Portfolio Macro Scenario

portfolio-macro-scenario

risk-report and portfolio-review tell you what the book's risk has BEEN: its realized vol, beta, VaR, drawdown. portfolio-macro-scenario tells you what happens NEXT under a macro scenario the operator names. You hand it a book and a scenario ("+50bp rates, +2% dollar"), and it returns the expected P&L on each position and on the book as a whole, with a rough confidence band and a ranked list of which positions and which factors are doing the damage (or the lifting).

It is not a forecast of the scenario. It is a conditional read: IF these factor moves happen, here is what your book does, grounded in each name's historical sensitivity to real macro ETF prices, so an LLM does not have to guess how any individual position responds to rates or the dollar.

When to invoke

• The question is forward-looking and conditional: "what happens to my book if rates keep rising", "if the dollar keeps rallying", "if oil spikes to $100", "if gold sells off 5%"
• Stress-testing a book against a macro view before putting on or lifting a hedge
• The user says "scenario", "what if", "shock my book", "rate sensitivity of my portfolio", "dollar exposure of my book", "macro stress test"

For the descriptive, past-looking risk picture (realized vol, beta, VaR, drawdown, concentration) use risk-report. For what the cross-asset tape is pricing right now (is the dollar strong, is credit widening) use macro-basket. This skill is the bridge: it takes the macro variables those skills describe and pushes them through your specific book.

What you need

• --book: a CSV of positions with columns ticker,shares (optional cost_basis,as_of_date), matching examples/sample-book.csv. Position value is shares * latest close.
• MASSIVE_API_KEY exported in the environment.
• Any stocks tier. On Free Basic pass --sleep 13 so a larger book stays under the 5-calls/min cap.

The scenario flags (all default 0, so a flat scenario returns zero P&L):

• --rates-bp: parallel rate shock in basis points (+50 = rates up 50bp)
• --dxy-pct: dollar (DXY) shock in percent, applied as the UUP return
• --oil-pct: oil shock in percent, applied as the USO return
• --gld-pct: gold shock in percent, applied as the GLD return
• --lookback (default 252): trading days of returns for the regression

What you get back

Two output layers from one run.

Layer 1: canonical JSON matching output-schema.json. Per-position betas (one per factor), r_squared, residual_std, expected_return, pnl_usd, and per-factor P&L contributions; a book_pnl block with the expected P&L, the expected return, and the ~90% CI band; dominant_positions and dominant_factors ranked by contribution; the composed take.

Layer 2: rendered table (output mode table): a sensitivity table (position x factor beta with R^2 and per-position P&L), the book P&L with the CI band, the dominant-contributor lists, and the take. See references/rendering.md.

How it works

1. Pull daily aggregates for every position ticker plus the four macro factor ETFs (TLT, UUP, USO, GLD) over max(lookback, 252) * 1.6 calendar days, via /v2/aggs/ticker/{T}/range/1/day/{from}/{to}.
2. Align daily returns by date, per position against the four factors.
3. Regress each position's returns on the four factor returns with an intercept (numpy lstsq), producing four betas, a residual std, and an R^2.
4. Shock the factors: convert the scenario flags into factor ETF returns (the rate shock goes through an assumed TLT effective duration of ~17 years). The full conversion and its assumptions live in references/methodology.md.
5. Push through the betas: expected position return is the sum of beta_factor * factor_shock; position P&L is position_value * expected_return; aggregate to the book with a ~90% band.
6. Rank contributors and compose the take.

Foundations used

• massive-api-patterns for REST auth, rate-limit handling, and the /v2/aggs daily endpoint conventions.

Output mode: table

The core deliverable is a sensitivity grid (position x factor beta) plus per-position and book P&L. A table carries that comparison cleanly; the book P&L line, dominant-contributor lists, and take sit above and below it.

Chains with

• risk-report: the descriptive counterpart. Run risk-report for the realized risk picture, then this skill to stress the same book against a named macro move. risk-report is the declared fallback when a scenario cannot be run.
• macro-basket: reads what the cross-asset tape is pricing now (rates, dollar, credit, gold, commodities). Use it to pick a realistic scenario, then feed the numbers here.
• hedge-suggester: once this skill surfaces the book's dominant factor exposure, hedge-suggester proposes what to put on against it.

Doesn't handle (yet)

• Non-linear moves. Shocks are applied linearly through the betas; a large move has convexity this does not capture. Queued.
• Factor collinearity. The four factors co-move, so individual betas can be noisy even when the aggregate fit is good. A ridge or orthogonal factor set would firm them up. Queued.
• Residual correlation. The CI band assumes independent residuals across names, so the true band is wider. Queued.
• Custom factors. The factor set is fixed at rates/dollar/oil/gold. A configurable factor list (credit, real yields, a sector ETF) is a clean extension. Queued.

These are clean PR extensions. The output schema is forward-compatible.