portfolio_management / processing.py
huggingface112's picture
fix return in total portfolio card
c121d97
import pandas as pd
import math
from datetime import datetime
import hvplot.pandas
import math
import numpy as np
# load data
def get_processing_result_of_stocks_df(stock_df, profile_df):
# add sector_name display_name name
ticker_sector_map = dict(
zip(profile_df['ticker'], profile_df['aggregate_sector']))
ticker_display_name_map = dict(
zip(profile_df['ticker'], profile_df['display_name']))
ticker_name_map = dict(zip(profile_df['ticker'], profile_df['name']))
stock_df['display_name'] = stock_df['ticker'].map(ticker_display_name_map)
stock_df['name'] = stock_df['ticker'].map(ticker_name_map)
stock_df['aggregate_sector'] = stock_df['ticker'].map(ticker_sector_map)
# calculate pct using closing price
stock_df.sort_values(by=['date'], inplace=True)
stock_df['pct'] = stock_df.groupby('ticker')['close'].pct_change()
# calculate weight TODO: think about how to optimize this
stock_df = stock_df.merge(profile_df[['weight', 'date', 'ticker']], on=[
'ticker', 'date'], how='outer')
stock_df.rename(columns={'weight': 'initial_weight'}, inplace=True)
# create if not in stock_df
stock_df['current_weight'] = float('nan')
stock_df['previous_weight'] = float('nan')
df_grouped = stock_df.groupby('ticker')
for _, group in df_grouped:
pre_w = float('nan')
ini_w = float('nan')
for index, row in group.iterrows():
cur_w = float('nan')
# if has initial weight, the following row all use this initial weight
if not pd.isna(row['initial_weight']):
ini_w = row['initial_weight']
pre_w = ini_w
cur_w = ini_w
# just calculate current weight based on previous weight
else:
cur_w = pre_w * (1 + row['pct'])
stock_df.loc[index, 'current_weight'] = cur_w
stock_df.loc[index, 'previous_weight'] = pre_w
stock_df.loc[index, 'initial_weight'] = ini_w
pre_w = cur_w
stock_df.rename(columns={'weight': 'initial_weight'}, inplace=True)
stock_df.dropna(subset=['close'], inplace=True)
# normalize weight
stock_df['prev_w_in_p'] = stock_df['previous_weight'] / \
stock_df.groupby('date')['previous_weight'].transform('sum')
stock_df['ini_w_in_p'] = stock_df['initial_weight'] / \
stock_df.groupby('date')['initial_weight'].transform('sum')
# calculate weighted pct in portfolio
stock_df['portfolio_pct'] = stock_df['pct'] * stock_df['prev_w_in_p']
# calculate weight in sector TODO: remove
stock_df['prev_w_in_sectore'] = stock_df['previous_weight'] / \
stock_df.groupby(['date', 'aggregate_sector'])[
'previous_weight'].transform('sum')
stock_df['ini_w_in_sector'] = stock_df['initial_weight'] / \
stock_df.groupby(['date', 'aggregate_sector'])[
'initial_weight'].transform('sum')
# weighted pct in sector TODO: remove
stock_df['sector_pct'] = stock_df['pct'] * stock_df['prev_w_in_sectore']
# portfolio return
stock_df['portfolio_return'] = (stock_df.groupby(
'ticker')['portfolio_pct'].cumprod() + 1) - 1
# stock_df['cum_p_pct'] = stock_df.groupby(
# 'ticker')['portfolio_pct'].cumsum()
# stock_df['portfolio_return'] = np.exp(stock_df['cum_p_pct']) - 1
# stock return
stock_df['return'] = (stock_df.groupby('ticker')['pct'].cumprod() + 1) - 1
# stock_df['cum_pct'] = stock_df.groupby(
# 'ticker')['pct'].cumsum()
# stock_df['return'] = np.exp(stock_df['cum_pct']) - 1
# drop intermediate columns
stock_df = stock_df.drop(columns=['cum_p_pct'])
