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A risk evaluation program that follows BARRA's CNE6 and USE4 risk model to predict the risk and distribution of factors in a portfolio. Created by Rosemary He Sept. 2019, under Zhiqiang Zhang.

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CalBarraDividendYield.py

CalBarraDividendYield.py

 
 

CalBarraFactorVal.py

CalBarraFactorVal.py

 
 

CalBarraGrowth.py

CalBarraGrowth.py

 
 

CalBarraLiquidity.py

CalBarraLiquidity.py

 
 

CalBarraMomentum.py

CalBarraMomentum.py

 
 

CalBarraQuality.py

CalBarraQuality.py

 
 

CalBarraSentiment.py

CalBarraSentiment.py

 
 

CalBarraSize.py

CalBarraSize.py

 
 

CalBarraValue.py

CalBarraValue.py

 
 

CalBarraVolatility.py

CalBarraVolatility.py

 
 

Factor_exposure.py

Factor_exposure.py

 
 

Matrices.py

Matrices.py

 
 

Regression.py

Regression.py

 
 

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A risk evaluation program that follows BARRA's CNE6 and USE4 risk model to predict the risk and distribution of factors in a portfolio. Created by Rosemary He Sept. 2019, under Zhiqiang Zhang.

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  • Python 100.0%