compute_factor_exposure
Decompose a symbol's returns into Fama-French 5-factor and momentum exposures using daily data. Identifies alpha-generating versus factor-driven regimes.
Instructions
Decompose a symbol's returns into Fama-French 5-factor + momentum exposures using real Polygon daily data. Returns alpha, market beta, SMB/HML/momentum betas, R-squared, information ratio, tracking error. Identifies alpha-generating vs factor-exposed regimes.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| period | No | 1y | |
| symbol | Yes | ||
| benchmark | No | SPY |