• Realized Risk: max drawdown, VaR, CVaR, up/down captures, tracking error, rolling metrics, correlation matrix, vol contribution.
• Factor Exposure: traditional factors like quality/value/size, and custom themtic factor decomposition (via proxy construction & regression)
• Position Sizing: Volatility-based position sizing with forward-looking risk constraints. Can add whatever sizing methodology you wish (like risk parity).
Built using Cursor + Claude Sonnet (state of the art AI coding platform) to accelerate development—AI handled code scaffolding and test harnesses, I provided direction and owned the math and investment logic.
Targeted at small-to-mid-sized funds and PMs without internal quant teams. DM if you want to see it in action or walk through how it could integrate with your stack.
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