ChangelogAnalytics
Factor analysis now fits each holding on its own history
Aegis now fits each holding on its own trading history, so a holiday or one missing day no longer drops a name from the factor model. The headline names what drives the most risk, and it reads the same in the cockpit, Vega, the connector and the PDF.
What changed
- Each holding needs 240 of its own daily returns, nearly a full trading year
- On our 23-line London test book, factor coverage went from 2 holdings to all 23
- Volatility, VaR, CVaR and beta did not move on the five books we compared
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