Description
Multiply factor return by current exposure and separately by exposureChange.
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.
Multiply factor return by current exposure and separately by exposureChange.
When to use this tool
Use Factor Model One Exposure Return Term when you need a stated return-basis conversion or contribution.
How to use the tool and how it works
- Enter exposure, factorReturn, exposureChange. Use the units and conventions below.
- Run the tool. Correct any format, range, or cross-field input error before interpreting the output.
- Read currentContribution, changeContribution. Use the output convention below.
Multiply factor return by current exposure and separately by exposureChange.1
| Input field | Meaning and units | Accepted input |
|---|---|---|
| exposure | Exposure | Required. Finite number. |
| factorReturn | Factor Return | Required. Finite number. |
| exposureChange | Exposure Change | Required. Finite number. |
| Output field | Interpretation | Returned shape |
|---|---|---|
| currentContribution | Current Contribution | Required. Finite number. |
| changeContribution | Change Contribution | Required. Finite number. |
{
"input": {
"exposure": 1.2,
"factorReturn": 0.05,
"exposureChange": 0.2
},
"output": {
"currentContribution": 0.06,
"changeContribution": 0.010000000000000002
}
}Limitations and assumptions
- This is one linear factor contribution, without intercept, residual, other factors or estimated loadings. Exposures and returns require compatible conventions.
- 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 Exposure Centered Term
Subtract meanExposure from exposure and multiply by factorReturn.
- Risk Premium Contribution
Subtract reference return from asset return and multiply the premium by portfolioWeight.