": "object" }, "CumsumMeasureSettings": { "additionalProperties": false, "description": "Settings for cumulative sum measure.\n\nThis class defines settings for a cumulative sum measure,\nwhich provides cumulative sum calculations for time series data.", "properties": { "type": { "const": "Cumsum", "default": "Cumsum", "title": "Type", "type": "string" } }, "title": "CumsumMeasureSettings", "type": "object" }, "DrawdownMeasureSettings": { "additionalProperties": false, "description": "Settings for drawdown measure.\n\nThis class defines settings for a drawdown measure,\nwhich provides drawdown calculations for portfolio analysis.", "properties": { "type": { "const": "Drawdown", "default": "Drawdown", "title": "Type", "type": "string" }, "window": { "default": "6mo", "description": "The size of the rolling window", "title": "Window", "type": "string" } }, "title": "DrawdownMeasureSettings", "type": "object" }, "ExposureMeasureSettings": { "additionalProperties": false, "description": "Settings for exposure measure.\n\nThis class defines settings for an exposure measure,\nwhich provides portfolio, benchmark, and active exposure data.", "properties": { "type": { "const": "Exposure", "default": "Exposure", "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" } }, "title": "ExposureMeasureSettings", "type": "object" }, "FactorAttributionDrilldownMeasureSettings": { "additionalProperties": false, "description": "Settings for factor attribution drilldown measure.\n\nThis class defines settings for a factor attribution drilldown measure,\nwhich provides factor attribution drilldown calculations for portfolio analysis.", "properties": { "type": { "const": "FactorAttributionDrilldown", "default": "FactorAttributionDrilldown", "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" } }, "title": "FactorAttributionDrilldownMeasureSettings", "type": "object" }, "FactorAttributionMeasureSettings": { "additionalProperties": false, "description": "Settings for factor attribution measure.\n\nThis class defines settings for a factor attribution measure,\nwhich provides factor attribution calculations for portfolio analysis.", "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" } }, "title": "FactorAttributionMeasureSettings", "type": "object" }, "FactorCovarianceMeasureSettings": { "additionalProperties": false, "description": "Settings for factor covariance measure.\n\nThis class defines settings for a factor covariance measure,\nwhich provides factor covariance calculations.", "properties": { "type": { "const": "FactorCovariance", "default": "FactorCovariance", "title": "Type", "type": "string" } }, "title": "FactorCovarianceMeasureSettings", "type": "object" }, "FactorIdioMeasureSettings": { "additionalProperties": false, "description": "Settings for factor idiosyncratic measure.\n\nThis class defines settings for a factor idiosyncratic measure,\nwhich provides factor idiosyncratic calculations.", "properties": { "type": { "const": "FactorIdio", "default": "FactorIdio", "title": "Type", "type": "string" } }, "title": "FactorIdioMeasureSettings", "type": "object" }, "FactorMovingAverageMeasureSettings": { "additionalProperties": false, "description": "Settings for factor moving average measure.\n\nThis class defines settings for a factor moving average measure,\nwhich provides moving average calculations for factor data.", "properties": { "type": { "const": "FactorMovingAverage", "default": "FactorMovingAverage", "title": "Type", "type": "string" }, "window": { "default": "6mo", "description": "The size of the rolling window", "title": "Window", "type": "string" }, "var": { "default": "p", "description": "The variable to average", "enum": [ "abs_t", "p", "p1", "p5" ], "title": "Var", "type": "string" } }, "title": "FactorMovingAverageMeasureSettings", "type": "object" }, "FactorVolForecastMeasureSettings": { "additionalProperties": false, "description": "Settings for factor volatility forecast measure.