# risk
stock_df['risk'] = stock_df.groupby('ticker')['pct']\
.transform(lambda x: x.rolling(len(x), min_periods=1).std() * math.sqrt(252))
# fill na aggregate_sector
stock_df['aggregate_sector'].fillna('其他', inplace=True)
# sector return
stock_df['sector_return'] = stock_df['ini_w_in_sector'] * \
stock_df['return']
return stock_df
# total return by date
def get_portfolio_evaluation(portfolio_stock, benchmark_stock, profile_df):
# agg by date
agg_p_stock = portfolio_stock\
.groupby('date', as_index=False)\
.agg({'portfolio_return': 'sum', 'portfolio_pct': 'sum'})
agg_b_stock = benchmark_stock\
.groupby('date', as_index=False)\
.agg({'portfolio_return': 'sum', 'portfolio_pct': 'sum'})
# add pct of benchmark
merged_df = pd.merge(agg_p_stock, agg_b_stock, on=[
'date'], how='left', suffixes=('_p', '_b'))
# portfolio mkt cap
mkt_adjustment = pd.DataFrame(profile_df.groupby('date')['weight'].sum())
mkt_adjustment.rename(columns={'weight': 'mkt_cap'}, inplace=True)
merged_df = merged_df.merge(mkt_adjustment, on=['date'], how='outer')
for i in range(len(merged_df)):
if pd.isna(merged_df.loc[i, 'mkt_cap']) and i > 0:
merged_df.loc[i, 'mkt_cap'] = merged_df.loc[i-1,
'mkt_cap'] * (1 + merged_df.loc[i, 'portfolio_pct_p'])
# drop where portfolio_return_p is nan
merged_df.dropna(subset=['portfolio_return_p'], inplace=True)
# portfolio pnl TODO seem I can just use current wegith to do this
merged_df['prev_mkt_cap'] = merged_df['mkt_cap'].shift(1)
merged_df['pnl'] = merged_df['prev_mkt_cap'] * merged_df['portfolio_pct_p']
# risk std(pct)
merged_df['risk'] = merged_df['portfolio_pct_p'].rolling(
len(merged_df), min_periods=1).std() * math.sqrt(252)
# active return
merged_df['active_return'] = merged_df['portfolio_pct_p'] - \
merged_df['portfolio_pct_b']
# tracking errro std(active return)
merged_df['tracking_error'] = merged_df['active_return'].rolling(
len(merged_df), min_periods=1).std() * math.sqrt(252)
# cum pnl
merged_df['cum_pnl'] = merged_df['pnl'].cumsum()
return merged_df
def get_portfolio_sector_evaluation(portfolio_stock, benchmark_df):
# aggregate on sector and day
p_sector_df = portfolio_stock.groupby(['date', 'aggregate_sector'], as_index=False)\
.agg({'prev_w_in_p': 'sum', 'ini_w_in_p': "sum", "current_weight": 'sum',
"portfolio_pct": "sum", 'sector_return': "sum", 'ini_w_in_sector': 'sum', "portfolio_return": "sum"})
b_sector_df = benchmark_df.groupby(['date', 'aggregate_sector'], as_index=False)\
.agg({'prev_w_in_p': 'sum', 'ini_w_in_p': "sum", "current_weight": 'sum',
"portfolio_pct": "sum", "portfolio_return": "sum", 'sector_return': "sum", 'ini_w_in_sector': 'sum'})
# merge portfolio and benchmark
merge_df = p_sector_df.merge(
b_sector_df, on=['date', 'aggregate_sector'], how='outer', suffixes=('_p', '_b'))
# to acomendate bhb result
merge_df.rename(columns={'sector_return_p': 'return_p',
'sector_return_b': 'return_b'}, inplace=True)
# active return
merge_df['active_return'] = merge_df['portfolio_return_p'] - \
merge_df['portfolio_return_b']
# risk
merge_df['risk'] = merge_df.groupby('aggregate_sector')['portfolio_pct_p']\
.transform(lambda x: x.rolling(len(x), min_periods=1).std() * math.sqrt(252))
# tracking error
merge_df['tracking_error'] = merge_df.groupby('aggregate_sector')['active_return']\
