For Single Security Rate of Return

import numpy as np

import pandas as pd

from pandas_datareader import data as wb

import matplotlib.pyplot as plt

BSES = wb.DataReader('^BSESN', data_source='yahoo',start='1990-1-1') -----Data extraction

BSES["Returns”] =BSES ["Adj Close"].pct_change() ---------% Change

BSES.head()

BSES.tail()

plt.hist(BSES["Returns"].dropna(),bins=70, density=False) ------for histogram

plt.show()

OR

BSES["Returns"]. plot (figsize= (8,5))

MEAN

mean_return_daily= np.mean(BSES["Returns"]) ----------Daily Returns

print(mean_return_daily)

mean_return_annualized= ((1+mean_return_daily)**252)-1 ---------Annual Returns

print(mean_return_annualized)

print (str(round(mean_return_annualized,4)*100) + '%') -------In % terms

 For Multiple Securities Rate of Return

import numpy as np

import pandas as pd

from pandas_datareader import data as wb

import matplotlib.pyplot as plt

assets = ['RELIANCE.BO','HDFCBANK.BO','ALOKTEXT.BO']

Mydata= pd.DataFrame()

for a in assets:

Mydata[t] = wb.DataReader(a, data_source='yahoo',start='2015-1-1')['Adj Close']

Mydata.info()

Mydata.head()

Mydata.tail()

(Mydata/Mydata.iloc[0]*100).plot(figsize=(15,6)); -----Normalisation to 100

plt.show()

Returns = Mydata.pct_change() ------% Change

print (Returns)
Date
2015-01-01 NaN NaN NaN
2015-01-02 -0.002759 0.014349 0.002874
2015-01-05 -0.009598 -0.008602 0.001910
2015-01-06 -0.046745 -0.014634 -0.044805
2015-01-07 0.023083 0.002864 -0.003992
2015-01-08 -0.014672 0.020257 0.009018
2015-01-09 0.020882 0.010576 -0.009930
2015-01-12 -0.011506 -0.006771 0.130391
2015-01-13 -0.008818 -0.004700 -0.042591
2015-01-14 -0.009489 -0.000208 0.005561
2015-01-15 0.035387 0.030363 0.003687
2015-01-16 0.005089 0.008966 -0.022039
2015-01-19 0.012486 0.002996 -0.018779
2015-01-20 0.024209 0.017621 -0.001914
2015-01-21 0.003884 -0.002299 -0.003835
2015-01-22 -0.022716 0.001275 -0.029836
2015-01-23 0.003224 0.021300 -0.007937
2015-01-27 0.002029 0.029821 -0.017000
2015-01-28 0.019240 -0.014805 0.003052
2015-01-29 0.024342 0.034212 0.000000
2015-01-30 -0.013525 -0.016723 0.019270
2015-02-02 -0.008139 0.005855 0.001990
2015-02-03 0.032548 -0.017601 -0.010924
2015-02-04 -0.009334 0.003762 0.006024
2015-02-05 -0.006838 0.009370 -0.012974
2015-02-06 -0.012902 -0.019216 -0.013145
2015-02-09 -0.014443 -0.015427 -0.027664
2015-02-10 -0.016271 0.014756 -0.009484
2015-02-11 0.020675 0.002747 0.032979
2015-02-12 0.010544 0.018044 -0.046344
... ... ... ...
2019-06-17 -0.026918 -0.006013 0.048518
2019-06-18 0.000819 -0.002065 0.000000
2019-06-19 -0.003938 0.005234 -0.002571
2019-06-20 0.015186 0.004804 -0.048969
2019-06-21 -0.013648 -0.004410 -0.027100
2019-06-24 -0.012938 0.000580 0.008357
2019-06-25 0.026254 0.004924 -0.035912
2019-06-26 -0.000965 0.015832 -0.028653
2019-06-27 -0.015218 -0.000264 0.011799
2019-06-28 -0.017924 -0.008129 0.005831
2019-07-01 0.013179 0.016044 0.000000
2019-07-02 0.007529 0.003500 -0.008696
2019-07-03 0.003286 -0.001944 0.014620
2019-07-04 0.000585 -0.002350 -0.011527
2019-07-05 -0.015900 -0.003322 -0.029155
2019-07-08 -0.008475 -0.027288 -0.015015
2019-07-09 0.022006 -0.011982 -0.006098
2019-07-10 -0.000860 0.003047 -0.027607
2019-07-11 0.002308 0.009031 0.009464
2019-07-12 -0.000546 -0.005960 -0.034375
2019-07-15 -0.003670 0.001107 -0.009709
2019-07-16 0.013481 -0.001649 -0.003268
2019-07-17 -0.008932 0.002320 -0.022951
2019-07-18 -0.015411 0.002586 0.003356
2019-07-19 -0.010144 -0.011627 0.003344
2019-07-22 0.025220 -0.033208 -0.033333
2019-07-23 -0.005974 -0.014410 -0.044828
2019-07-24 -0.011038 0.007001 0.046931
2019-07-25 -0.021052 0.002632 0.048276
2019-07-26 -0.014769 -0.004156 0.049342

[1126 rows x 3 columns]

Weights = np.array([0.25,0.35,0.4])

np.dot(Returns, Weights)

Annual_Returns = Returns.mean()*252 ---------Annual Returns

print (Annual_Returns)

RELIANCE.BO 0.271463
HDFCBANK.BO 0.216001
ALOKTEXT.BO -0.091436
dtype: float64

np.dot(Annual_Returns, Weights)

0.10689172240625852

Portfolio_1= print (str(round(np.dot(Annual_Returns,Weights),3)*100) + '%')

