Data · dataset · 2024
Downside protection - Sortino Ratio
Listed in Teesside University Research Data Repository
This code generates sample data for portfolio returns and calculates various risk measures and ratios commonly used in financial analysis.
Description
Let's break down each component: Portfolio Returns: Synthetic portfolio returns data is generated using the normal distribution with a mean of 0.08 and a standard deviation of 0.15 for 100 time periods. Risk-Adjusted Returns (Sharpe Ratio): The Sharpe Ratio is calculated as the ratio of the excess return of the portfolio over the risk-free rate to the standard deviation of the portfolio returns.
Portfolio Volatility: The standard deviation of the portfolio returns is calculated, representing the volatility of the portfolio. Maximum Drawdown (MDD): The maximum drawdown is computed as the maximum loss from a peak value to a trough value during a specific time period. Downside Protection (Sortino Ratio): The Sortino Ratio is similar to the Sharpe Ratio but focuses on downside risk, using only negative returns in the denominator.
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Visualization: The results are visualized using matplotlib. Four subplots are created: Portfolio Returns over time Drawdown over time Histogram of Portfolio Returns Cumulative Returns over time Each subplot provides insights into different aspects of the portfolio's performance and risk characteristics. Overall, this code provides a comprehensive analysis of portfolio risk and return metrics, along with visualizations to aid in understanding and interpretation.
Links
Where it is published
- DOI doi.org/10.17632/84hmnv4285.1 ↗
DOI / persistent id · from researchdata tees ac uk
Catalogue records · 1
- OAI-PMH record data.mendeley.com/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai%3Adata… ↗
metadata API · from researchdata tees ac uk
Topics
- From keywords
- Earth & Environmental Science · Engineering · Humanities · Investment and risk management · Life Sciences · Social Science
Provenance · 1 source records, 11 field assertions
| Source | Key | Last seen | Raw |
|---|---|---|---|
| Teesside University Research Data Repository | oai:data.mendeley.com/84hmnv4285.1 | 11 d ago | JSON v1 |
| Field | Assertion | Extractor | Evidence |
|---|---|---|---|
| access_level | source · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| concepts[field].anzsrc:field:350208 | mapping · researchdata tees ac uk | vocabulary-mapper@1.0.0 | keywords['Risk Management'] |
| concepts[field].local:field:earth-environmental | mapping · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| concepts[field].local:field:engineering | mapping · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| concepts[field].local:field:humanities | mapping · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| concepts[field].local:field:life-sciences | mapping · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| concepts[field].local:field:social-science | mapping · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| description | source · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | /metadata/dc/description |
| license | source · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | /metadata/dc/rights |
| publication_date | source · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | |
| title | source · researchdata tees ac uk | connector:researchdata_tees_ac_uk@1.0.0 | /metadata/dc/title |