Node CMA Covariance
Data Dictionary - Entity Table: Node_CMA_Covariance#
Capital Market Assumptions (CMA) represent the risk and return assumptions for a distinct group of assets. CMA plays important role in the Strategic (SAA) and Tactic Asset Allocation (TAA). Table contains covariance/correlation between different asset classes. The main goal of this information is to help evaluating the risk that a portfolio holds (diversification of the risk).
| Primary Key ('id') | . | ENGINE = InnoDB | . | . |
|---|---|---|---|---|
| Column Name | Data Type | PK Primary Key, NN-Not Null, Null | Example | Comments |
id | BIGINT(12) | PK, NN | 1 | PrimaryKey-ID, Not Null (auto creates) |
Node_1 | BIGINT(12) | NULL | 1 | Asset classification node id 1 |
Node_2 | BIGINT(12) | NULL | 2 | Asset classification node id 2 |
Covariance | DECIMAL | NULL | -0.03 | Covariance/correlation between different asset classes based on the CMA_Set. 1 = Perfectly correlated, -1 = no correlation. |
CMA_Set | BIGINT(12) | NULL | 1 | CMA set id |
| CONSTRAINT | FOREIGN KEY | REFERENCES | ON DELETE | ON UPDATE |
Node_1 | (Node_1) | Asset_Classification_Node (id) | NO ACTION | NO ACTION |
Node_2 | (Node_2) | Asset_Classification_Node (id) | NO ACTION | NO ACTION |
RRNodeCMA_Set | (CMA_Set) | CMA_Set (id) | NO ACTION | NO ACTION |
| CREATE INDEX | ON | ASC | VISIBLE | . |
Node_1_idx | Node_CMA_Covariance | (Node_1 ASC) | VISIBLE | . |
Node_2_idx | Node_CMA_Covariance | (Node_2 ASC) | VISIBLE | . |
CMA_Set_idx | Node_CMA_Covariance | (CMA_Set ASC) | VISIBLE | . |