Factor Investement¶
[12]:
# If you would like to refresh your data, please execute the bellow codes.
import pandas as pd
import numpy as np
from datetime import datetime
from tqdm import tqdm
import matplotlib.pyplot as plt
from mypo import split_k_folds, select_by_regression
from mypo.optimizer import RiskParityOptimizer
from mypo.rebalancer import MonthlyRebalancer
from mypo.evacuator import FixedEvacuator
from mypo import Runner
from mypo import Loader
DOWNLOAD = False
if DOWNLOAD:
loader = Loader()
loader.get('VT', 0.08 * 10e-3)
loader.get('BNDW', 0.08 * 10e-3)
loader.get('SPY', 0.09 * 10e-3)
loader.get('IEF', 0.15 * 10e-3)
loader.get('TLT', 0.15 * 10e-3)
loader.get('VWO', 0.1 * 10e-3)
loader.get('IVV', 0.03 * 10e-3)
loader.get('SPDW', 0.04 * 10e-3)
loader.get('BND', 0.04 * 10e-3)
loader.get('BNDX', 0.08 * 10e-3)
loader.get('GLD', 0.4 * 10e-3)
loader.save('/app/docs/tutorial/portfolio.bin')
loader = Loader.load('/app/docs/tutorial/portfolio.bin')
clutter_market = loader.filter(['VWO', 'IVV', 'SPDW', 'BND', 'BNDX', 'GLD']).get_market()
weighted_market = loader.filter(['VT', 'BND', 'BNDX', 'GLD']).get_market()
us_market = loader.filter(['SPY', 'IEF', 'TLT', 'GLD']).get_market()
World Risk Weighted¶
[13]:
folds = split_k_folds(clutter_market, 1, 200)
fold = folds[0]
optimizer = RiskParityOptimizer(risk_target=[0.85 * 0.175, 0.85 * 0.223, 0.85 * 0.603, 0.10 *0.25 , 0.10 * 0.75, 0.05])
runner = Runner(
rebalancer=MonthlyRebalancer(optimizer=optimizer, evacuator=FixedEvacuator(level=0.05)),
)
runner.run(
fold=fold,
verbose=True
)
report = runner.report()
display(report.summary())
display(report.annual_summary())
ax = report.history_assets().plot()
plt.legend(bbox_to_anchor=(1.05, 1), loc='upper left', borderaxespad=0)
plt.show()
ax = report.history_weights().plot.area(stacked=True)
plt.legend(bbox_to_anchor=(1.05, 1), loc='upper left', borderaxespad=0)
plt.show()
ax = report.history_cost().plot.area(stacked=True)
plt.legend(bbox_to_anchor=(1.05, 1), loc='upper left', borderaxespad=0)
plt.show()
ax = report.history_cash_vs_assets().plot.area(stacked=True)
plt.legend(bbox_to_anchor=(1.05, 1), loc='upper left', borderaxespad=0)
plt.show()
100%|██████████| 1854/1854 [00:24<00:00, 76.72it/s]
tickers yearly total return sharpe ratio \
0 [VWO, IVV, SPDW, BND, BNDX, GLD] 1.054614 0.473587
max draw down max draw down span
0 0.835713 343
World Value Weighted¶
[14]:
folds = split_k_folds(weighted_market, 1, 200)
fold = folds[0]
optimizer = RiskParityOptimizer(risk_target=[0.85, 0.0512, 0.0488, 0.05])
runner = Runner(
rebalancer=MonthlyRebalancer(optimizer=optimizer, evacuator=FixedEvacuator(level=0.05)),
)
runner.run(
fold=fold,
verbose=True
)
report = runner.report()
display(report.summary())
display(report.annual_summary())
ax = report.history_assets().plot()
plt.legend(bbox_to_anchor=(1.05, 1), loc='upper left', borderaxespad=0)
plt.show()
ax = report.history_weights().plot.area(stacked=True)
plt.legend(bbox_to_anchor=(1.05, 1), loc='upper left', borderaxespad=0)
plt.show()
ax = report.history_cost().plot.area(stacked=True)
plt.legend(bbox_to_anchor=(1.05, 1), loc='upper left', borderaxespad=0)
plt.show()
ax = report.history_cash_vs_assets().plot.area(stacked=True)
plt.legend(bbox_to_anchor=(1.05, 1), loc='upper left', borderaxespad=0)
plt.show()
100%|██████████| 1854/1854 [00:20<00:00, 89.42it/s]
tickers yearly total return sharpe ratio max draw down \
0 [VT, BND, BNDX, GLD] 1.06164 0.556957 0.832026
max draw down span
0 301
US Value Weighted¶
[15]:
folds = split_k_folds(us_market, 1, 200)
fold = folds[0]
optimizer = RiskParityOptimizer(risk_target=[0.85, 0.05, 0.05, 0.05])
runner = Runner(
rebalancer=MonthlyRebalancer(optimizer=optimizer, evacuator=FixedEvacuator(level=0.05)),
)
runner.run(
fold=fold,
verbose=True
)
report = runner.report()
display(report.summary())
display(report.annual_summary())
ax = report.history_assets().plot()
plt.legend(bbox_to_anchor=(1.05, 1), loc='upper left', borderaxespad=0)
plt.show()
ax = report.history_weights().plot.area(stacked=True)
plt.legend(bbox_to_anchor=(1.05, 1), loc='upper left', borderaxespad=0)
plt.show()
ax = report.history_cost().plot.area(stacked=True)
plt.legend(bbox_to_anchor=(1.05, 1), loc='upper left', borderaxespad=0)
plt.show()
ax = report.history_cash_vs_assets().plot.area(stacked=True)
plt.legend(bbox_to_anchor=(1.05, 1), loc='upper left', borderaxespad=0)
plt.show()
100%|██████████| 4002/4002 [00:47<00:00, 83.60it/s]
tickers yearly total return sharpe ratio max draw down \
0 [SPY, IEF, TLT, GLD] 1.085318 0.610989 0.690173
max draw down span
0 725
