BlankZeros

If this switch is active, zeros in the interactive reports are set to blanks. Note the following caveats:

Conditions for zero weights

If the weight of a security is zero (ie it is not present in the portfolio), its weight should be shown as ‘blank’ apart from the following case:

A security with a very low weight (below the display threshold) but a non-zero contribution should have its weight shown as (numeric) zero. This is to handle cases where weights are very low but returns are very high, leading to a non-zero performance contribution. Therefore, for a weight of a security i to be set to ‘blank’ when BlankZeros is active, it must pass the two conditions

where $w_i$ and $c_i$ are the weight and contribution of security $i$, respectively, and T is the display threshold (currently 1E-12).

Conditions for zero returns and contributions

If the return or contribution of a security is zero, it should be shown as ‘blank’ unless it has a non-zero weight, in which case the return or contribution should be shown as (numeric) zero. This is to handle cases where the return is genuinely zero (eg where its price has not changed over the interval). Here, the same conditions as above apply.

Conditions for active weights, returns and contributions

If the portfolio weight of a security is zero, but it has a non-zero weight in the benchmark, then it has a non-zero active weight which should be shown.

An active weight should only be shown as zero if the portfolio weight is identical to the benchmark weight.

Therefore, for the active weight of a security i to be set to ‘blank’ when BlankZeros is active, it must pass the four conditions

where $w_i$ and $c_i$ are the weight and contribution of the security in the portfolio, and $W_i$ and $C_i$ are its weight and contribution in the benchmark.

A similar argument applies to returns and contributions. The active return of a security should only be shown as zero if the security is present in both portfolio and benchmark. Therefore the same test as above should apply to whether an active return is set to ‘blank’.