Our Open-Source Multi-Factor Risk Model

Welcome to Weekly Roundup #12 at ForecastOS! We're glad to have you here, following our journey :)

Our New Risk Model

We're excited to open-source our multi-factor risk model class!

It supports custom factor covariances, asset-specific factor loadings, and asset-specific idiosyncratic risk.

Check out our off-the-shelf and custom risk model guides to learn more!

For those that dare: you can book a call with us to chat about it :)

Bug Squishing & Software Improvements

We squashed some bugs this week. They included:

  • A search-UI bug that only showed matching tags (instead of all tags) for matching records
  • A search-logic bug that prevented multiple search terms from correctly executing in certain situations

We also added functionality to improve our developer experience. This included:

  • Adding automated tests / tasks to check for internal broken links
  • Automating link updates for guides with stale links

Thinking Ahead

We've got big plans for Q1 2024!

We don't believe in spoilers (#nospoilies), but as a general teaser: wouldn't it be nice if someone built and offered (for free) a basic end-to-end institutional-grade quant investment strategy that could be easily customized, augmented, and implemented?

We also think that would be nice. Great, even...

Work: What's Coming Next

It's important to keep velocity high. We keep ourselves accountable by sharing what we hope to finish over the next week.

This week we will:

  • Build and release a piecewise linear trading cost model for InvestOS (ongoing)
  • Release new InvestOS functionality (ongoing)

Until next week!

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