bayesline.api.equity.PortfolioReturnsReportSettings

model PortfolioReturnsReportSettings

Settings for a portfolio returns report.

Fields

Field	Type	Required	Default
calendar	CalendarSettings	No	factory
currency	str | None	No	None
normalize_holdings	bool	No	True
portfolio_hierarchy_settings	PortfolioHierarchySettings	Yes
report_type	Literal[‘portfolio_returns’]	No	'portfolio_returns'
rescale_bench	bool	No	True
return_aggregation_type	Literal[‘arithmetic’, ‘geometric’]	No	'geometric'
returns_currency	str	No	'USD'

Validators

Validator	Mode	Fields
validate_geometric_requires_normalized	after	model

field calendar: CalendarSettings [Optional]

Validated by:

validate_geometric_requires_normalized

field currency: str | None [Optional]

Validated by:

validate_geometric_requires_normalized

field normalize_holdings: bool [Optional]

Whether returns are reported rather than PnL. Decomposed sleeve rows under one fund-of-funds root (e.g. ‘mmf1:p1’, ‘mmf1:{REST}’) are then contributions to that root: each is divided by the root’s whole-book NAV, each sleeve brings its own benchmark at its NAV and the root’s benchmark is the NAV-weighted mix of its sleeves’, and geometric periods link against the root’s returns, so sibling sleeves add up to the standalone root. Mixed-root groups, and every query with normalize_holdings=False, use their own grouped book.

Validated by:

validate_geometric_requires_normalized

field portfolio_hierarchy_settings: PortfolioHierarchySettings [Required]

Validated by:

validate_geometric_requires_normalized

field report_type: Literal['portfolio_returns'] [Optional]

Report type discriminator

Validated by:

validate_geometric_requires_normalized

field rescale_bench: bool [Optional]

Whether each benchmark is scaled to its portfolio’s NAV. Applies only when normalize_holdings is off; normalized reports always carry each benchmark onto its portfolio’s NAV and ignore this value.

Validated by:

validate_geometric_requires_normalized

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

Validated by:

validate_geometric_requires_normalized

field returns_currency: str [Optional]

Validated by:

validate_geometric_requires_normalized

validator validate_geometric_requires_normalized(mode=after)

Validates:

entire model