Momentum.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {
    "collapsed": false
   },
   "outputs": [],
   "source": [
    "import pandas as pd\n",
    "import pandas_datareader.data as web\n",
    "import numpy as np\n",
    "import matplotlib\n",
    "import matplotlib.pyplot as plt\n",
    "import matplotlib.ticker as ticker\n",
    "import seaborn\n",
    "from datetime import datetime, timedelta\n",
    "\n",
    "%matplotlib inline\n",
    "\n",
    "# Parameters\n",
    "VOL_PERIOD = 13\n",
    "RETURN_PERIOD_1 = 63\n",
    "RETURN_PERIOD_2 = 126\n",
    "WEIGHTS = (.5,.3,.2)\n",
    "\n",
    "#Banking, Biotech, Broker-Dealer, HealthCare, Pharmaceuticals, Gold, Homebuilders, Insurance, Internet, Oils, Oil Services, Retail, Semiconductor, Software, Transports, and Utilities\n",
    "\n",
    "\n",
    "portfolio = {\n",
    "    'equity':(\"VTI\", \"VEU\", \"SHY\"),\n",
    "    'sector':(\"XLF\", \"IBB\", \"IAI\", \"XLV\", \"XPH\", \"GDX\", \"XHB\", \"KIE\", \"FDN\", \"OIH\", \"XLE\", \"SMH\", \"IGV\", \"IYT\", \"XLU\", \"SHY\" ),\n",
    "    'credit':(\"HYG\", \"CIU\", \"SHY\"), \n",
    "    'real estate':(\"REM\", \"VNQ\", \"SHY\"), \n",
    "    'stress':(\"GLD\", \"TLT\", \"SHY\")\n",
    "}"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {
    "collapsed": true
   },
   "outputs": [],
   "source": [
    "def overall_weight(row):\n",
    "    return WEIGHTS[0]*row['Period 1 Return Rank'] + WEIGHTS[1]*row['Period 2 Return Rank'] + WEIGHTS[2]*row['Std Dev Rank']\n",
    "\n",
    "def make_table(sym):\n",
    "    end = datetime.today()\n",
    "    lookback = 2 * max(RETURN_PERIOD_1, RETURN_PERIOD_2)\n",
    "    start = end - timedelta(lookback)\n",
    "    df = web.DataReader(sym, 'yahoo', start, end)\n",
    "    df.drop([\"Open\", \"High\", \"Low\", \"Close\", \"Volume\"], axis=1, inplace=True)\n",
    "    df['Std Dev'] = pd.rolling_std(df['Adj Close'], VOL_PERIOD)\n",
    "    df['Period 1 Return'] = df.pct_change(RETURN_PERIOD_1)['Adj Close']\n",
    "    df['Period 2 Return'] = df.pct_change(RETURN_PERIOD_2)['Adj Close']\n",
    "    return df\n",
    "\n",
    "def get_latest(sym):\n",
    "    df = make_table(sym).tail(1)\n",
    "    df.index = [sym]\n",
    "    return df\n",
    "\n",
    "def cluster_table(symbols):\n",
    "    dfs = map(get_latest, symbols)\n",
    "    cdf = pd.concat(dfs, axis=0)\n",
    "    cdf_r = cdf.rank('rows', ascending=False)[['Period 1 Return', 'Period 2 Return']]\n",
    "    cdf_r['Std Dev'] = cdf.rank('rows')[['Std Dev']]\n",
    "    df = pd.merge(cdf, cdf_r, left_index=True, right_index=True, how='inner', suffixes=('', ' Rank'))\n",
    "    overall_df = pd.DataFrame(df.apply(overall_weight, axis=1), columns=[\"Overall Weight Rank\"]).rank('rows')\n",
    "    df = pd.merge(df, overall_df, left_index=True, right_index=True, how='inner')\n",
    "    df = df.sort_index(axis=1)\n",
    "    df = df.sort_values('Overall Weight Rank')\n",
    "    return df\n",
    "    "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Adj Close</th>\n",
       "      <th>Overall Weight Rank</th>\n",
       "      <th>Period 1 Return</th>\n",
       "      <th>Period 1 Return Rank</th>\n",
       "      <th>Period 2 Return</th>\n",
       "      <th>Period 2 Return Rank</th>\n",
       "      <th>Std Dev</th>\n",
       "      <th>Std Dev Rank</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>SHY</th>\n",
       "      <td>85.040001</td>\n",
       "      <td>1</td>\n",
       "      <td>0.004107</td>\n",
       "      <td>1</td>\n",
       "      <td>0.004108</td>\n",
       "      <td>1</td>\n",
       "      <td>0.050800</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VTI</th>\n",
       "      <td>104.110001</td>\n",
       "      <td>2</td>\n",
       "      <td>-0.048380</td>\n",
       "      <td>2</td>\n",
       "      <td>-0.027673</td>\n",
       "      <td>2</td>\n",
       "      <td>2.317809</td>\n",
       "      <td>3</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VEU</th>\n",
       "      <td>45.869999</td>\n",
       "      <td>3</td>\n",
