I've been playing around with some portfolio risk analysis over the holidays, but I'm getting sick of my test data, so if anyone wants their portfolio analyzed I'm happy to do it.
Heres's an example output (Most Popular stonks on RH): https://i.imgur.com/Uwqiqel.png
The short explanation is that it's a Python script that creates a virtual version of your portfolio for the past year then compares its movements to any index or underlying that you want to look at, and finds the alpha/beta to determine the risk-adjusted return as per the CAPM model. The blue bar is the beta of your portfolio to the underlying (ie: how much of the underlying you would need to buy to get the same correlated exposure as your portfolio carries) and the green/red bar is the alpha (ie: the non-correlated return of your portfolio relative to the asset).
So in the example, an equal-weight model portfolio of the 9 most popular stocks owned on Robinhood has a beta of ~ 1.4 and an alpha of ~ -0.1. So if you wanted the same exposure to the S&P 500 you could have bought 1.4x the amount of an S&P fund. This would have performed 10% better (b/c the alpha is -0.1) and would have exposed you to the same market risk.
It's basically a gauge of how your portfolio tracks the S&P 500 and whether or not your stock picking is beneficial or costing you money on a relative-risk basis.
I've set up a Google Sheet that you can edit anonymously if you don't want to share your portfolio makeup:
https://docs.google.com/spreadsheets/d/1pXRFwlJyNQNl5EpX0MXwVJFzaWG0mPKlwQRyV7GAGuE/edit#gid=0
I can compare it to any ETF of stock that you want, but my data provider doesn't support mutual funds.
Submitted December 29, 2019 at 09:07PM by moneyonfireapp https://ift.tt/2u2ZJoN
