pyfinlab 0.0.4

Financial applications focusing on portfolio management for Python

PyFinanceLab

PyFinanceLab is in alpha development. Please open an issue if you find any bugs.

Features

PyFinanceLab is a library of financial applications focusing on portfolio management for Python.

• Data Api Wrapper

  The data api wrapper makes it easy to switch between yfinance (free) and tia (Bloomberg terminal subscription required) libraries for pulling financial data.

• Covariance Matrix Tester

  The covariance matrix tester tests various risk models from Hudson and Thames's PortfolioLab Python library (requires subscription) for computing covariance matrices out-of-sample on daily price data. Each risk model is ranked according to how close the covariance matrix generated with that risk model is to out-of-sample empirical covariance matrix.

Roadmap

Future development will include:

• Classification Schema

  Classify an investment universe of tickers into specified categories such as sector, size, or value.

• Constraints Modeling

  Automatically generate weight constraints for a universe of tickers.

• Risk Modeling

  Sample, test, and select the best risk model for generating covariance matrices for input into portfolio optimizers such as mean-variance optimization (MVO). Examples include empirical covariance, ledoit-wolf shrinkage, minimum covariance determinant, and more.

• Return Modeling

  Sample, test, and select the best return model for generating return vectors for input into portfolio optimizers such as mean-variance optimization (MVO). Examples include mean historical return, exponentially-weighted return, and the Capital Asset Pricing Model (CAPM).

• Portfolio Optimization

  Utilize the classification schema, constraints modeling, risk modeling, and return modeling to optimize a portfolio of assets.

• Portfolio Backtesting

  Backtest portfolios and generate performance graphical plots and statistics.

• Report Generation

  Report results in a nicely formatted and easily readable Excel file.

• Documentation

  Documentation will be published as this Python library is further developed. "# pyfinlab"