Dataroom

The Unravel data room: per-factor PDF factsheets, the underlying raw factor data and portfolio returns as CSVs, and transparent, runnable notebooks for per-factor AlphaLens analysis, multi-factor portfolio construction, backtesting, and live weights.

Factor Analysis Notebooks

AlphaLens factor analysis for every Unravel cross-sectional factor.

GitHub renders every notebook in your browser — just click a Notebook link below. To run or modify one yourself, complete Setup then open it in Jupyter, e.g. jupyter notebook notebooks/factoranalysisaltair.ipynb.

Start here — cross-factor returns correlation: a correlation heatmap across every portfolio returns. These were created from the raw factor data and show how you can construct a cross-sectional portfolio out of them. The factors are meant to be combined into multi-factor portfolios, see how you can do that here: Multi-Factor Portfolio Construction

Each factor links to its detail page on our site, a PDF factsheet, the AlphaLens notebook, and the underlying data (returns and raw factor data):

| Factor | Factsheet | Notebook | Raw factor data | Portfolio returns | | --- | --- | --- | --- | --- | | Altair | PDF | notebook | CSV | CSV | | Margin Risk | PDF | notebook | CSV | CSV | | Retail Flow | PDF | notebook | CSV | CSV | | Enhanced Mean Reversion | PDF | notebook | CSV | CSV | | Instantaneous Momentum | PDF | notebook | CSV | CSV | | Polaris | PDF | notebook | CSV | CSV | | Relative Illiquidity | PDF | notebook | CSV | CSV | | Supply Velocity | PDF | notebook | CSV | CSV | | Enhanced Momentum | PDF | notebook | CSV | CSV | | Mean Reversion | PDF | notebook | CSV | CSV | | Enhanced Carry | PDF | notebook | CSV | CSV | | Instantaneous Volatility | PDF | notebook | CSV | CSV | | Open Interest Divergence | PDF | notebook | CSV | CSV | | Momentum | PDF | notebook | CSV | CSV |

Multi-Factor Portfolio Factsheets

PDF factsheets and daily-returns CSVs for the live multi-factor portfolios in the Unravel catalog. Page 1 mirrors the single-factor factsheet (narrative, performance and risk tables, cumulative chart); page 2 is portfolio-specific (drawdown, monthly returns heatmap, rolling Sharpe, rolling gross exposure). Generated by scripts/generateportfoliofactsheets.py and scripts/exportportfolioreturns.py.

| Portfolio | Factsheet | Notebook | Portfolio returns | | --- | --- | --- | --- | | Spectra | PDF | notebook | CSV | | Spectra Adaptive | PDF | notebook | CSV | | Spectra High-Turnover | PDF | notebook | CSV | | Foundational Factors | PDF | notebook | CSV | | Foundational Adaptive | PDF | notebook | CSV |

Portfolio Notebooks

End-to-end portfolio examples. Each notebook is committed pre-rendered, so GitHub displays it in your browser — just click a Notebook link. To run or modify one, complete Setup then open it in Jupyter, e.g. jupyter notebook notebooks/00replicateportfolio_backtest.ipynb.

| Notebook | Source | Description | | --- | --- | --- | | Adaptive Portfolios | — | Replicate Unravel's risk-targeted Adaptive portfolios through the Unravel API | | Multi-Factor Portfolio Construction | — | Combine several single-factor portfolios into one diversified multi-factor allocation | | Replicate Portfolio Backtest | .py | Transparent backtest with transaction costs against a portfolio's historical weights | | Get Live Weights | .py | Fetch a portfolio's current live allocations from the Unravel API |

Catalog

For the full list of cross-sectional factors you can find our catalog: Unravel factor catalog. For the full list of portfolios and parameters, see the Unravel portfolio catalog.

Run the notebooks (setup)

pip install -r requirements.txt
export UNRAVELAPIKEY="yourapikey_here"   # or put it in a .env file

Get an API key by signing up at unravel.finance and generating one in your API settings.