.transform(lambda x: x.rolling(len(x), min_periods=1).std() * math.sqrt(252))
return merge_df
# sector_eval_df = get_portfolio_sector_evaluation(portfolio_stock, benchmark_stock)
# sector_eval_df[sector_eval_df.date == datetime(2021, 10,13)].hvplot.bar(x='aggregate_sector', y=['portfolio_pct_p','portfolio_pct_b'], stacked=True, rot=90, title='sector pct')
def merge_on_date(calculated_ps, calculated_bs):
p_selected = calculated_ps.reset_index(
)[['ini_w_in_p', 'portfolio_return', 'date', 'ticker', 'display_name', 'return']]
b_selected = calculated_bs.reset_index(
)[['ini_w_in_p', 'portfolio_return', 'date', 'ticker', 'return']]
merged_stock_df = pd.merge(p_selected, b_selected, on=[
'date', 'ticker'], how='outer', suffixes=('_p', '_b'))
return merged_stock_df
# merged_df = merge_on_date(portfolio_stock, benchmark_stock)
def get_bhb_result(merged_stock_df):
# merged_stock_df['ini_w_in_p_p'].fillna(0, inplace=True)
# merged_stock_df['ini_w_in_p_b'].fillna(0, inplace=True)
# merged_stock_df['portfolio_return_b'].fillna(0, inplace=True)
# merged_stock_df['portfolio_return_p'].fillna(0, inplace=True)
# allocation
merged_stock_df['allocation'] = (merged_stock_df['ini_w_in_p_p'] - merged_stock_df['ini_w_in_p_b']) \
* merged_stock_df['return_b']
# selection
merged_stock_df['selection'] = merged_stock_df['ini_w_in_p_b'] * \
(merged_stock_df['return_p'] -
merged_stock_df['return_b'])
# interaction
merged_stock_df['interaction'] = (merged_stock_df['ini_w_in_p_p'] - merged_stock_df['ini_w_in_p_b']) * \
(merged_stock_df['return_p'] -
merged_stock_df['return_b'])
# excess
merged_stock_df['excess'] = merged_stock_df['portfolio_return_p'] - \
merged_stock_df['portfolio_return_b']
# replace inf with nan
# merged_stock_df.replace([np.inf, -np.inf], np.nan, inplace=True)
return merged_stock_df
def calculate_total_attribution_by_sector(calculated_p_stock, calculated_b_stock):
sector_view_p = calculated_p_stock.groupby(['date', 'aggregate_sector']).aggregate({
'prev_w_in_p': 'sum', 'sector_pct': 'sum'})
sector_view_b = calculated_b_stock.groupby(['date', 'aggregate_sector']).aggregate({
'prev_w_in_p': 'sum', 'sector_pct': 'sum'})
sector_view_p['weighted_return'] = sector_view_p.prev_w_in_p * \
sector_view_p.sector_pct
sector_view_b['weighted_return'] = sector_view_b.prev_w_in_p * \
sector_view_b.sector_pct
merged_df = pd.merge(sector_view_p, sector_view_b, left_index=True,
right_index=True, how='outer', suffixes=['_b', '_p'])
merged_df.fillna(0, inplace=True)
merged_df['active_return'] = merged_df['weighted_return_p'] - \
merged_df['weighted_return_b']
merged_df['allocation'] = (
merged_df.prev_w_in_p_p - merged_df.prev_w_in_p_b) * merged_df.sector_pct_b
merged_df['selection'] = (
merged_df.sector_pct_p - merged_df.sector_pct_b) * merged_df.prev_w_in_p_b
merged_df['interaction'] = (merged_df.sector_pct_p - merged_df.sector_pct_b) * (
merged_df.prev_w_in_p_p - merged_df.prev_w_in_p_b)
merged_df['notinal_return'] = merged_df.allocation + \
merged_df.selection + merged_df.interaction
return merged_df.reset_index()
def calculate_total_attribution(calculated_p_stock, calculated_b_stock):
'''
using pct between two row's data of ticker to calculate the attribute,
use this method if need to calculate weekly attribut, yearly attribut, etc.
