De efficiënte grens begrijpen

Hoe verschillen de portefeuilles die onder en rechts van de efficiënte grens (EF) liggen van de portefeuilles op de efficiënte grens? Zou je in een van die portefeuilles willen beleggen?

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Introductie tot portefeuille-analyse in Python

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Deze oefening maakt deel uit van de cursus

Introductie tot portefeuille-analyse in Python

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In the first chapter, you’ll learn how a portfolio is build up out of individual assets and corresponding weights. The chapter also covers how to calculate the main characteristics of a portfolio: returns and risk.

Exercise 1: Welcome to Portfolio Analysis!Exercise 2: Why invest in portfolios Exercise 3: The effect of diversification Exercise 4: Portfolio returns Exercise 5: Portfolio losses and gaining it back Exercise 6: Calculate mean returns Exercise 7: Portfolio cumulative returns Exercise 8: Measuring risk of a portfolio Exercise 9: Portfolio variance Exercise 10: Standard deviation versus variance

Chapter 2 goes deeper into how to measure returns and risk accurately. The two most important measures of return, annualized returns, and risk-adjusted returns, are covered in the first part of the chapter. In the second part, you’ll learn how to look at risk from different perspectives. This part focuses on skewness and kurtosis of a distribution, as well as downside risk.

Exercise 1: Annualized returns Exercise 2: Annualizing portfolio returns Exercise 3: Comparing annualized rates of return Exercise 4: Risk adjusted returns Exercise 5: Interpreting the Sharpe ratio Exercise 6: S&P500 Sharpe ratio Exercise 7: Portfolio Sharpe ratio Exercise 8: Non-normal distribution of returns Exercise 9: Skewness of the S&P500 Exercise 10: Calculating skewness and kurtosis Exercise 11: Comparing distributions of stock returns Exercise 12: Alternative measures of risk Exercise 13: Sortino ratio Exercise 14: Maximum draw-down portfolio

In chapter 3, you’ll learn about investment factors and how they play a role in driving risk and return. You’ll learn about the Fama French factor model, and use that to break down portfolio returns into explainable, common factors. This chapter also covers how to use Pyfolio, a public portfolio analysis tool.

Exercise 1: Comparing against a benchmark Exercise 2: Active return Exercise 3: Industry attribution Exercise 4: Risk factors Exercise 5: Size factor Exercise 6: Momentum factor Exercise 7: Value factor Exercise 8: Factor models Exercise 9: Fama French factor correlations Exercise 10: Linear regression model Exercise 11: Fama French Factor model Exercise 12: Portfolio analysis tools Exercise 13: Performance tear sheet Exercise 14: Industry exposures with Pyfolio

In this last chapter, you learn how to create optimal portfolio weights, using Markowitz’ portfolio optimization framework. You’ll learn how to find the optimal weights for the desired level of risk or return. Lastly, you’ll learn alternative ways to calculate expected risk and return, using the most recent data only.

Exercise 1: Moderne portefeuilletheorie Exercise 2: De efficiënte grens begrijpen

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Exercise 3: Verwachte risico en rendement berekenen Exercise 4: PyPortfolioOpt-risicofuncties Exercise 5: Optimale portfolioprestatie Exercise 6: Maximale Sharpe vs. minimale volatiliteit Exercise 7: Portfolio-optimalisatie: Max Sharpe Exercise 8: Optimalisatie met minimale volatiliteit Exercise 9: Maximale Sharpe vergelijken met minimale volatiliteit Exercise 10: Alternatieve portefeuille-optimalisatie Exercise 11: Exponentieel gewogen rendementen en risico Exercise 12: Aanpakken vergelijken Exercise 13: De span aanpassen Exercise 14: Samenvatting