What is factor-based diversification?

It is a method of diversifying across underlying drivers of return—like value, momentum, or interest rates—rather than just asset classes, which this skill helps model.

Does it account for market crashes?

The skill includes concepts for correlation regimes, explaining how diversification can fail during crises when correlations between risky assets tend to converge toward 1.0.

Can it help find the lowest risk portfolio possible?

Yes, it provides formulas for the Global Minimum Variance Portfolio (GMVP), which minimizes volatility based on the covariance matrix regardless of expected returns.

How does this skill calculate portfolio risk?

It uses covariance matrices and weight vectors to calculate total portfolio variance, accounting for the pairwise correlations between all included assets.

Portfolio Diversification & Risk Analysis

Name: Portfolio Diversification & Risk Analysis
Author: JoelLewis

byJoelLewis

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데이터 과학 및 ML

Constructs and analyzes diversified investment portfolios using correlation matrices, efficient frontier modeling, and factor-based risk attribution.

This skill equips Claude with advanced quantitative finance capabilities to build and stress-test diversified portfolios. It moves beyond basic asset counting to provide mathematical frameworks for portfolio variance, risk contributions, and the efficient frontier. Users can leverage this skill to calculate the diversification ratio, identify minimum variance weights, and understand how asset correlations shift during market regimes. It is particularly useful for financial analysts and developers building wealth management tools that require rigorous risk-return optimization and factor-level diversification insights.

주요 기능

0118 GitHub stars

02Factor-based diversification to identify hidden systematic exposures

03Correlation regime and market stress-test modeling

04Risk contribution and marginal risk attribution (MRC) analysis

05Multi-asset portfolio variance and volatility calculations using matrix notation

06Efficient frontier derivation and minimum variance portfolio construction

사용 사례

01Analyzing whether a portfolio is truly diversified across risk factors or just asset names

02Optimizing asset weights to reach the efficient frontier for a target return level

03Calculating the diversification benefit and potential correlation breakdown during crises

What are Skills?·How to Install

Install with 🐟 Skill.Fish

npx skillfish add joellewis/finance_skills diversification

For use in Claude.ai and ChatGPT

Download Skill