Changelog

All notable changes to this project will be documented in this file.

The format is based on Keep a Changelog, and this project adheres to Semantic Versioning.

[Unreleased]

Added

• Factor analysis module with Fama-French models
• FactorDataLoader for fetching factor data from Kenneth French Data Library
• FactorRegression for CAPM, FF3, FF5, and Carhart regressions
• FactorAttribution for return and risk decomposition
• FactorExposures for characteristic-based factor tilts
• FactorOptimizer for factor-aware portfolio optimization
• FactorVisualization for factor analysis plots
• Factor Analysis Demo notebook
• MkDocs documentation site
• GitHub Actions CI/CD pipeline

[0.1.0] - 2024-01-01

Added

• Initial release
• DataLoader for fetching data from Yahoo Finance
• PortfolioAnalysis for portfolio metrics
• PerformanceMetrics for individual asset metrics
• BenchmarkComparison for alpha, beta, and capture ratios
• MonteCarloSimulation for portfolio projections
• PortfolioOptimizer for mean-variance optimization
• PortfolioVisualization for plotting
• ReportBuilder for HTML tear sheets
• Streamlit web application
• Jupyter notebook tutorials