Build Factor Exposure Tracker and Reports Top Performing Factors

[JadHay8]

• Build some sort of extension for the portfolio tracker that watches our factor exposure
• There could be some sort of newsletter or something like that sent out that shows end of the month top performing factors etc.

[rajpandya737]

From a general look at the codebase, we aren't calculating that many factors.

We have:

• beta (for single securities and portfolio)
• volatility (for the whole portfolio, not singular securities)

What we could use:

• Size: Exposure to small-cap vs large-cap stocks.
• Value: Preference for cheap vs expensive stocks.
• Momentum: Tendency to hold recent winners.
• Quality: Preference for financially strong companies.

We already have enough data to get FF 3 factors up and can get data from https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

I'll start by creating a FF 3 factor model with the above data and our market beta, then expand from there with what else might be needed.