18 Snapshot Charts + 12 Rolling Time Series + 12 Risk Premia Charts + Offline Report
Three covariance estimation methods and risk decomposition.
Empirical covariance converted to correlation (portfolio assets)
Factor model shrinkage-adjusted correlation
GARCH(1,1) forecasted correlation
22-day rolling annualized volatility (top 5 assets)
Marginal risk contribution per asset
Forward-looking (M1) and backward-looking (M2) implied returns comparison.
M1 vs M2 vs Hybrid vs Black-Litterman
Forward-looking market price of risk
Backward-looking linear-weighted risk premium
Factor model variance explained (regime indicator)
M1 vs M2 side-by-side
Cross-asset scatter of two approaches
Ranking bump chart across methods
PCA factor loadings and component-level premia.
Asset betas on principal components
Component-level implied risk premia
Portfolio weights, yield curve data, efficient frontier, and summary.
Client portfolio allocation (pie + bar)
EUR overnight and 10Y yield levels
Mean-variance with current portfolio
Key metrics overview
Full-history rolling calculations for all key metrics.
Forward-looking lambda across full history
Backward-looking lambda across full history
Factor model fit over time
Per-asset implied returns via M1
Per-asset implied returns via M2
R-squared-weighted blend over time
Total return index levels for all portfolio assets
Principal component return series
Full history rolling volatility per asset
10Y minus overnight spread over time
Regime classification from R-squared thresholds
Rolling analysis summary page
Rolling cross-sectional decomposition: Lambda M1/M2 sub-variables, factor premia, pricing errors, and contribution analysis.
ln((1+y_10Y)/(1+r_f)) -- numerator of Lambda M1
Two-panel: return_10Y (numerator) and lambda_m1 (after / beta_ref)
Raw 22-day rolling returns feeding Lambda M2
Linear-weighted vs simple mean convergence (comp1)
Dropdown: compare M1, M2, Hybrid for any asset
Mean and max |M1 - M2| across assets over time
Stacked area: w_M1 = R2, w_M2 = 1-R2
Cross-sectional OLS: pi[t,k] per factor over time
APT test: alpha should be ~0 with confidence band
How well factors price assets cross-sectionally
Top 5 mispriced portfolio assets over time
Stacked area: each factor's return contribution
Browse all 89 index time series and 20 FX pairs from the raw brisma_data.xlsx input.
Interactive charts with sidebar navigation, search, and multi-series overlay. Requires local HTTP server.
All time series as static SVG charts. Works offline from file://. Printable to PDF.
Additional research analyses in peer documentation directories.
Extended research analysis
Extended research analysis
Extended research analysis
Extended research analysis
Extended research analysis
Extended research analysis
Extended research analysis