Tools to manage portfolio risk analysis
As a python package this should be installable through:
pip install invest-tools
Or:
poetry add invest-tools
The dependencies of this project can be seen in the pyproject.toml file. However for completeness there is a dependcy on pandas, statsmodels and matplotlib as the basics.
There are three data inputs which should be present for the package to work as expected.
The path strings to the csvs can be passed in.
- Portfolio price data as a CSV
| TIDM | Date | Open | High | Low | Close | Volume | Adjustment |
|---|---|---|---|---|---|---|---|
| EG | 01/01/2023 | 1 | 1 | 1 | 1 | 1 | 1 |
| EG2 | 01/01/2023 | 1 | 1 | 1 | 1 | 1 | 1 |
- Currency data as a CSV
| Date | Open | High | Low | Close | Adj Close | Volume |
|---|---|---|---|---|---|---|
| 01/01/2023 | 1 | 1 | 1 | 1 | 1 | 1 |
Build a portfolio of two securities called EG and EG2 with the weighting split 50:50 between the two. One is denominated in GBP and one in USD.
This will output the mean returns of such a portfolio.
import numpy as np
from invest_tools import portfolio
portfolio_definition = {
"EG": {
"weight": 0.5,
"currency": "gbp"
},
"EG2": {
"weight": 0.5,
"currency": "usd"
}
}
port = portfolio.Portfolio(portfolio_definition, portfolio.Currency.GBP)
port.get_usd_converter("path/to/csv")
port.get_prices("path/to/csv")
port.build()
port.analyse()
print(port.analysis)
port.plot_correlation_heatmap()
port.plot_returns_data()Just open an issue I guess?