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Quantitative Portfolio Lab

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Fama–French 3-Factor · Portfolio personality
Reliability
82/ 100
Worth referencing
The Unicorn Hunter유니콘 사냥꾼

You chase a rare creature of legend — unsure it even exists, you leap fearlessly toward the newest, most enchanting thing in the world.

Key metrics
Annualized
Volatility
16.26%
How much price swings in a year
Sharpe
0.68
Return per unit of risk
Expected μ
+14.67%
Past avg. annual return
Diversification
16.96%
Risk cut by diversifying
Suggested rebalance
Current → HRP · Vol −0.34%p
HRP
AAPL
-7pp
MSFT
+2pp
SPY
-3pp
TLT
+8pp
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Models

Four analyses, made simple

Apply portfolio theories built on different assumptions — the simple way.

01CORE
Markowitz
Mean–Variance Optimization · 1952

Find out how efficiently your portfolio earns returns relative to the risk it carries.

σ · μ · Sharpe
02CORE
Fama–French 3F
Three-Factor Model · 1993

Decompose your return into three factors to see which one is the main driver.

α · β_M · β_S · β_H · R²
03PRO
Hierarchical Risk Parity
HRP · Machine Learning · 2016

Group holdings that move alike to find a weight mix where risk does not pile up on one side.

Cluster · σ · Sharpe · Diversification
04PRO
Fama–French 5F
Five-Factor Model · 2015

Add profitability and conservative investment on top of the 3 factors to dig deeper into what drives your return.

α · β_M · β_S · β_H · β_R · β_C
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