Historical data used in factor risk model, as at April 2026 — select factors to display (Ctrl/Cmd-click to multi-select).
Historical data used in factor risk model, as at April 2026 — select tickers to display (Ctrl/Cmd-click to multi-select).
About this model: a standard full-period covariance matrix fit
on 10 years of monthly data, equal-weighted across the window.
With a richer dataset, I would develop:
1. A rolling EWMA estimator with a decay half-life tuned to the
rebalance horizon, for more forward-looking risk assumptions.
2. A library of pre-calibrated stress regimes (COVID crash,
'08 GFC, rate-shock episodes, etc.) users could select from to
understand the relationships in those environments.
How to use: select the factors and tickers you want to compare, then press Plot.
Example details below, or enter your own. Start typing a ticker to filter the dropdown. To add restrictions on assets not held, just leave the quantity, cost and date blank, and tick yes for the restriction needed.
| Ticker | Price | Quantity | Cost_per_share | Embedded Gain | Cost_date | Unrestricted | Do Not Trade | Do Not Buy | Do Not Sell | Exclude / Force Sell |
|---|
No results yet — go to the Inputs tab and press Analyze Initial Holdings or Create Portfolio.
| Constraint | Status | Detail |
|---|
Chart shows the tickers with the highest combined magnitude across the selected fields.