'''
merged_df = pd.merge(calculated_b_stock, calculated_p_stock, on=[
'date', 'ticker'], how='outer', suffixes=['_b', '_p'])
df = merged_df[['pct_p', 'pct_b', 'prev_w_in_p_p',
'prev_w_in_p_b', 'ticker', 'date']]
df.fillna(0, inplace=True)
df['active_return'] = df.pct_p * \
df.prev_w_in_p_p - df.pct_b * df.prev_w_in_p_b
# allocation
df['allocation'] = (df.prev_w_in_p_p - df.prev_w_in_p_b) * df.pct_b
df['selection'] = (df.pct_p - df.pct_b) * df.prev_w_in_p_b
df['interaction'] = (df.pct_p - df.pct_b) * \
(df.prev_w_in_p_p - df.prev_w_in_p_b)
df['notional_return'] = df.allocation + df.selection + df.interaction
daily_bnb_result = df.groupby(['date']).aggregate(
{'allocation': 'sum', 'selection': 'sum', 'interaction': 'sum', 'notional_return': 'sum', 'active_return': 'sum'})
daily_bnb_result['date'] = daily_bnb_result.index
return daily_bnb_result.reset_index(drop=True)
# return df
def calcualte_return(df: pd.DataFrame, start, end):
'''
calcualte return within a window for each entry of ticker
inclusive
this is an intermediate step to calculate attribute
calculation using the weighted_log_return
'''
df = df[(df.time >= start) & (df.time <= end)].copy()
inter_df = df.sort_values(by=['time'])
inter_df['cum_log_return'] = inter_df.groupby(
'ticker')['log_return'].cumsum()
inter_df['percentage_return'] = np.exp(
inter_df['cum_log_return']) - 1
# patch
df['return'] = inter_df['percentage_return']
return df
def calculate_weighted_return(df: pd.DataFrame, start=None, end=None):
'''
calcualte weighted return within a window for each entry of ticker
inclusive
calculation using the weighted_log_return
'''
if start is None:
start = df.time.min()
if end is None:
end = df.time.max()
df = df[(df.time >= start) & (df.time <= end)].copy()
inter_df = df.sort_values(by=['time'])
inter_df['cum_weighted_log_return'] = inter_df.groupby(
'ticker')['weighted_log_return'].cumsum()
inter_df['percentage_return'] = np.exp(
inter_df['cum_weighted_log_return']) - 1
# patch
df['weighted_return'] = inter_df['percentage_return']
return df
def calculate_log_return(df: pd.DataFrame):
'''
patch df with the weighted log return and unweighted log return
calculated using close price
an intermediate step to calculate the weighted return,
the benefit using this is this can be aggregated with any time window
and work for both portfolio and benchmark
'''
inter_df = df.sort_values(by=['time'])
grouped = inter_df.groupby('ticker')
inter_df['prev_w'] = grouped['weight'].shift(1)
inter_df['prev_close'] = grouped['close'].shift(1)
inter_df['weighted_log_return'] = np.log(
(inter_df['close'] / inter_df['prev_close']) * inter_df['prev_w'])
inter_df['log_return'] = np.log(inter_df['close'] / inter_df['prev_close'])
# patch
df['log_return'] = inter_df['log_return']
df['weighted_log_return'] = inter_df['weighted_log_return']
# TODO: change to log return instead
# def calculate_return(df, start, end):
# df = df[(df.time >= start) & (df.time <= end)].copy()
# df.sort_values(by=['time'], inplace=True)
# grouped = df.groupby('ticker')
# df['return'] = (1 + grouped.pct.cumprod()) - 1
# return df
# def calculate_norm_return(df, start, end):
# '''
# calculate accumlative normalized return within a window
# for each entry of ticker using norm_pct
# normalized return is the weighted return in respect to
# the whole portfolio
# Return
# ------
# dataframe
# dataframe with return for each ticker
# '''
# df = df[(df.time >= start) & (df.time <= end)].copy()
# df.sort_values(by=['time'], inplace=True)
# grouped = df.groupby('ticker')
# df['norm_return'] = (1 + grouped.norm_pct.cumprod()) - 1
# return df
def _uniformize_time_series(profile_df):
'''
a helper function to create analytic_df
make each entry in the time series has the same dimension
by filling none holding stock that was held in previous period has 0 shares and 0 ini_w
Parameters
----------
profile_df : dataframe
portfolio profile dataframe or benchmark profile dataframe
Returns
-------
dataframe
dataframe with uniformized time series
'''