       "      <td>-0.061137</td>\n",
       "      <td>3</td>\n",
       "      <td>-0.078077</td>\n",
       "      <td>3</td>\n",
       "      <td>1.309197</td>\n",
       "      <td>2</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "      Adj Close  Overall Weight Rank  Period 1 Return  Period 1 Return Rank  \\\n",
       "SHY   85.040001                    1         0.004107                     1   \n",
       "VTI  104.110001                    2        -0.048380                     2   \n",
       "VEU   45.869999                    3        -0.061137                     3   \n",
       "\n",
       "     Period 2 Return  Period 2 Return Rank   Std Dev  Std Dev Rank  \n",
       "SHY         0.004108                     1  0.050800             1  \n",
       "VTI        -0.027673                     2  2.317809             3  \n",
       "VEU        -0.078077                     3  1.309197             2  "
      ]
     },
     "execution_count": 3,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# Equity Model\n",
    "cluster_table(portfolio['equity'])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Adj Close</th>\n",
       "      <th>Overall Weight Rank</th>\n",
       "      <th>Period 1 Return</th>\n",
       "      <th>Period 1 Return Rank</th>\n",
       "      <th>Period 2 Return</th>\n",
       "      <th>Period 2 Return Rank</th>\n",
       "      <th>Std Dev</th>\n",
       "      <th>Std Dev Rank</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>CIU</th>\n",
       "      <td>109.040001</td>\n",
       "      <td>1.5</td>\n",
       "      <td>0.010660</td>\n",
       "      <td>1</td>\n",
       "      <td>-0.005354</td>\n",
       "      <td>2</td>\n",
       "      <td>0.234271</td>\n",
       "      <td>2</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SHY</th>\n",
       "      <td>85.040001</td>\n",
       "      <td>1.5</td>\n",
       "      <td>0.004107</td>\n",
       "      <td>2</td>\n",
       "      <td>0.004108</td>\n",
       "      <td>1</td>\n",
       "      <td>0.050800</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>HYG</th>\n",
       "      <td>84.889999</td>\n",
       "      <td>3.0</td>\n",
       "      <td>-0.029592</td>\n",
       "      <td>3</td>\n",
       "      <td>-0.041861</td>\n",
       "      <td>3</td>\n",
       "      <td>1.120165</td>\n",
       "      <td>3</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "      Adj Close  Overall Weight Rank  Period 1 Return  Period 1 Return Rank  \\\n",
       "CIU  109.040001                  1.5         0.010660                     1   \n",
       "SHY   85.040001                  1.5         0.004107                     2   \n",
       "HYG   84.889999                  3.0        -0.029592                     3   \n",
       "\n",
       "     Period 2 Return  Period 2 Return Rank   Std Dev  Std Dev Rank  \n",
       "CIU        -0.005354                     2  0.234271             2  \n",
       "SHY         0.004108                     1  0.050800             1  \n",
       "HYG        -0.041861                     3  1.120165             3  "
      ]
     },
     "execution_count": 4,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# Credit Model\n",
    "cluster_table(portfolio['credit'])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Adj Close</th>\n",
       "      <th>Overall Weight Rank</th>\n",
       "      <th>Period 1 Return</th>\n",
       "      <th>Period 1 Return Rank</th>\n",
       "      <th>Period 2 Return</th>\n",
       "      <th>Period 2 Return Rank</th>\n",
       "      <th>Std Dev</th>\n",
       "      <th>Std Dev Rank</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>SHY</th>\n",
       "      <td>85.040001</td>\n",
       "      <td>1</td>\n",
       "      <td>0.004107</td>\n",
       "      <td>2</td>\n",
       "      <td>0.004108</td>\n",
       "      <td>1</td>\n",
       "      <td>0.050800</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>VNQ</th>\n",
       "      <td>79.410004</td>\n",
       "      <td>2</td>\n",
       "      <td>0.021313</td>\n",
