https://github.com/s1dewalker/alpha-beta-explorer
Analyzing market betas to assess asset sensitivity, systematic risk, and fcator analysis.
https://github.com/s1dewalker/alpha-beta-explorer
alpha beta financial-markets financial-research portfolio-analysis pyhton rolling standard-deviation tableau tableau-report trends
Last synced: 7 months ago
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Analyzing market betas to assess asset sensitivity, systematic risk, and fcator analysis.
- Host: GitHub
- URL: https://github.com/s1dewalker/alpha-beta-explorer
- Owner: s1dewalker
- Created: 2024-12-16T02:17:54.000Z (10 months ago)
- Default Branch: main
- Last Pushed: 2025-01-19T05:49:44.000Z (9 months ago)
- Last Synced: 2025-02-06T04:46:27.322Z (8 months ago)
- Topics: alpha, beta, financial-markets, financial-research, portfolio-analysis, pyhton, rolling, standard-deviation, tableau, tableau-report, trends
- Language: Jupyter Notebook
- Homepage:
- Size: 2.54 MB
- Stars: 0
- Watchers: 1
- Forks: 0
- Open Issues: 0
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Metadata Files:
- Readme: README.md
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README
# Portfolio Risk Metrics Explorer
###### Analyzing market factors and metrics to assess asset sensitivity, systematic risk, and portfolio implications
## [Factor Analysis with Model validation: Fama French 3-Factor](https://github.com/s1dewalker/Alpha-Beta-Explorer/blob/main/py_files/Multi_Factor_Analysis3.ipynb)
##### In this we find the factors driving the portfolio with ols regression, check mdoel performance with R square values, and validate model assumptions.
## [Treasury Beta](https://github.com/s1dewalker/Alpha-Beta-Explorer/blob/main/py_files/Betas.ipynb)
##### In this we calculate Treasury Beta using multiple linear regression with 7-10 year treasury ETF and equity benchmark return
## [The Rolling Sigmas (and Betas)](https://public.tableau.com/app/profile/sujay.bahumik/viz/TheRollingSigmasandBetas/Dashboard1#2)
##### In this we calculate the 1-year rolling beta w/ S&P500 as benchmark and 1-year rolling standard deviation for 10 major sectors of NYSE stocks
#### [Tableau](https://public.tableau.com/app/profile/sujay.bahumik/viz/TheRollingSigmasandBetas/Dashboard1#2)
#### [Python](https://github.com/s1dewalker/Alpha-Beta-Explorer/blob/main/py_files/The_Rolling_Sigmas.ipynb)
*hope you find it helpful, and encourage you to forward any suggestions for improvements*
##### [LinkedIn](https://www.linkedin.com/in/sujay-bhaumik-d12/) | s1dewalker23@gmail.com | [Research Works](https://github.com/s1dewalker/Research-Works)