Data Loading & Preprocessing
Load data from brisma_data.xlsx, convert to base currency, and calculate excess returns.
Data Loading and Preprocessing
The BRISMA pipeline begins with loading data from four Excel sheets: client portfolio, risk model factors, index time series, and FX rates. Data is filtered to working days (Monday-Friday) and converted to a common base currency (EUR) using spot FX rates.
Key Steps:- Load portfolio holdings (31 assets with weights)
- Load risk model factors (73 factors)
- Filter time series to working days only
- Convert all indices to base currency using FX rates
- Calculate excess returns relative to cash index
Currency Conversion:
$$
P_{\text{base},t} = P_{\text{local},t} \cdot S_t
$$
Excess Return:
$$
P_{\text{excess},t} = \frac{P_{\text{base},t}}{P_{\text{cash},t}}
$$