\n\nThis class defines settings for a factor volatility forecast measure,\nwhich provides factor volatility forecasting calculations and metrics.", "properties": { "type": { "const": "FactorVolForecast", "default": "FactorVolForecast", "title": "Type", "type": "string" }, "window": { "default": "6mo", "description": "The size of the rolling window", "title": "Window", "type": "string" }, "metric": { "default": "qlike", "description": "The metric to use", "enum": [ "qlike", "mse", "mae", "bias" ], "title": "Metric", "type": "string" }, "ddof": { "default": 1, "description": "The degrees of freedom to use for the stability", "title": "Ddof", "type": "integer" } }, "title": "FactorVolForecastMeasureSettings", "type": "object" }, "ForecastBacktestMeasureSettings": { "additionalProperties": false, "description": "Settings for forecast backtest measure.\n\nThis class defines settings for a forecast backtest measure,\nwhich provides forecast backtest calculations and metrics.", "properties": { "type": { "const": "ForecastBacktest", "default": "ForecastBacktest", "title": "Type", "type": "string" }, "window": { "default": "6mo", "description": "The size of the rolling window", "title": "Window", "type": "string" }, "ddof": { "default": 1, "description": "The degrees of freedom to use for the stability", "title": "Ddof", "type": "integer" } }, "title": "ForecastBacktestMeasureSettings", "type": "object" }, "HVaRMeasureSettings": { "additionalProperties": false, "description": "Settings for historical VaR measure.\n\nThis class defines settings for a historical Value at Risk (VaR) measure,\nwhich provides historical VaR calculations at specified confidence levels.", "properties": { "type": { "const": "Historical VaR", "default": "Historical VaR", "title": "Type", "type": "string" }, "alpha": { "default": [ 0.1, 0.05 ], "items": { "type": "number" }, "title": "Alpha", "type": "array" } }, "title": "HVaRMeasureSettings", "type": "object" }, "HoldingsMeasureSettings": { "additionalProperties": false, "description": "Settings for holdings measure.\n\nThis class defines settings for a holdings measure,\nwhich provides portfolio, benchmark, and active holdings data.", "properties": { "type": { "const": "Holdings", "default": "Holdings", "title": "Type", "type": "string" } }, "title": "HoldingsMeasureSettings", "type": "object" }, "IdiosyncraticReturnMeasureSettings": { "additionalProperties": false, "description": "Settings for idiosyncratic return measure.\n\nThis class defines settings for an idiosyncratic return measure,\nwhich provides idiosyncratic return calculations.", "properties": { "type": { "const": "IdiosyncraticReturn", "default": "IdiosyncraticReturn", "title": "Type", "type": "string" } }, "title": "IdiosyncraticReturnMeasureSettings", "type": "object" }, "IdiosyncraticVolatilityMeasureSettings": { "additionalProperties": false, "description": "Settings for idiosyncratic volatility measure.\n\nThis class defines settings for an idiosyncratic volatility measure,\nwhich provides idiosyncratic volatility calculations.", "properties": { "type": { "const": "IdiosyncraticVolatility", "default": "IdiosyncraticVolatility", "title": "Type", "type": "string" } }, "title": "IdiosyncraticVolatilityMeasureSettings", "type": "object" }, "MovingAverageMeasureSettings": { "additionalProperties": false, "description": "Settings for moving average measure.\n\nThis class defines settings for a moving average measure,\nwhich provides moving average calculations for time series data.", "properties": { "type": { "const": "MovingAverage", "default": "MovingAverage", "title": "Type", "type": "string" }, "window": { "default": "6mo", "description": "The size of the rolling window", "title": "Window", "type": "string" }, "var": { "default": "r2", "description": "The variable to average", "enum": [ "r2", "sigma2", "sigma", "aic", "bic" ], "title": "Var", "type": "string" } }, "title": "MovingAverageMeasureSettings", "type": "object" }, "MovingAverageRSquaredMeasureSettings": { "additionalProperties": false, "description": "Settings for moving average R-squared measure.