I added a bunch of Custom Assets which are all stocks from exchanges not supported by StocksCafe. Since then my portfolio Beta, VaR and Expected Shortfall stats have dropped a lot.
I was just wondering if Custom Assets are included in the calculation of these stats? I update the prices of Custom Assets only now and then, because daily would be too much hassle. Perhaps the calculation falsely concludes that the Custom Assets have a low variability?
Yes, for now, Custom Assets are included in the computation.
What you can do for now is
- Put all Custom Assets in one portfolio then do not include that portfolio when you want to see the Beta, VaR and ES.
Although I can make Custom Assets to be not included by default for these computations, some users might want them to be included because the Custom Assets could be stable things like Cash and they want it to reduce the volatility.
Open to discuss what is the best way to handle this for all