# Get unique time periods
time_periods = profile_df['time'].unique()
time_periods = sorted(time_periods)
# Iterate through time periods
for i in range(len(time_periods) - 1):
current_period = time_periods[i]
next_period = time_periods[i + 1]
current_df = profile_df[profile_df['time'] == current_period]
next_df = profile_df[profile_df['time'] == next_period]
tickers_current = current_df['ticker']
tickers_next = next_df['ticker']
# row that has ticker not in tickers_next
missing_tickers = current_df[~tickers_current.isin(
tickers_next)].copy()
if len(missing_tickers) != 0:
missing_tickers.time = next_period
missing_tickers.shares = 0
missing_tickers.ini_w = 0
profile_df = pd.concat(
[profile_df, missing_tickers], ignore_index=True)
# reset index
return profile_df.reset_index(drop=True)
def create_analytic_df(price_df, profile_df):
'''
create a df for analysis processing
filling information from profile df to stock price df
'''
# daily stock price use begin of the date, need to convert profile_df day to begin of the date
profile_df['time'] = profile_df['time'].map(
lambda x: datetime(x.year, x.month, x.day))
# make every time entry the same dimension
uni_profile_df = _uniformize_time_series(profile_df)
# TODO handle rename column here
df = price_df.merge(uni_profile_df, on=['ticker', 'time'], how='outer')
df.sort_values(by=['ticker', 'time'], inplace=True)
# add sector, aggregate_sector, display_name and name to missing rows
grouped = df.groupby('ticker')
df['sector'] = grouped['sector'].fillna(method='ffill')
df['aggregate_sector'] = grouped['aggregate_sector'].fillna(method='ffill')
df['display_name'] = grouped['display_name'].fillna(method='ffill')
df['name'] = grouped['name'].fillna(method='ffill')
# assign missing ini_w
df['ini_w'] = grouped['ini_w'].fillna(method='ffill')
# assign missing shares, benchmark doesn't have shares
if ('shares' in df.columns):
df['shares'] = grouped['shares'].fillna(method='ffill')
# remove profile and price entry before first profile entry from df
df.dropna(subset=['ini_w'], inplace=True)
df.dropna(subset=['close'], inplace=True)
# remove where weight is 0
df = df[df['ini_w'] != 0].copy()
return df
def calculate_attributes_between_dates(start, end, calculated_p_stock, calculated_b_stock):
'''
calculate the attributes to explain the active return between two time series entries, the time series entry
right after or at start and another time serie right before or at end
return a df with attributes to explain the active return between start and end time series
'''
p_ranged_df = calculated_p_stock[(calculated_p_stock.date >= start) & (
calculated_p_stock.date <= end)]
b_ranged_df = calculated_b_stock[(calculated_b_stock.date >= start) & (
calculated_b_stock.date <= end)]
p_end_df = p_ranged_df[p_ranged_df.date == p_ranged_df.date.max()]
p_concat = pd.concat([p_start_df, p_end_df])
# pct is unweighted return
p_concat['pct'] = p_concat.groupby('ticker')['close'].pct_change()
p_concat = p_concat.dropna(subset=['pct'])
p_concat['prev_w_in_p'] = p_concat['ticker'].map(
lambda x: p_start_df[p_start_df.ticker == x]['prev_w_in_p'].values[0])
# p_concatp_concat[['date', 'display_name', 'pct',
# 'close', 'prev_w_in_p', 'ini_w_in_p']]
# return and weight of benchmark
b_start_df = b_ranged_df[b_ranged_df.date == b_ranged_df.date.min()]
b_end_df = b_ranged_df[b_ranged_df.date == b_ranged_df.date.max()]
b_concat = pd.concat([b_start_df, b_end_df])
b_concat['pct'] = b_concat.groupby('ticker')['close'].pct_change()
b_concat = b_concat.dropna(subset=['pct'])
b_concat['prev_w_in_p'] = b_concat['ticker'].map(
lambda x: b_concat[b_concat.ticker == x]['prev_w_in_p'].values[0])
# b_concat = b_concat[['date', 'display_name', 'pct',
# 'close', 'prev_w_in_p', 'ini_w_in_p']]
merged_df = pd.merge(b_concat, p_concat, on=[
'ticker', 'date'], suffixes=('_b', '_p'), how='outer')
df = merged_df[['display_name_p', 'display_name_b', 'ticker',
'pct_b', 'pct_p', 'prev_w_in_p_b', 'prev_w_in_p_p']].copy()
# indicate weather stock is in portfolio
df['in_portfolio'] = False
df.loc[df.display_name_p.notnull(), 'in_portfolio'] = True