10.7%

Mean_Returns= print(Returns[['RELIANCE.BO','HDFCBANK.BO','ALOKTEXT.BO']]. mean ()) ----Mean

RELIANCE.BO 0.001077
HDFCBANK.BO 0.000857
ALOKTEXT.BO -0.000361
dtype: float64

Annual_Mean_Returns =
print(Returns[['RELIANCE.BO','HDFCBANK.BO','ALOKTEXT.BO']].mean()*252)

RELIANCE.BO 0.271463s
HDFCBANK.BO 0.216001
ALOKTEXT.BO -0.090900
dtype: float64

Std_Returns=
print(Returns[['RELIANCE.BO','HDFCBANK.BO','ALOKTEXT.BO']].std()) ----------Std. Deviation

RELIANCE.BO 0.015838
HDFCBANK.BO 0.010042
ALOKTEXT.BO 0.037674

Annual_Std_Returns = print(Returns[['RELIANCE.BO','HDFCBANK.BO','ALOKTEXT.BO']].
std()*252**0.5)

RELIANCE.BO 0.251414
HDFCBANK.BO 0.159417
ALOKTEXT.BO 0.598058

Cov_Matrix= Returns.cov()*252 -------------------Annualised Covariance

print(Cov_Matrix)

RELIANCE.BO HDFCBANK.BO ALOKTEXT.BO

RELIANCE.BO 0.063209 0.013816 0.016118
HDFCBANK.BO 0.013816 0.025414 0.013255
ALOKTEXT.BO 0.016118 0.013255 0.357673

Corr_Matrix = Returns.corr() -----Never annualize Coorelation

print(Corr_Matrix)

RELIANCE.BO HDFCBANK.BO ALOKTEXT.BO

RELIANCE.BO 1.000000 0.34471 0.107195
HDFCBANK.BO 0.344710 1.00000 0.139030
ALOKTEXT.BO 0.107195 0.13903 1.000000

MARKOWITZ EFFICIENT FRONTIER

import numpy as np

import pandas as pd

from pandas_datareader import data as wb

import matplotlib.pyplot as plt

%matplotlib inline
assets = ['RELIANCE.BO','HDFCBANK.BO','ALOKTEXT.BO']

Mydata= pd.DataFrame()

for a in assets:

Mydata[a] = wb.DataReader(a, data_source='yahoo',start='2015-1-1')['Adj Close']

Mydata.info()

Mydata.tail()

RELIANCE.BO HDFCBANK.BO LT.BO

Date

2019-07-22 1280.500000 2297.050049 1385.879272

2019-07-23 1272.849976 2263.949951 1392.000000

2019-07-24 1258.800049 2279.800049 1387.150024

2019-07-25 1232.300049 2285.800049 1372.949951

2019-07-26 1214.099976 2276.300049 1391.849976

Returns = Mydata.pct_change()

print(Returns)

Mydata/Mydata.iloc[0]*100).plot(figsize=(15,6));

plt.show()

Log_Returns= np.log(Mydata/Mydata.shift(1))
Log_Returns.mean()*252
RELIANCE.BO 0.239846
HDFCBANK.BO 0.203241
LT.BO 0.095831

Log_Returns.cov()*252

RELIANCE.BO HDFCBANK.BO LT.BO

RELIANCE.BO 0.062976 0.013904 0.020069

HDFCBANK.BO 0.013904 0.025352 0.015831

LT.BO 0.020069 0.015831 0.059797

Log_Returns.corr()

RELIANCE.BO HDFCBANK.BO LT.BO

RELIANCE.BO 1.000000 0.347972 0.327046

HDFCBANK.BO 0.347972 1.000000 0.406591

LT.BO 0.327046 0.406591 1.000000

num_assets = len(assets)

num_assets
3

weights = np.random.random(num_assets)

weights /= np.sum(weights)

weights
array([0.07582801, 0.78392948, 0.14024251])

weights[0] + weights[1] + weights[2]

1.0

np.sum(weights + Log_Returns.mean())*252 -------------Expected Pfolio Return

252.53891832986932
np.dot(weights.T,np.dot(Log_Returns.cov()*252, weights)) ----------Expected Pfolio Variance

0.022678552059398352

np.sqrt(np.dot(weights.T,np.dot(Log_Returns.cov()*252, weights))) ----Expected Pfolio Volatility

0.15059399742153853

Port_Returns = []

Port_Volatility = []

#populating the empty lists with each portfolios returns,risk and weights

for single_portfolio in range(1000):

weights = np.random.random(num_assets)
weights /= np.sum(weights)
Port_Returns.append(np.sum(weights * Log_Returns.mean())*252)
Port_Volatility.append(np.sqrt(np.dot(weights.T,np.dot(Log_Returns.cov()*252, weights))))

Port_Returns = np.array(Port_Returns)
Port_Volatility = np.array(Port_Volatility)

Port_Returns, Port_Volatility

#dictionary for Returns and Risk values of each pfolio

Portfolio = {'Returns': Port_Returns,'Volatility': Port_Volatility

df = pd.DataFrame(Portfolio)
df.head()

Returns Volatility

0 0.210084 0.179371

1 0.127285 0.197943

2 0.219485 0.194872

3 0.160627 0.163101

4 0.210797 0.152278
#plot the efficient frontier with a scatter plot

plt.style.use('seaborn')
df.plot.scatter(x='Volatility', y='Returns', figsize=(15, 7), grid=True)
plt.xlabel('Volatility (Std. Deviation)')
plt.ylabel('Expected Returns')
plt.title('Efficient Frontier')
plt.show()