added style attribution

fof/style.py

+import pandas as pd
+from .utility import RISK_STYLES, INDUSTRY_STYLES
+
+
+def single_style(portfolio, risk_exposure, risk_returns, specific_returns):
+    risk_combined = pd.merge(portfolio[["security_code", "weight"]], risk_exposure, on=["security_code"])
+    risk_combined[RISK_STYLES + INDUSTRY_STYLES] \
+        = (risk_combined[RISK_STYLES + INDUSTRY_STYLES].values.T * risk_combined["weight"].values).T
+    portfolio_risk_style_exposure = risk_combined[RISK_STYLES].sum()
+
+    portfolio_exposure = risk_combined[RISK_STYLES + INDUSTRY_STYLES].sum()
+    risk_attributed_rtn = risk_returns[RISK_STYLES + INDUSTRY_STYLES] * portfolio_exposure
+    risk_combined = pd.merge(risk_combined, specific_returns[["security_code", "spret"]], on=["security_code"])
+    spec_attributed_rtn = risk_combined["weight"] @ risk_combined["spret"] / 100.0
+    risk_attributed_rtn["SPECIFIC"] = spec_attributed_rtn
+    attributed_rtn = risk_attributed_rtn.copy()
+
+    return portfolio_risk_style_exposure, attributed_rtn

fof/utility.py

@@ -247,7 +247,7 @@ def fd_skdetail(security_ids, trade_dt):
     p_id_strs = _security_ids(security_ids)
 
     query = f"""
-    SELECT SECODE as pid, SKCODE as security_code, SKNAME, HOLDMKTCAP, HOLDAMT FROM TQ_FD_SKDETAIL
+    SELECT SECODE as pid, SKCODE as security_code, SKNAME, HOLDMKTCAP, HOLDAMT, NAVRTO FROM TQ_FD_SKDETAIL
     WHERE
         ENDDATE = '{trade_dt}' AND
         ISVALID = 1 AND