Sensitivity to common return patterns
factor_exposureHow one portfolio's daily moves line up with four common patterns (the market, small versus large companies, value versus growth, momentum): each sensitivity, whether it is distinguishable from zero, and how much of the movement the four explain together. Use it for 'what style am I really exposed to?'; for how many independent bets there are, portfolio_structure. Holdings as weights or amounts; base sets the currency the returns are measured in (default USD). A sensitivity that cannot be told from zero is reported as such, not as a number to act on.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| base | No | Currency every figure is expressed in (USD, EUR, GBP, CAD…). Default USD. | |
| holdings | Yes | What is held: {ticker: weight or amount}. Weights need not sum to one; amounts in the base currency are also accepted (then the crises are shown in money). 1 to 100 holdings. Tickers as the exchange lists them (VOO, VWCE.DE, XAW.TO; 'CASH.USD' for cash). |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| data | No | Where the prices came from and what was missing or repaired. | |
| betas | No | Sensitivity per factor: mkt_rf (market), smb (small minus big), hml (value minus growth), mom (momentum). | |
| model | No | Factor model used. | |
| years | No | Years of history used. | |
| _fence | Yes | What these figures are and are not: descriptive, no forecast, no advice. Repeat its sense when presenting the result. | |
| t_stats | No | t-statistic per factor; below about 2 in size, not distinguishable from zero. | |
| poor_fit | No | True when the factors explain little. | |
| frequency | No | Data frequency. | |
| r_squared | No | Share of the daily movement the factors explain, 0 to 1. | |
| fit_caveat | No | Why the fit is poor, when it is. | |
| alpha_annual | No | Return not explained by the factors, per year (estimated, not a skill measure). |