Recently read Principal Components as a Measure of Systemic Risk. Decided to replicate and update in

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Recently read Principal Components as a Measure of Systemic Risk. Decided to replicate and update in Python. I used current S&P 100 constituents with 20 eigenvectors, using daily data from 01/01/06 - 07/30/21. Paper uses 51 industries and 10 eigenvectors.
h/t J. Brett Freeze, CFA

Recently read Principal Components as a Measure of Systemic Risk. Decided to replicate and update in

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