Risk contributions for stablecoins are negative
vaughnmck opened this issue · 2 comments
Risk contributions for stablecoins, e.g. USDC & USDT are negative as seen in the above screenshot.
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 .
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.