Module analytics 

Portfolio analytics: attribution, correlation, diversification, tail risk.

Higher-level portfolio analysis functions that operate on return series and produce attribution, correlation, and risk metrics. Pure math, no I/O.

Structs

DiversificationMetrics

Diversification metrics for a portfolio.

PortfolioAnalytics

Full portfolio analytics result.

TailRiskMetrics

Tail risk metrics for a portfolio.

Functions

attribution

Per-leg P&L attribution.

correlation_matrix

Pairwise Pearson correlation matrix on return series.

diversification_metrics

Compute diversification metrics: MaxDD reduction compared to average leg MaxDD.

drawdown_overlap_count

Count periods where 2+ legs are simultaneously in drawdown.

portfolio_analytics

Compute all portfolio analytics in one call.