https://github.com/s1dewalker/alpha-beta-explorer

Analyzing market betas to assess asset sensitivity, systematic risk, and portfolio implications
https://github.com/s1dewalker/alpha-beta-explorer

alpha beta financial-markets financial-research portfolio-analysis pyhton rolling standard-deviation tableau tableau-report trends

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Analyzing market betas to assess asset sensitivity, systematic risk, and portfolio implications

• Host: GitHub
• URL: https://github.com/s1dewalker/alpha-beta-explorer
• Owner: s1dewalker
• Created: 2024-12-16T02:17:54.000Z (about 2 months ago)
• Default Branch: main
• Last Pushed: 2025-01-12T06:40:42.000Z (25 days ago)
• Last Synced: 2025-01-12T07:28:32.790Z (25 days ago)
• Topics: alpha, beta, financial-markets, financial-research, portfolio-analysis, pyhton, rolling, standard-deviation, tableau, tableau-report, trends
• Language: Jupyter Notebook
• Homepage:
• Size: 2.07 MB
• Stars: 0
• Watchers: 1
• Forks: 0
• Open Issues: 0
• 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/) | [email protected] | [Research Works](https://github.com/s1dewalker/Research-Works)