The ex-post risk report shows a range of commonly used ex-post risk statistics.
Some statistics are only defined when a benchmark is available (for instance, correlation between portfolio and benchmark). For this reason, they are left off the report when a single portfolio is being analysed.
To generate an ex-post risk report, set
ExPostRiskReport=1in the configuration file. Sample results are shown below for (i) a single portfolio, and (ii) a portfolio and benchmark.
