Risk Simulation
iMethodology
Volatility — 30-day and 60-day realized volatility (annualized std dev of log returns) and average daily move per stock, from daily closing prices.
Macro Sensitivity — per-stock betas to macro factors (VIX, 10Y rates, oil, DXY, etc.) estimated via rolling regression on daily returns.
Factor Composition — portfolio exposure to biotech factor dimensions (Stage, TA, Modality) from company_factors, with z-score normalization from composite_scores.
Scenario Analysis — simulates portfolio P&L impact under user-defined macro shocks using the estimated betas.
All metrics are computed on the fly from the portfolio's current holdings. No pre-stored results.
Volatility — 30-day and 60-day realized volatility (annualized std dev of log returns) and average daily move per stock, from daily closing prices.
Macro Sensitivity — per-stock betas to macro factors (VIX, 10Y rates, oil, DXY, etc.) estimated via rolling regression on daily returns.
Factor Composition — portfolio exposure to biotech factor dimensions (Stage, TA, Modality) from company_factors, with z-score normalization from composite_scores.
Scenario Analysis — simulates portfolio P&L impact under user-defined macro shocks using the estimated betas.
All metrics are computed on the fly from the portfolio's current holdings. No pre-stored results.
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