       "      <td>1</td>\n",
       "      <td>-0.009600</td>\n",
       "      <td>2</td>\n",
       "      <td>1.570349</td>\n",
       "      <td>3</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>REM</th>\n",
       "      <td>10.290000</td>\n",
       "      <td>3</td>\n",
       "      <td>-0.033323</td>\n",
       "      <td>3</td>\n",
       "      <td>-0.083756</td>\n",
       "      <td>3</td>\n",
       "      <td>0.196573</td>\n",
       "      <td>2</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "     Adj Close  Overall Weight Rank  Period 1 Return  Period 1 Return Rank  \\\n",
       "SHY  85.040001                    1         0.004107                     2   \n",
       "VNQ  79.410004                    2         0.021313                     1   \n",
       "REM  10.290000                    3        -0.033323                     3   \n",
       "\n",
       "     Period 2 Return  Period 2 Return Rank   Std Dev  Std Dev Rank  \n",
       "SHY         0.004108                     1  0.050800             1  \n",
       "VNQ        -0.009600                     2  1.570349             3  \n",
       "REM        -0.083756                     3  0.196573             2  "
      ]
     },
     "execution_count": 5,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# Real Estate Model\n",
    "cluster_table(portfolio['real estate'])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Adj Close</th>\n",
       "      <th>Overall Weight Rank</th>\n",
       "      <th>Period 1 Return</th>\n",
       "      <th>Period 1 Return Rank</th>\n",
       "      <th>Period 2 Return</th>\n",
       "      <th>Period 2 Return Rank</th>\n",
       "      <th>Std Dev</th>\n",
       "      <th>Std Dev Rank</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>TLT</th>\n",
       "      <td>123.889999</td>\n",
       "      <td>1</td>\n",
       "      <td>0.050273</td>\n",
       "      <td>1</td>\n",
       "      <td>-0.045346</td>\n",
       "      <td>3</td>\n",
       "      <td>0.757257</td>\n",
       "      <td>2</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SHY</th>\n",
       "      <td>85.040001</td>\n",
       "      <td>2</td>\n",
       "      <td>0.004107</td>\n",
       "      <td>3</td>\n",
       "      <td>0.004108</td>\n",
       "      <td>1</td>\n",
       "      <td>0.050800</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>GLD</th>\n",
       "      <td>113.309998</td>\n",
       "      <td>3</td>\n",
       "      <td>0.042890</td>\n",
       "      <td>2</td>\n",
       "      <td>-0.019810</td>\n",
       "      <td>2</td>\n",
       "      <td>2.224286</td>\n",
       "      <td>3</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "      Adj Close  Overall Weight Rank  Period 1 Return  Period 1 Return Rank  \\\n",
       "TLT  123.889999                    1         0.050273                     1   \n",
       "SHY   85.040001                    2         0.004107                     3   \n",
       "GLD  113.309998                    3         0.042890                     2   \n",
       "\n",
       "     Period 2 Return  Period 2 Return Rank   Std Dev  Std Dev Rank  \n",
       "TLT        -0.045346                     3  0.757257             2  \n",
       "SHY         0.004108                     1  0.050800             1  \n",
       "GLD        -0.019810                     2  2.224286             3  "
      ]
     },
     "execution_count": 6,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# Econ Stress Model\n",
    "cluster_table(portfolio['stress'])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Adj Close</th>\n",
       "      <th>Overall Weight Rank</th>\n",
       "      <th>Period 1 Return</th>\n",
       "      <th>Period 1 Return Rank</th>\n",
       "      <th>Period 2 Return</th>\n",
       "      <th>Period 2 Return Rank</th>\n",
       "      <th>Std Dev</th>\n",
       "      <th>Std Dev Rank</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>XLU</th>\n",
       "      <td>44.720001</td>\n",
       "      <td>1.0</td>\n",
