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项目作者： datudar

项目描述 ：
:chart: A fundamental equity risk model that decomposes the risk of a portfolio by factors and individual securities
高级语言： Python
项目地址: git://github.com/datudar/equity-risk-model.git
创建时间： 2017-11-11T03:36:45Z
项目社区：https://github.com/datudar/equity-risk-model
开源协议：MIT License
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Equity Risk Model

This is a fundamentally-based equity risk model that performs factor risk decomposition and single stock risk attribution. The model assumes that only three risk factors—Size, Value, Momentum—are relevant and that only ten securities—AAPL, BA, CAT, DIS, EBAY, F, GOOGL, HOG, IBM, JPM—are in our universe.

Note: This model is a drastic oversimplification of equity risk and is intended purely for instructional purposes only. For the United States market, a more realistic model would typically include several more risk factors and thousands of securities.

The three factors in this model are:

  1. Size, which is defined as the natural log of the market capitalization
  2. Value, which is defined as the trailing 12-month earnings yield
  3. Momentum, which is defined as price change from 12 months ago to 1 month ago

How It Works

  1. Enter the weights of the portfolio and benchmark in their respective CSV files
  2. Run the equity risk model
  3. Assign the portfolio, benchmark, and active portfolios as RiskModel objects, p, b, and a, respectively:
    1. p = RiskModel(portfolio)
    1. b = RiskModel(benchmark)
    1. a = RiskModel(active)
  4. Calculate a risk measure by executing its method. For example, to calculate the total factor risk of the active portfolio, a, execute the following line:
  1. a.factor_risk_total()

Risk Analysis

For the portfolio, benchmark, and active portfolios, the total risk is defined as the square root of the sum of the squared factor risk and squared specific risk. Risk is further decomposed at both the stock-level and factor-level. And, for each level, we calculate the following three risk measures:

  • Marginal contribution to risk
  • Contribution to risk
  • Percent contribution to risk

These measures are available as the following methods:

Portfolio-level

# Method Level Definition
1 factor_risk_total Portfolio Total factor risk
2 specific_risk_total Portfolio Total specific risk
3 total_risk_total Portfolio Total risk

Stock-level

# Method Level Definition
1 factor_risk_marginal Stock Marginal contribution to factor risk
2 specific_risk_marginal Stock Marginal contribution to specific risk
3 total_risk_marginal Stock Marginal contribution to total risk
4 factor_risk_contrib Stock Contribution to factor risk
5 specific_risk_contrib Stock Contribution to specific risk
6 total_risk_contrib Stock Contribution to total risk
7 factor_risk_pct_contrib Stock Percent contribution to factor risk
8 specific_risk_pct_contrib Stock Percent contribution to specific risk
9 total_risk_pct_contrib Stock Percent contribution to total risk

Factor-level

# Method Level Definition
1 factor_decomp_marginal Factor Marginal contribution to risk
2 factor_decomp_contrib Factor Contribution to risk
3 factor_decomp_pct_contrib Factor Percent contribution to risk

License

This project is licensed under the MIT License.