Roadmap¶
This file is the long-range view for the repository. The canonical docs hub is docs/README.md.
Phase 0 — Repository foundation¶
- repo conventions
- resource curation
- notebook pattern
- reference-page pattern
- agent operating rules
- test strategy
Phase 1 — Portfolio foundations¶
- returns and compounding
- volatility
- covariance/correlation
- diversification
- risk contribution
- Sharpe ratio
- drawdown
- benchmark basics
Phase 2 — Portfolio theory and optimization¶
- opportunity set
- efficient frontier
- global minimum variance
- tangency portfolio
- risk aversion
- mean–variance optimization
- constraints
- transaction costs
- estimation error
- covariance shrinkage
- robust optimization
- Black–Litterman
Phase 3 — Active portfolio management¶
- benchmark-relative return/risk
- active weights
- tracking error
- information ratio
- IC
- breadth
- transfer coefficient
- Fundamental Law
- risk budgeting
- active constraints
Phase 4 — Risk models¶
- factor models
- systematic vs specific risk
- factor covariance
- factor contribution
- marginal/component risk
- VaR / ES
- stress testing
- scenario design
- backtesting biases: look-ahead, survivorship, stale data, point-in-time vintage
Phase 5 — Fixed-income foundations¶
- bond cash flows
- clean/dirty price
- accrued interest
- yield measures
- duration
- DV01
- convexity
- key-rate duration
- carry and roll
- accrued interest, clean vs dirty price, day-count conventions, settlement
Phase 6 — Rates portfolio management¶
- curve construction
- forwards
- curve trades
- steepeners/flatteners
- butterflies
- Treasury futures
- swaps
- swap DV01
- hedging
- swap spreads
- basis
- scenario analysis
Phase 7 — Credit portfolio management¶
- spread measures
- Z-spread
- OAS
- spread duration
- default/recovery
- credit curves
- IG/HY
- CDS
- basis
- migration/default risk
- portfolio credit scenarios
Phase 8 — Securitized / mortgages¶
- agency MBS
- pass-throughs
- prepayment
- extension/contraction
- negative convexity
- effective duration
- OAS
- non-agency / ABS / CMBS overview
Phase 9 — FX and commodities¶
- spot/forward
- covered interest parity
- FX carry
- hedging
- cross-currency basis
- commodity futures curves
- contango/backwardation
- roll yield
Phase 10 — Attribution and implementation¶
- performance measurement
- Brinson intuition
- fixed-income attribution
- carry/curve/spread decomposition
- transaction costs
- liquidity
- rebalancing
Phase 11 — Advanced portfolio construction¶
- robust covariance
- Bayesian views
- Black–Litterman
- risk parity
- hierarchical methods
- regime-aware allocation
- scenario optimization
- multi-period optimization
Phase 12 — Agentic PM analytics¶
- deterministic analytics tools
- natural-language query layer
- tool schemas
- grounding
- guardrails
- evals
- explainability
- observability
- tutor agents
In this repo, Phase 12 is scoped to what serves the curriculum: /pm-query,
/tutor, and /pmexpert. The full version of this phase — governed multi-agent
workflows, Cedar authorization, evaluation suites, OpenTelemetry, MCP, and an
AWS Bedrock AgentCore deployment path — is built out as a separate repository,
agentic-pm-lab. It is kept
separate deliberately: the agent stack carries a much heavier dependency set
than this repo's numpy/scipy/cvxpy core, and the two have different audiences.
Phase 13 — Equity portfolio management¶
- dividend discount model (Gordon growth, two-stage)
- relative valuation multiples (justified P/E, PEG)
- CAPM, beta, equity risk premium, Jensen's alpha
- equity factor investing (value/size/momentum/quality/low-vol tilts)
- active share
- shareholder yield, buybacks, total shareholder return
Phase 14 — Derivatives and options¶
- Black-Scholes pricing (call, put)
- the Greeks (delta, gamma, vega, theta, rho)
- put-call parity
- implied volatility
- Black-76 (options on forwards/futures)
- swaptions, caps, floors (conceptual)
- option strategies: covered call, protective put, collar (conceptual)
Phase 15 — Asset allocation and performance measurement¶
- time-weighted return (TWR)
- money-weighted return (MWR / IRR)
- GIPS and composite construction (conceptual)
- liability-driven investing: funded ratio, surplus
- duration/PV01 matching for liabilities (reuses existing duration tools)
- strategic vs. tactical asset allocation (conceptual - reuses existing optimization tools)
Phase 16 — Wider investable universe¶
- municipal bonds: tax-equivalent yield
- convertible bonds: conversion value, conversion premium
- preferred securities: perpetuity valuation (reuses gordon_growth_value)
- sovereign and EM debt: hard vs. local currency (conceptual)
- alternative investments overview: private equity, hedge funds, real assets, private debt (conceptual)
- ESG and sustainable investing: screening, integration, engagement, impact investing (conceptual)
Definition of done¶
This repository is never permanently done. Each real PM question should become one of: - a new reference page, - a new lab, - a new test, - a new use case, - a new curated resource, - or an extension of the analytics library.