# fill display_name
df['display_name_p'] = df['display_name_p'].fillna(df['display_name_b'])
df['display_name_b'] = df['display_name_b'].fillna(df['display_name_p'])
# treat nan weight and pct as 0
df.fillna(0, inplace=True)
# allocation, selection, interaction, notional return, active return
df['allocation'] = (df.prev_w_in_p_p - df.prev_w_in_p_b) * df.pct_b
df['selection'] = (df.pct_p - df.pct_b) * df.prev_w_in_p_b
df['interaction'] = (df.pct_p - df.pct_b) * \
(df.prev_w_in_p_p - df.prev_w_in_p_b)
df['notional_return'] = df.allocation + df.selection + df.interaction
# weighted return
df['return'] = df.prev_w_in_p_p * df.pct_p
# weight * prev_w is the weighted return
df['active_return'] = df.prev_w_in_p_p * \
df.pct_p - df.prev_w_in_p_b * df.pct_b
return df
def calculate_cum_pnl(df, start, end):
'''return df with cumulative pnl within a window'''
df = df[df.time.between(start, end, inclusive='both')].copy()
df.sort_values(by=['time'], inplace=True)
grouped = df.groupby('ticker')
df['cum_pnl'] = grouped['pnl'].cumsum()
return df
def change_resolution(df, freq='W'):
'''
aggregate by keeping the first entry of the freq period,
the resolution of the df, default to weekly
'''
df['freq'] = pd.to_datetime(df['date']).dt.to_period(freq)
return df.groupby('freq').first().reset_index()
def calculate_pnl(df):
'''
patch df with pnl column
pnl is calculated using cash
'''
df.sort_values(by=['time'], inplace=True)
grouped = df.groupby('ticker')
df['pnl'] = grouped['cash'].diff()
def calculate_pct(df):
'''
calculate pct using close price
'''
df.sort_values(by=['time'], inplace=True)
grouped = df.groupby('ticker')
df['pct'] = grouped['close'].pct_change()
def calculate_norm_pct(df):
'''
use weight to calculate the norm pct
'''
df['norm_pct'] = df.weight * df.pct
def calculate_weight_using_cash(df):
'''
patch df with current weight for each entry
use cash to calculate weight
Parameters
----------
df : dataframe
dataframe with processed cash column
'''
df['weight'] = float('nan')
grouped = df.groupby('time')
df.weight = grouped.cash.transform(lambda x: x / x.sum())
def calculate_cash(df):
'''
patch df with cash column
cash = shares * close
Parameters
----------
df : dataframe
dataframe with processed shares and close column
'''
df['cash'] = df['shares'] * df['close']
def calculate_weight_using_pct(df):
'''
calculate weight using weight column
calculate benchmark stock using this, since benchmark stock
doesn't have share information
Parameters
----------
df: dataframe
dataframe with weight, pct on closing and ini_w columns
'''
df.sort_values(by=['time'], inplace=True)
grouped = df.groupby('ticker')
for _, group in grouped:
prev_row = None
for index, row in group.iterrows():
if prev_row is None:
prev_row = df.loc[index]
continue
df.loc[index, 'weight'] = prev_row['weight'] * (1 + row['pct'])
prev_row = df.loc[index]
# normalize weight
grouped = df.groupby('time')
normed_weight = grouped['weight'].transform(lambda x: x / x.sum())
df['weight'] = normed_weight
def calculate_periodic_BHB(agg_b, agg_p):
'''
calculate periodic BHB for each ticker entry
the accumulated return of a period will be used,
the weight is the weight at the began of the period
Note:
----
if only one entry in a period, the return will be nan,
Parameters
----------
agg_b : pd.DataFrame
aggregated benchmark analytic_df
agg_p : pd.DataFrame
aggregated portfolio analytic_df
Returns
-------
pd.DataFrame
periodic BHB result contain allocation, interaction, selection, nominal_active_return and active_return
'''
# merge both
agg_b['in_benchmark'] = True
agg_p['in_portfolio'] = True
selected_column = ['ticker', 'aggregate_sector',
'prev_weight', 'return', 'period', 'display_name']
columns_to_fill = ['return_b', 'return_p',
'prev_weight_p', 'prev_weight_b']
merged_df = pd.merge(agg_b[['in_benchmark'] + selected_column],
agg_p,
how='outer',
on=['period', 'ticker'],
suffixes=('_b', '_p'))
merged_df[columns_to_fill] = merged_df[columns_to_fill].fillna(0)
