Synthetic positions in 100 assets. One P&L unit equals the model's daily specific volatility. The market factor has zero expected return.
Mean shares can be negative or exceed 100%. They are undefined when total mean is zero. The bars use separate scales.
Realised risk terms are Var(F), Var(S), and 2Cov(F,S), divided by Var(F + S). The last two bars show model Euler shares of volatility. Here the model covariance is zero, so these also equal the model variance shares.