Portfolio Analytics & Exposure
Weights, drift, look-through, TWR vs MWR, risk, factors and attribution — with the conventions spelled out.
Why this theme exists
Deterministic analytics on a multi-account ETF household. Each task pins the convention (ddof, annualization, window definition, quantile interpolation, flow timing) so the only source of error is the agent, not the ambiguity of finance jargon.
Capability under test
Convention-exact quantitative work, multi-file joins (holdings, lots, transactions, constituents), performance measurement with cash flows, and econometric inference done correctly.
Design notes
Tolerances are tight (rel 1e-6) because everything is closed-form. Traps are chosen so that the 'textbook' shortcut is wrong (e.g. 365-day annualization, using pay-date instead of ex-date, ignoring fund-of-funds recursion). Each task includes a self-consistency check the agent can use to catch its own bugs; whether it does is itself informative.
Tier ladder
- Tier 11
- Tier 23
- Tier 32
- Tier 40
| Task | Tier | Phase | Reward | Gates | Budget | Status |
|---|---|---|---|---|---|---|
| Weights, drift and band breaches (absolute and 5/25 relative) pf-analyze-weights-drift Compute per-account and household market-value weights, drift versus IPS targets, and band breaches under both absolute and relative rules. | T1 easy | Analyze | partial | — | 15 min | ready |
| Look-through exposure, pairwise overlap and hidden concentration pf-analyze-lookthrough-overlap Compute look-through sector and region exposures, pairwise ETF overlap and hidden single-name concentration from constituent holdings files, including recursive fund-of-funds expansion. | T2 medium | Analyze | multi-metric | — | 30 min | ready |
| Risk report with exact conventions pf-analyze-risk-suite Produce a full risk report — vol, beta, downside deviation, drawdown geometry, historical and parametric VaR/CVaR, tracking error and information ratio — with exactly the conventions specified. | T2 medium | Analyze | multi-metric | — | 20 min | ready |
| Time-weighted vs money-weighted returns from a transaction log pf-analyze-twr-vs-mwr Compute time-weighted and money-weighted returns for each account and the household over multiple horizons from a transaction log with contributions, withdrawals, fees and dividends. | T2 medium | Analyze | multi-metric | — | 30 min | ready |
| Brinson–Fachler attribution with Cariño linking that reconciles exactly pf-analyze-brinson-attribution Monthly Brinson–Fachler attribution versus the policy benchmark with Cariño geometric linking over 12 months, reconciling exactly to the active return. | T3 hard | Analyze | multi-metric | — | 30 min | ready |
| Factor exposures with Newey–West inference and an implied-vs-direct reconciliation pf-analyze-factor-regression Regress ETF and household excess returns on FF5 + momentum with Newey–West standard errors, and reconcile weight-implied versus directly-estimated household exposures. | T3 hard | Analyze | multi-metric | — | 30 min | ready |