Whale Analysis

• Stocks Portfolio Analysis Tool. You may add a custom portfolio that you'd like to analyze against the others.

• Source Code: whale_analysis.ipynb

Required Datasets

Historical daily returns of several portfolios. The .csv files will require the following column data:

| Symbol | Date | Closing Price |

Sample Analysis

Conduct Quantitative Analysis

Analyze the data to see if any of the portfolios outperform the stock market (i.e., the S&P 500).

Performance Analysis

1. Calculate and plot daily returns of all sample portfolios.

   

2. Calculate and plot cumulative returns for all sample portfolios. Does any portfolio outperform the S&P 500?

   

Risk Analysis

1. Create a box plot for each of the returns.

   

2. Calculate the standard deviation for each portfolio.

   BERKSHIRE HATHAWAY INC         0.012919
   TIGER GLOBAL MANAGEMENT LLC    0.010894
   S&P 500                        0.008554
   Algo 2                         0.008342
   SOROS FUND MANAGEMENT LLC      0.007895
   Algo 1                         0.007620
   PAULSON & CO.INC.              0.007023
   

3. Determine which portfolios are riskier than the S&P 500.

   SOROS FUND MANAGEMENT LLC is less risky than the S&P 500
   PAULSON & CO.INC.  is less risky than the S&P 500
   TIGER GLOBAL MANAGEMENT LLC is riskier than the S&P 500
   BERKSHIRE HATHAWAY INC is riskier than the S&P 500
   Algo 1 is less risky than the S&P 500
   Algo 2 is less risky than the S&P 500
   

4. Calculate the Annualized Standard Deviation.

   SOROS FUND MANAGEMENT LLC      0.125335
   PAULSON & CO.INC.              0.111488
   TIGER GLOBAL MANAGEMENT LLC    0.172936
   BERKSHIRE HATHAWAY INC         0.205077
   Algo 1                         0.120967
   Algo 2                         0.132430
   S&P 500                        0.135786
   

Rolling Statistics

1. Calculate and plot the rolling standard deviation for all portfolios using a 21-day window.

   

2. Calculate and plot the correlation between each stock to determine which portfolios may mimick the S&P 500.

   

3. Choose one portfolio, then calculate and plot the 60-day rolling beta between it and the S&P 500.

Rolling Statistics with Exponentially Weighted Average

An alternative method to calculate a rolling window is to take the exponentially weighted moving average. This is like a moving window average, but it assigns greater importance to more recent observations. Try calculating the ewm with a 21-day half-life.

Sharpe Ratios

1. Calculate and visualize the Sharpe ratios using a bar plot.

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

   Based on risk to reward,
       - Algo 1 outperforms the S&P 500 and the whales portfolios.
       - Algo 2 outperforms most whales portfolios, except for the Berkshire Hathaway INC and the S&P500.
   

Create a Custom Portfolio

1. Visit Google Sheets and use the built-in Google Finance function to choose 3-5 stocks for your portfolio.

2. Download the data as CSV files and save in the Resources directory.

3. Run the Custom Portfolio Analysis Section.

Useful Links 📝

• GOOGLEFINANCE function help