Cross-asset market-risk decomposition with RobustPCA
====================================================
observations: 650
assets: 12
retained factors: 4
robust explained variance: 0.898
robust subspace error: 0.078
empirical subspace error: 0.405
median score distance, ordinary days: 2.224
median score distance, systemic shocks: 9.606
median orthogonal distance, ordinary days: 0.546
median orthogonal distance, idiosyncratic dislocations: 6.247
median score/orthogonal distance, mixed shocks: 11.898 / 4.452