\n\nThis class defines settings for a moving average R-squared measure,\nwhich provides moving average R-squared calculations for time series data.", "properties": { "type": { "const": "MovingAverageRSquared", "default": "MovingAverageRSquared", "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" }, "window": { "default": "6mo", "description": "The size of the rolling window", "title": "Window", "type": "string" } }, "title": "MovingAverageRSquaredMeasureSettings", "type": "object" }, "PassThroughFactor2DMeasureSettings": { "additionalProperties": false, "description": "Settings for pass-through factor 2D measure.\n\nThis class defines settings for a pass-through factor 2D measure,\nwhich allows passing through factor data in 2D format.", "properties": { "type": { "const": "PassThroughFactor2D", "default": "PassThroughFactor2D", "title": "Type", "type": "string" }, "name": { "default": "PassThroughFactor2D", "description": "The name of the measure.", "title": "Name", "type": "string" } }, "title": "PassThroughFactor2DMeasureSettings", "type": "object" }, "PortfolioStressTestMeasureSettings": { "additionalProperties": false, "description": "Settings for portfolio stress test measure.\n\nThis class defines settings for a portfolio stress test measure,\nwhich provides portfolio stress test calculations.", "properties": { "type": { "const": "PortfolioStressTest", "default": "PortfolioStressTest", "title": "Type", "type": "string" }, "shock_size": { "default": 0.1, "description": "The size of the shock to apply.", "title": "Shock Size", "type": "number" } }, "title": "PortfolioStressTestMeasureSettings", "type": "object" }, "RiskDecompositionMeasureSettings": { "additionalProperties": false, "description": "Settings for risk decomposition measure.\n\nThis class defines settings for a risk decomposition measure. Currently exposure,\nstand-alone volatility and variance contribution are computed.", "properties": { "type": { "const": "RiskDecomposition", "default": "RiskDecomposition", "title": "Type", "type": "string" }, "rescale_abs_bench": { "default": true, "description": "Rescale the benchmark holdings to absolute sum to the absolute sum of the holdings.", "title": "Rescale Abs Bench", "type": "boolean" }, "analytics_space": { "default": "absolute", "description": "Compute the anlytics in `absolute` space, `active` space, or compute the analytics only on the `benchmark`.", "enum": [ "absolute", "active", "benchmark" ], "title": "Analytics Space", "type": "string" } }, "title": "RiskDecompositionMeasureSettings", "type": "object" }, "TimeSeriesBetaMeasureSettings": { "additionalProperties": false, "description": "Settings for time series beta measure.\n\nThis class defines settings for a time series beta measure,\nwhich provides time series beta data for portfolio analysis.", "properties": { "type": { "const": "TimeSeriesBeta", "default": "TimeSeriesBeta", "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" } }, "title": "TimeSeriesBetaMeasureSettings", "type": "object" }, "TimeSeriesVolatilityMeasureSettings": { "additionalProperties": false, "description": "Settings for time series volatility measure.\n\nThis class defines settings for a time series volatility measure,\nwhich provides time series volatility data using rolling windows.", "properties": { "type": { "const": "TimeSeriesVolatility", "default": "TimeSeriesVolatility", "title": "Type", "type": "string" }, "window": { "default": "6mo", "description": "The size of the rolling window", "title": "Window", "type": "string" }, "ddof": { "default": 1, "description": "The degrees of freedom to use for the volality", "title": "Ddof", "type": "integer" } }, "title": "TimeSeriesVolatilityMeasureSettings", "type": "object" }, "TimeSeriesXSigmaRhoMeasureSettings": { "additionalProperties": false, "description": "Settings for time series X-Sigma-Rho measure.