       "      <td>0.041104</td>\n",
       "      <td>2</td>\n",
       "      <td>0.032945</td>\n",
       "      <td>4</td>\n",
       "      <td>0.595995</td>\n",
       "      <td>4</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SHY</th>\n",
       "      <td>85.040001</td>\n",
       "      <td>2.0</td>\n",
       "      <td>0.004107</td>\n",
       "      <td>3</td>\n",
       "      <td>0.004108</td>\n",
       "      <td>5</td>\n",
       "      <td>0.050800</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>KIE</th>\n",
       "      <td>69.959999</td>\n",
       "      <td>3.0</td>\n",
       "      <td>-0.008126</td>\n",
       "      <td>7</td>\n",
       "      <td>0.042092</td>\n",
       "      <td>3</td>\n",
       "      <td>1.105397</td>\n",
       "      <td>6</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>GDX</th>\n",
       "      <td>16.900000</td>\n",
       "      <td>4.0</td>\n",
       "      <td>0.095269</td>\n",
       "      <td>1</td>\n",
       "      <td>-0.143002</td>\n",
       "      <td>13</td>\n",
       "      <td>1.195989</td>\n",
       "      <td>8</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SMH</th>\n",
       "      <td>53.610001</td>\n",
       "      <td>5.0</td>\n",
       "      <td>0.002806</td>\n",
       "      <td>4</td>\n",
       "      <td>-0.032136</td>\n",
       "      <td>8</td>\n",
       "      <td>1.569334</td>\n",
       "      <td>10</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>IGV</th>\n",
       "      <td>100.540001</td>\n",
       "      <td>6.0</td>\n",
       "      <td>-0.017657</td>\n",
       "      <td>8</td>\n",
       "      <td>0.047641</td>\n",
       "      <td>2</td>\n",
       "      <td>2.192671</td>\n",
       "      <td>13</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>FDN</th>\n",
       "      <td>71.129997</td>\n",
       "      <td>7.0</td>\n",
       "      <td>-0.021461</td>\n",
       "      <td>9</td>\n",
       "      <td>0.082319</td>\n",
       "      <td>1</td>\n",
       "      <td>2.036093</td>\n",
       "      <td>12</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>XHB</th>\n",
       "      <td>35.619999</td>\n",
       "      <td>8.0</td>\n",
       "      <td>-0.027462</td>\n",
       "      <td>10</td>\n",
       "      <td>0.002143</td>\n",
       "      <td>6</td>\n",
       "      <td>0.858194</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>IYT</th>\n",
       "      <td>147.500000</td>\n",
       "      <td>9.0</td>\n",
       "      <td>-0.004011</td>\n",
       "      <td>5</td>\n",
       "      <td>-0.041904</td>\n",
       "      <td>9</td>\n",
       "      <td>3.321393</td>\n",
       "      <td>14</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>XLF</th>\n",
       "      <td>23.430000</td>\n",
       "      <td>10.0</td>\n",
       "      <td>-0.072683</td>\n",
       "      <td>12</td>\n",
       "      <td>-0.019995</td>\n",
       "      <td>7</td>\n",
       "      <td>0.336713</td>\n",
       "      <td>2</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>OIH</th>\n",
       "      <td>31.610001</td>\n",
       "      <td>11.0</td>\n",
       "      <td>-0.007535</td>\n",
       "      <td>6</td>\n",
       "      <td>-0.153908</td>\n",
       "      <td>15</td>\n",
       "      <td>1.860273</td>\n",
       "      <td>11</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>IAI</th>\n",
       "      <td>39.430000</td>\n",
       "      <td>12.5</td>\n",
       "      <td>-0.126886</td>\n",
       "      <td>14</td>\n",
       "      <td>-0.065510</td>\n",
       "      <td>11</td>\n",
       "      <td>0.464737</td>\n",
       "      <td>3</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>XLV</th>\n",
       "      <td>69.099998</td>\n",
       "      <td>12.5</td>\n",
       "      <td>-0.098994</td>\n",
       "      <td>13</td>\n",
       "      <td>-0.050493</td>\n",
       "      <td>10</td>\n",
       "      <td>1.151666</td>\n",
       "      <td>7</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>XLE</th>\n",
