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butterygg / whip

Treasury Risk Analytics Dashboard with Strategy Backtesting for DAOs
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Risk contributions for stablecoins are negative #64

Closed vaughnmck closed 2 years ago

vaughnmck commented 2 years ago
Screenshot 2022-06-29 at 13 30 18

Risk contributions for stablecoins, e.g. USDC & USDT are negative as seen in the above screenshot.

lajarre commented 2 years ago

It seems to me there is no reason why the risk contribution shouldn't be negative.

Our calculations are based on this spec: https://rviews.rstudio.com/2017/09/13/asset-contribution-to-portfolio-volatility/

See this for an idea how that makes sens (not scientific): https://support.everysk.com/hc/en-us/articles/360003521754-MCTR-for-long-short-portfolios

To be double checked by an expert in the matter.

If that makes sense, we can close the issue for now @vaughnmck .

vaughnmck commented 2 years ago

Sorry, I missed this. Happy to close.

Still unsure whether we've implemented risk contribution or marginal contribution to risk. I believe it is the former and that this has an impact on whether or not risk contribution can be negative but I need some more time to be confident.