Release Risk analysis · quantopian/pyfolio

This is a major release from 0.7.0, and all users are recommended to upgrade.

New features

Adds a new risk tear sheet that analyzes the risk exposures of the portfolio. Generates analysis showing the portfolio's exposures to common factors such as momentum and mean reversion, the portfolio's gross and net exposure to each sector, the gross and net exposure to each market cap bucket, and the overall exposure to illiquid stocks.
Adds a new performance attribution tear sheet that analyzes how much of the portfolio's returns is attributable to common factors (e.g. sector or style factors). Generates analysis showing the exposure to, and PnL generated by, common factors.
Adds a new simple tear sheet to provide a quick summary analysis using the most important plots in the full tear sheet.
Adds a rolling annual volatility plot to the returns tear sheet.
Adds new features to performance statistics summary table.

Bug fix with Yahoo and pandas data reader.
Rolling Fama-French exposures now performs a multivariate regression instead of multiple linear regressions.
Removed information_ratio to remain compatible with empyrical.

Migrated Fama-French data loaders from pyfolio to empyrical. utils.load_portfolio_risk_factors is now deprecated in pyfolio, please use the same function in empyrical.
Minor decorative changes to plots, particularly the holdings plots.