Skip to content

Latest commit

 

History

History
21 lines (14 loc) · 818 Bytes

README.md

File metadata and controls

21 lines (14 loc) · 818 Bytes
Raw

Quantitative-Risk-Return-Analysis-

Quantitative Analysis: Portfolio VS Algorithm Strategy visual performance and risk metrics.

Determine whether the algorithmic strategies outperform both the market (S&P 500) and ( Whale ) portfolios.

Risk Analysis

Determine the risk of each portfolio:

  1. box plot for each portfolio.
  2. standard deviation for all portfolios
  3. Annualized Standard Deviation

Rolling Statistics

Analyze the rolling statistics for Risk and Beta. Risk can change Over time.

  1. Rolling standard deviation for all portfolios using a 21-day window
  2. Correlation between each stock and determine which portfolios may mimick the S&P 500
  3. Calculate and plot the 60-day rolling beta between a portfolio and the S&P 500

Overall, Both algo stratigies out preform the SP500 and Whale portfolio.