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:

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!

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