Description
Subtract meanExposure from exposure and multiply by factorReturn.
A simple return is a change relative to an initial value, while a gross return is a wealth multiplier and a log return uses a logarithm of that multiplier. Dividend, split, fee and currency conventions change what is included.
Subtract meanExposure from exposure and multiply by factorReturn.
When to use this tool
Use Factor Exposure Centered Term when you need a stated return-basis conversion or contribution.
How to use the tool and how it works
- Enter exposure, meanExposure, factorReturn. Use the units and conventions below.
- Run the tool. Correct any format, range, or cross-field input error before interpreting the output.
- Read contribution. Use the output convention below.
Subtract meanExposure from exposure and multiply by factorReturn.1
| Input field | Meaning and units | Accepted input |
|---|---|---|
| exposure | Exposure | Required. Finite number. |
| meanExposure | Mean Exposure | Required. Finite number. |
| factorReturn | Factor Return | Required. Finite number. |
| Output field | Interpretation | Returned shape |
|---|---|---|
| contribution | Contribution | Required. Finite number. |
{
"input": {
"exposure": 2,
"meanExposure": 1,
"factorReturn": 0.1
},
"output": {
"contribution": 0.1
}
}Limitations and assumptions
- The supplied mean defines the centering population. This one term does not estimate factor exposure or reconstruct a complete portfolio return.
- Inputs must satisfy both the field types and the cross-field conditions above. Invalid input causes an error; a successful false flag or documented placeholder is a different result.
- Numeric calculations use binary floating point unless exact decimal-integer arithmetic is explicitly stated. No hidden measurement tolerance or decimal rounding is added; nonfinite or out-of-contract results are rejected. Numeric signed-zero results are exported as zero.
Alternative or Complementary methods
Reconstruct the full investment cashflow and adjustment history for performance analysis. Align horizons, quote direction and numeric return scales, and include relevant fees and taxes explicitly.
References
Similar or alternative tools
- Factor Model One Exposure Return Term
Multiply factor return by current exposure and separately by exposureChange.
- Factor Return Normalization Gap
Divide factorReturn by scale and subtract the supplied normalized reference.