v2023.6.0

Feature

• Relax pandas dependency constraint (1bae2fb)
• Support various types of numpy engine (05eb58c)

Documentation

• Update covariance page (6c10a7c)
• Update README (bcbea6e)
• Add statistical approach example doc (d8b2e44)
• Fix the missing import (37e1dc4)

v2023.5.1

Feature

• Add covariance shrinkage (fa59413)

Fix

• Insufficient returns in fitting rolling risk model (96ca77b)

v2023.5.0

Feature

• Add covariance estimator (4b5d5d4)
• Allow passing dict of covariances in accuracy functions (3f2452d)

Documentation

• Remove unused imports in example notebook (d415101)
• Update example notebook (cd71b0f)
• Correct typo (e711966)
• Update notebook (f9a72a9)
• Update README and notebook example (cc53ae3)
• Update crypto statistical risk model notebook (c66f934)

v2023.4.0

Feature

• Add API to download crypto sample data (6041ada)
• Support writing and reading from directory (2553366)
• Allow setting validity in fitting and transforming rolling risk model (32a1f6a)
• Support asymptotic principal components (APCA) (7169189)

Fix

• Align parameter n_components type in apca with scikit-learn (3394dbf)

Documentation

• Update example notebook (b102c02)
• Add apca section (7f41707)
• Change the weights to market cap sqrt (20574e4)

v2023.3.0

Feature

• Support WLS in PCA statistical risk model (71fc3e2)

v2023.2.0

Documentation

• Correct example configuration (00e136d)

v2023.1.0

Feature

• Introduce cov half life (92d96dc)
• Add cov halflife into the accuracy functions (cd20be4)
• Support exponential weighted factor covariance (ffac512)
• Support exponential weighted least square (db4ae53)

Fix

• Ewm in cov (f34ddbf)

Documentation

• Fix example config (149a660)
• Fix grammar (cb4a456)

v2023.0.0

Feature

• Add value at risk accuracy (7034a8e)

Fix

• Another bug created from the previous bugfix (d48381a)
• Bug in verifying ndarry existence (f42bd2d)
• Typo in parameter (f5c5dab)
• Correct the forecast return computation (6603ce0)

Documentation

• Add rolling risk model description (e20bb28)
• Update README (a8fd716)
• Correct typo (d15e684)
• Update bias and VaR documentation page (e9c7542)
• Add bias and var placeholder pages (55d79b4)
• Correct factor risk model title (239c41f)
• Add factor risk model doc (b35ca51)
• Add risk model descrption (40af5a6)
• Update README (5877781)
• Correct caller name (62c7df9)

v2022.1.0

Feature

• Add equal weight portfolio pipeline (a2a7db6)
• Add bias statistics (efe3f46)
• Add standardized returns in bias check (128c3f2)
• Get covariance and correlation from risk model (02b606d)
• Support transforming rolling factor risk model (77810b0)
• Support exporting rolling factor risk model (5da7006)
• Support factor risk model transformer (e26b61c)
• Support factor risk model transformer (770ba6a)
• Add factor covariance attribute in risk model (0b15a40)
• Add WLS regressors (2b8d60b)
• Change risk model input format to indexed on date / time rather than instruments (267d9a4)
• Add parameter to show progress in rolling PCA (35fc9e3)
• Add statistical risk model Rolling PCA (603344c)
• Add the first statistical model PCA (4da36f7)

Fix

• Incorrect mapping of factor exposures (4bc0028)

Documentation

• Add accuracy example configuration (f8b104a)
• Correct typo (46d3202)
• Update PCA documentation (9523197)