\n\nThis class defines settings for a time series X-Sigma-Rho measure,\nwhich provides time series data for exposure, volatility, correlation, and contribution.", "properties": { "type": { "const": "TimeSeriesXSigmaRho", "default": "TimeSeriesXSigmaRho", "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" }, "analytics_space": { "default": "absolute", "description": "Compute the anlytics in `absolute` space, `active` space, or compute the analytics only on the `benchmark`.", "enum": [ "absolute", "active", "benchmark" ], "title": "Analytics Space", "type": "string" }, "backfill_holdings": { "default": false, "description": "Backfill the latest holdings, accounting for listing/delisting.", "title": "Backfill Holdings", "type": "boolean" } }, "title": "TimeSeriesXSigmaRhoMeasureSettings", "type": "object" }, "VolForecastMeasureSettings": { "additionalProperties": false, "description": "Settings for volatility forecast measure.\n\nThis class defines settings for a volatility forecast measure,\nwhich provides volatility forecasting calculations and metrics.", "properties": { "type": { "const": "VolForecast", "default": "VolForecast", "title": "Type", "type": "string" }, "window": { "default": "6mo", "description": "The size of the rolling window", "title": "Window", "type": "string" }, "metric": { "default": "qlike", "description": "The metric to use", "enum": [ "qlike", "mse", "mae", "bias" ], "title": "Metric", "type": "string" }, "ddof": { "default": 1, "description": "The degrees of freedom to use for the stability", "title": "Ddof", "type": "integer" } }, "title": "VolForecastMeasureSettings", "type": "object" }, "XSigmaRhoMeasureSettings": { "additionalProperties": false, "description": "Settings for X-Sigma-Rho measure.\n\nThis class defines settings for an X-Sigma-Rho measure,\nwhich provides exposure, volatility, correlation, and contribution data.", "properties": { "type": { "const": "XSigmaRho", "default": "XSigmaRho", "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" }, "analytics_space": { "default": "absolute", "description": "Compute the analytics in `absolute` space, `active` space, or compute the analytics only on the `benchmark`.", "enum": [ "absolute", "active", "benchmark" ], "title": "Analytics Space", "type": "string" } }, "title": "XSigmaRhoMeasureSettings", "type": "object" } }, "additionalProperties": false }
- Config:
frozen: bool = True
extra: str = forbid
- Fields:
clip_idio_return_lb (float | None)clip_idio_return_ub (float | None)halflife_factor_cor (int)halflife_factor_vol (int)halflife_factor_vra (int | None)halflife_idio_vol (int)measures (list[bayesline.api._src.equity.report_settings.PassThroughFactor2DMeasureSettings | bayesline.api._src.equity.report_settings.HoldingsMeasureSettings | bayesline.api._src.equity.report_settings.ExposureMeasureSettings | bayesline.api._src.equity.report_settings.XSigmaRhoMeasureSettings | bayesline.api._src.equity.report_settings.TimeSeriesXSigmaRhoMeasureSettings | bayesline.api._src.equity.report_settings.RiskDecompositionMeasureSettings | bayesline.api._src.equity.report_settings.TimeSeriesBetaMeasureSettings | bayesline.api._src.equity.report_settings.HVaRMeasureSettings | bayesline.api._src.equity.report_settings.AVaRMeasureSettings | bayesline.api._src.equity.report_settings.TimeSeriesVolatilityMeasureSettings | bayesline.api._src.equity.report_settings.CumsumMeasureSettings | bayesline.api._src.equity.report_settings.DrawdownMeasureSettings | bayesline.api._src.equity.report_settings.MovingAverageMeasureSettings | bayesline.api._src.equity.report_settings.FactorMovingAverageMeasureSettings | bayesline.api._src.equity.report_settings.MovingAverageRSquaredMeasureSettings | bayesline.api._src.equity.report_settings.VolForecastMeasureSettings | bayesline.api._src.equity.report_settings.FactorVolForecastMeasureSettings | bayesline.api._src.equity.report_settings.FactorCovarianceMeasureSettings | bayesline.api._src.equity.report_settings.IdiosyncraticReturnMeasureSettings | bayesline.api._src.equity.report_settings.IdiosyncraticVolatilityMeasureSettings | bayesline.api._src.equity.report_settings.FactorIdioMeasureSettings | bayesline.api._src.equity.report_settings.ForecastBacktestMeasureSettings | bayesline.api._src.equity.report_settings.BrinsonAttributionMeasureSettings | bayesline.api._src.equity.report_settings.FactorAttributionMeasureSettings | bayesline.api._src.equity.report_settings.FactorAttributionDrilldownMeasureSettings | bayesline.api._src.equity.report_settings.PortfolioStressTestMeasureSettings | bayesline.api._src.equity.report_settings.AssetStressTestMeasureSettings | bayesline.api._src.equity.report_settings.AssetHoldingsMeasureSettings])nw_lags_factor_cor (int)nw_lags_factor_vol (int)nw_lags_factor_vol_halflife_override (int | None)nw_lags_idio_vol (int)nw_lags_idio_vol_halflife_override (int | None)report_type (Literal['TS Beta report'])shrink_factor_cor_length (int | None)shrink_factor_cor_method (Literal['LIS', 'QIS', 'GIS'] | None)shrink_factor_cor_standardized (bool)shrink_idio_vol (float)structural_model_fallback_halflife (int)void_idio_return_lb (float | None)void_idio_return_ub (float | None)
- field report_type: Literal['TS Beta report'] = 'TS Beta report'#
- field measures: list[MeasureSettingsType] [Optional]#
The measures to include in the report.
- field halflife_factor_vol: int = 42#
The half-life for the factor volatility.
- field halflife_factor_vra: int | None = None#
The half-life for the factor volatility regime adjustment. If None, no adjustment is applied.
- field halflife_factor_cor: int = 126#
The half-life for the factor correlation.
- field halflife_idio_vol: int = 42#
The half-life for the idiosyncratic volatility.
- field shrink_factor_cor_method: Literal['LIS', 'QIS', 'GIS'] | None = None#
The method to use for the shrinkage of the factor correlation. If None, don’t shrink.
- field shrink_factor_cor_length: int | None = 1008#
If a shrinkage method is provided, the length of the shrinkage for the factor correlation.
- field shrink_factor_cor_standardized: bool = False#
If True, the correlation matrix is combined with an estimate based on the standardized returns. The halflife_factor_vra is used for the weights.
- field nw_lags_factor_vol: int = 0#
The Newey-West lags of the factor volatility.
- field nw_lags_factor_vol_halflife_override: int | None = None#
The Newey-West lags override for the factor volatility for lagged returns.
- field nw_lags_factor_cor: int = 0#
The Newey-West lags of the factor correlation.
- field nw_lags_idio_vol: int = 0#
The Newey-West lags of the idiosyncratic volatility.
- field nw_lags_idio_vol_halflife_override: int | None = None#
The Newey-West lags override for the idiosyncratic volatility for lagged returns.
- field shrink_idio_vol: float = 0.0#
The shrinkage factor for the idiosyncratic volatility.
- field clip_idio_return_lb: float | None = -0.3#
The lower bound to clip the idiosyncratic return in order to compute the idiosyncratic volatility. If None, no clipping is applied.
- field clip_idio_return_ub: float | None = None#
The upper bound to clip the idiosyncratic return in order to compute the idiosyncratic volatility. If None, no clipping is applied.
- field void_idio_return_lb: float | None = None#
The lower bound to remove the idiosyncratic return in order to compute the idiosyncratic volatility. Removed returns are treated as if there was a holiday for this asset. If None, no removal is applied. Voiding returns is applied before clipping.
- field void_idio_return_ub: float | None = 0.5#
The upper bound to remove the idiosyncratic return in order to compute the idiosyncratic volatility. Removed returns are treated as if there was a holiday for this asset. If None, no removal is applied. Voiding returns is applied before clipping.
- field structural_model_fallback_halflife: int = 21#
The half-life to use for the structural model fallback. The structural model computes idio vol based on the factor exposures. The halflife determines the dacay of this estimate when historical returns become available.