Whale Portfolio Analysis

Table of Contents

1. Background
2. My Analysis
3. Results

1. Background

• Using a portfolio data to determine which portfolio is performing the best across multiple areas:
  • volatility
  • returns
  • risk
  • Sharpe ratios
• This python code compares my custom portfolio to the whales and two alogorithmic trading strategies
• This code compares if my custom portfolio:
  • Outperforms
  • Underperforms
  • Or Equally perfroms

2. My Analysis

• Analyze whale Returns of Soros, Paulson,Tiger and Berkshire

  • Read the Whale Portfolio daily returns and clean the data

• Analyze Algorithm 1 and Algorithm 2 Daily Returns

  • Read the algorithmic daily returns and clean the data

• S&P 500 Returns

  • Read the S&P 500 historic closing prices and create a new daily returns DataFrame from the data.

• Combine Returns

• Performance Analysis

  • Calculate and Plot the daily returns.
  • Calculate and Plot cumulative returns.

• Risk analysis:

  • Create a box plot for each portfolio.
  • Calculate the standard deviation for all portfolios
  • Determine which portfolios are riskier than the S&P 500
  • Calculate the Annualized Standard Deviation

• Rolling Statistics.

  • Calculate and plot the rolling standard deviation for all portfolios using a 21-day window
  • Calculate the correlation between each stock to determine which portfolios may mimick the S&P 500
  • Choose one portfolio, then calculate and plot the 60-day rolling beta between it and the S&P 500
  • Calculate and Plot Beta for a chosen portfolio and the S&P 500
    • Try calculating the ewm with a 21-day half life for each portfolio, using standard deviation (std) as the metric of interest.

• Sharpe ratio analysis

  • Calculate the Sharpe ratios and generate a bar plot

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

• Create Custom Portfolio

  • Choose 3-5 custom stocks with at last 1 year's worth of historic prices and create a DataFrame of the closing prices and dates for each stock.
  • Calculate the weighted returns for the portfolio assuming an equal number of shares for each stock
    • Join your portfolio returns to the DataFrame that contains all of the portfolio returns
  • Calculate the Annualized Standard Deviation.
  • Calculate and plot rolling std with a 21-day window.
  • Calculate and plot the correlation.
  • Calculate and plot beta for your portfolio compared to the S&P 60 TSX.

• Calculate the Sharpe ratios and generate a bar plot.

  • How does my portfolio do?

3. Results

• File: Whale Analysis