phanijapps/yf-risk

YF Risk

Overview

Build portfolio analytics from direct yfinance return streams and produce risk-aware allocation outputs with transparent assumptions.

Workflow

1. Pull aligned adjusted-close data for portfolio symbols with yf.download.
2. Convert to daily returns and handle missing dates with documented rules.
3. Compute baseline risk set:
   • annualized return and volatility
   • Sharpe ratio
   • max drawdown and drawdown duration
   • rolling correlation matrix
   • historical VaR/CVaR
4. Run scenario checks (market shock, volatility spike, concentration stress).
5. Optionally optimize weights (max Sharpe or min volatility) with explicit constraints.

Expected Deliverables

• Aligned return matrix.
• Risk metrics table and assumptions.
• Stress-test summary.
• Optional visualizations (correlation, drawdown, frontier).

Collaboration Contract

• Coordination role: provide objective, constraints, and rebalance cadence.
• Quant role: return reproducible metrics and scenario assumptions.
• Research role: identify macro risks that may break historical relationships.
• Reporting role: present baseline, stress case, and trade-offs clearly.

Guardrails

• Do not optimize without explicit constraints.
• Separate in-sample analytics from forward assumptions.
• Report data start/end dates and missing-symbol handling.

References

Read references/risk-formulas.md for metric formulas and optimization defaults.