Concept · From stocks to portfolios (aggregation)
Holdings look-through
Rolling individual holdings up to portfolio-level factor exposure by weight — the bridge from stock risk to portfolio risk.
In depth
Rolling individual holdings up to portfolio-level factor exposure by weight. The bridge from single-stock decomposition to portfolio risk.
Formula
β_p,k = Σ_i w_i · β_i,k
Compute it with the API
POST /api/batch/analyze
# pip install riskmodels-py
client.batch_analyze(["NVDA","MSFT","AAPL"])In the methodology
Putting it together: the replication equation →Referenced by (1)
- The Persistence of Stock-Selection Residuals
A point-in-time, holdings-based decomposition of mutual fund performance — the stock-selection residual persists out of sample; style timing and sector timing, measured the same way, do not.