Entendendo a fronteira eficiente

Como os portfólios que ficam abaixo e à direita da fronteira eficiente (EF) diferem dos portfólios na própria fronteira eficiente? Você investiria em algum deles?

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Introdução à Análise de Portfólios em Python

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Introdução à Análise de Portfólios em 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: Teoria Moderna de Portfólios Exercise 2: Entendendo a fronteira eficiente

Exercicio Atual

Exercise 3: Calculando risco e retorno esperados Exercise 4: Funções de risco do PyPortfolioOpt Exercise 5: Desempenho do portfólio ótimo Exercise 6: Máximo Sharpe vs. mínima volatilidade Exercise 7: Otimização de portfólio: Sharpe Máximo Exercise 8: Otimização de mínima volatilidade Exercise 9: Comparando maior Sharpe com mínima volatilidade Exercise 10: Otimização alternativa de portfólios Exercise 11: Retornos e risco com ponderação exponencial Exercise 12: Comparando abordagens Exercise 13: Alterando o span Exercise 14: Recapitulação