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Quantopian Lecture Series: Risk Factor Exposure

Factor models are used in risk management to explain how much of your returns are dependent on specific factors. This notebook will demonstrate the process of determining exposure.

The lecture will be presented at this meetup. We will be releasing a video lecture as well, watch this thread for a link. Find all of our lectures hosted permanently with videos at

Credit for the notebook goes to Evgenia 'Jenny' Nitishinskaya.

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5 responses

Hi - are you planning on posting video for lecture 12?

Appreciate the lectures/videos posted so far.

Definitely, the videos come from the webinars. The webinar for this lecture happened at noon today, so the videos should be processed and posted by early next week.

Thanks for your feedback!

Hi Delaney,

One question about the code because I ran into similar issues: I see you query the fundamentals database for one specific date and then use the result to fetch prices over a 1 year time horizon. Doesn't that distort the results for the risk factor exposure by introducing look-ahead bias and/or stale information?

Alex, that's a good point. I've added it to my queue to look into this and figure out if there's a better way to do it. I'll post back here with updates.

Hey Alex,

I finally got around to posting an updated version of the notebook that should solve the look-ahead issue.