Tracking risk measure: private API · PortfolioOptimisers.jl

supports_precomputed_returns(
    _::RiskTrackingRiskMeasure
) -> Bool

Return false: a RiskTrackingRiskMeasure tracks a benchmark held as a weight vector and always needs explicit portfolio weights.

supports_precomputed_returns(
    _::TrackingRiskMeasure{<:Any, <:ReturnsTracking}
) -> Bool

Return true: a ReturnsTracking measure compares against a benchmark return series and its risk is a function of the net-return series alone.

supports_precomputed_returns(
    _::TrackingRiskMeasure{<:Any, <:WeightsTracking}
) -> Bool

Return false: a WeightsTracking measure compares against a benchmark weight vector and always requires explicit portfolio weights.

struct ReturnsTracking{__T_w} <: AbstractTrackingAlgorithm

Carries the benchmark return series itself, for a benchmark whose weights are unknown.

struct WeightsTracking{__T_fees, __T_w, __T_fixed} <: AbstractTrackingAlgorithm

Builds the benchmark return series by holding a fixed weight vector, net of its own fees.

struct RiskTrackingRiskMeasure{__T_settings, __T_tr, __T_r, __T_alg} <: RiskMeasure

Represents the Risk Tracking risk measure.

struct TrackingRiskMeasure{__T_settings, __T_tr, __T_alg} <: RiskMeasure

Represents the Tracking Error risk measure.

supports_precomputed_returns(
    _::Union{ExpectedReturn, ExpectedReturnRiskRatio}
) -> Bool

Return false: a PrRM never supports precomputed returns.

supports_precomputed_returns(r::AbstractBaseRiskMeasure) -> Bool
supports_precomputed_returns(rk::RiskInputKind, r::AbstractBaseRiskMeasure) -> Bool

Whether risk measure r has a well-defined precomputed-returns form — i.e. whether its expected risk can be evaluated on an already-reduced net-return series x alone, via the functor r(x::VecNum).

supports_precomputed_returns(
    rs::AbstractVector{<:AbstractBaseRiskMeasure}
) -> Bool

Return whether every element of rs supports evaluation on a precomputed return series.

supports_precomputed_returns(
    r::Union{HighOrderMoment{T1, T2, T3, T4}, LowOrderMoment{T1, T2, T3, T4}} where {T1, T2, T3, T4}
) -> Any

Return whether LoHiOrderMoment r supports precomputed-return evaluation.

supports_precomputed_returns(r::Kurtosis) -> Any

Return whether Kurtosis r supports precomputed-return evaluation.

supports_precomputed_returns(r::Skewness) -> Any

Return whether Skewness r supports precomputed-return evaluation.

supports_precomputed_returns(
    _::VarianceSkewKurtosis
) -> Bool

Return false: VarianceSkewKurtosis carries a weights-only variance term r.vr(w) with no bare-series form.

supports_precomputed_returns(
    r::MedianAbsoluteDeviation
) -> Any

Return whether MedianAbsoluteDeviation r supports precomputed-return evaluation.

supports_precomputed_returns(r::ThirdCentralMoment) -> Any

Return whether ThirdCentralMoment r supports precomputed-return evaluation.

supports_precomputed_returns(r::MeanReturnRiskRatio) -> Any

Return whether MeanReturnRiskRatio r supports evaluation on a precomputed return series.

supports_precomputed_returns(
    r::Union{NonOptimisationRiskRatio, RiskRatio}
) -> Any

Return whether RkRatioRM r supports evaluation on a precomputed return series.