       "      <td>69.150002</td>\n",
       "      <td>14.0</td>\n",
       "      <td>-0.038376</td>\n",
       "      <td>11</td>\n",
       "      <td>-0.143904</td>\n",
       "      <td>14</td>\n",
       "      <td>3.337703</td>\n",
       "      <td>15</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>IBB</th>\n",
       "      <td>314.760010</td>\n",
       "      <td>15.0</td>\n",
       "      <td>-0.208325</td>\n",
       "      <td>15</td>\n",
       "      <td>-0.116845</td>\n",
       "      <td>12</td>\n",
       "      <td>7.105252</td>\n",
       "      <td>16</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>XPH</th>\n",
       "      <td>48.790001</td>\n",
       "      <td>16.0</td>\n",
       "      <td>-0.265883</td>\n",
       "      <td>16</td>\n",
       "      <td>-0.243778</td>\n",
       "      <td>16</td>\n",
       "      <td>1.320438</td>\n",
       "      <td>9</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "      Adj Close  Overall Weight Rank  Period 1 Return  Period 1 Return Rank  \\\n",
       "XLU   44.720001                  1.0         0.041104                     2   \n",
       "SHY   85.040001                  2.0         0.004107                     3   \n",
       "KIE   69.959999                  3.0        -0.008126                     7   \n",
       "GDX   16.900000                  4.0         0.095269                     1   \n",
       "SMH   53.610001                  5.0         0.002806                     4   \n",
       "IGV  100.540001                  6.0        -0.017657                     8   \n",
       "FDN   71.129997                  7.0        -0.021461                     9   \n",
       "XHB   35.619999                  8.0        -0.027462                    10   \n",
       "IYT  147.500000                  9.0        -0.004011                     5   \n",
       "XLF   23.430000                 10.0        -0.072683                    12   \n",
       "OIH   31.610001                 11.0        -0.007535                     6   \n",
       "IAI   39.430000                 12.5        -0.126886                    14   \n",
       "XLV   69.099998                 12.5        -0.098994                    13   \n",
       "XLE   69.150002                 14.0        -0.038376                    11   \n",
       "IBB  314.760010                 15.0        -0.208325                    15   \n",
       "XPH   48.790001                 16.0        -0.265883                    16   \n",
       "\n",
       "     Period 2 Return  Period 2 Return Rank   Std Dev  Std Dev Rank  \n",
       "XLU         0.032945                     4  0.595995             4  \n",
       "SHY         0.004108                     5  0.050800             1  \n",
       "KIE         0.042092                     3  1.105397             6  \n",
       "GDX        -0.143002                    13  1.195989             8  \n",
       "SMH        -0.032136                     8  1.569334            10  \n",
       "IGV         0.047641                     2  2.192671            13  \n",
       "FDN         0.082319                     1  2.036093            12  \n",
       "XHB         0.002143                     6  0.858194             5  \n",
       "IYT        -0.041904                     9  3.321393            14  \n",
       "XLF        -0.019995                     7  0.336713             2  \n",
       "OIH        -0.153908                    15  1.860273            11  \n",
       "IAI        -0.065510                    11  0.464737             3  \n",
       "XLV        -0.050493                    10  1.151666             7  \n",
       "XLE        -0.143904                    14  3.337703            15  \n",
       "IBB        -0.116845                    12  7.105252            16  \n",
       "XPH        -0.243778                    16  1.320438             9  "
      ]
     },
     "execution_count": 7,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# Sector Overweight\n",
    "cluster_table(portfolio['sector'])"
   ]
  }
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