Thinking About Risk Models
Welcome to Weekly Roundup #8 at ForecastOS! We're glad to have you here, following our journey :)
Thoughts, Musings, and Updates
Thinking About Risk Models
This week, as planned, we released our first risk model!
It's a relatively simple PCA-based risk model for calculating latent risk factors in historical returns. It will serve basic portfolio optimization use cases with less than ~500 investable assets well.
For more sophisticated investors, we're working on our first off-the-shelf structural risk model. Stay tuned!
Chasing 100 GitHub Stars
At time of writing, our open-source portfolio engineering and backtesting framework InvestOS had 94 stars. GitHub stars are often used as a proxy for reliability, maturity, and interest; we'd love to reach 100 soon!
If you're interested in what we're up to, please star InvestOS on GitHub :)
Writing Our Open-Source Call to Arms
We've started putting pen to paper on our raison d'être for InvestOS.
Our working title is: Your Portfolio Management Software Isn't IP
It will be released on the InvestOS blog shortly. If interested, you can subscribe here!
Work: What Got Done
ForecastOS is a new startup. As such, we try to spend 100% of our time either building or selling. We log that effort here.
This past week, as it pertains to selling, we:
- Continued the outreach process for our unified AI management (AIM) and backtesting platform; if you know anyone we should talk to, please let us know! We have capacity to onboard 1 additional client in Q1 2024
This past week, as it pertains to building, we:
- Built and released a PCA-based risk model for convex portfolio optimization
- Updated our test suite for mandatory two-factor authentication
Other notable activities from this past week:
- Set up our equity management platform and issued our first stock option awards
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 structural risk model for InvestOS
- Build and release a piecewise linear trading cost model for InvestOS
- Help InvestOS open-source users build and backtest quant portfolios
- Improve our ReadTheDocs documentation and InvestOS guides
- Improve the ForecastOS landing page
Until next week!