# complement fill aggregate_sector and display_name
post_process_merged_analytic_df(merged_df)
# merged_df['in_portfolio'].fillna(False, inplace=True)
# merged_df['in_benchmark'].fillna(False, inplace=True)
# merged_df['aggregate_sector_b'].fillna(
# merged_df['aggregate_sector_p'], inplace=True)
# merged_df["display_name_b"].fillna(merged_df.display_name_p, inplace=True)
# merged_df.rename(columns={'aggregate_sector_b': 'aggregate_sector',
# 'display_name_b': 'display_name',
# }, inplace=True)
# merged_df.drop(columns=['aggregate_sector_p',
# 'display_name_p'], inplace=True)
# calculate active return
merged_df['weighted_return_p'] = merged_df['return_p'] * \
merged_df['prev_weight_p']
merged_df['weighted_return_b'] = merged_df['return_b'] * \
merged_df['prev_weight_b']
merged_df['active_return'] = merged_df['weighted_return_p'] - \
merged_df['weighted_return_b']
# allocation, interaction, selection and nominal active return
merged_df['allocation'] = (
merged_df.prev_weight_p - merged_df.prev_weight_b) * merged_df.return_b
merged_df['interaction'] = (merged_df.return_p - merged_df.return_b) \
* (merged_df.prev_weight_p - merged_df.prev_weight_b)
merged_df['selection'] = (
merged_df.return_p - merged_df.return_b) * merged_df.prev_weight_b
merged_df['notional_active_return'] = merged_df['allocation'] + \
merged_df['interaction'] + merged_df['selection']
return merged_df
def post_process_merged_analytic_df(merged_df):
'''
fill nan in some column on merged analytic_df
patch aggregate_sector, display_name, in_portfolio, in_benchmark,
'''
# merge both
merged_df['in_portfolio'].fillna(False, inplace=True)
merged_df['in_benchmark'].fillna(False, inplace=True)
# complement fill aggregate_sector and display_name
merged_df['aggregate_sector_b'].fillna(
merged_df['aggregate_sector_p'], inplace=True)
merged_df["display_name_b"].fillna(merged_df.display_name_p, inplace=True)
merged_df.rename(columns={'aggregate_sector_b': 'aggregate_sector',
'display_name_b': 'display_name',
}, inplace=True)
merged_df.drop(columns=['aggregate_sector_p',
'display_name_p'], inplace=True)
def calculate_weighted_pct(df):
'''
patch df with weighted pct, if pct is not calculated patch that as well
'''
if 'pct' not in df.columns:
calculate_pct(df)
df['weighted_pct'] = df['pct'] * df['weight']
def aggregate_analytic_df_by_period(df, freq):
'''
return an aggregated analytic_df with weekly, monthly, yearly or daily frequency
each ticker will have 1 rows for each period,
cash is the value at the end of the period.
shares is the # of shares at end of the period.
prev_weight is the weight of that ticker entry at end of previous period.
log_return is sum of log_return within the period.
weight is the weight of that ticker entry at end of the period.
return is from last of previous period to last of current period.
Parameters
----------
df : pd.DataFrame
analytic_df, dateframe of stock price has weight, log_return information
freq : str
weekly: 'W-MON' start on tuesday end on monday,
monthly: 'M',
yearly: 'Y',
daily: "D"
Returns
-------
pd.DataFrame
aggregated analytic_df with weekly, monthly, yearly or daily frequency
'''
# create prev_weight
df.sort_values(by=['time'], inplace=True)
grouped = df.groupby('ticker')
df['prev_weight'] = grouped['weight'].shift(1)
# aggregate by summing log return and keep the first prev_weight
df['period'] = df.time.dt.to_period(freq)
grouped = df.groupby(['period', 'ticker'])
agg_rules = {'display_name': 'first',
'aggregate_sector': 'first',
'prev_weight': 'first',
'log_return': 'sum',
'weight': 'last'
}
# handle aggregate on benchamrk
if 'cash' in df.columns and 'shares' in df.columns:
agg_rules['cash'] = 'last'
agg_rules['shares'] = 'last'
# aggregation
agg_df = grouped.agg(agg_rules)
# calculate return by convert sum log return to percentage return
agg_df['return'] = np.exp(agg_df.log_return) - 1
# make it a one dimensional dataframe
agg_df.reset_index(inplace=True)
return agg_df
def aggregate_bhb_df(df, by="total"):
keys = ['period', 'aggregate_sector'] if by == 'sector' else ['period']
agg_df = df.groupby(keys)[['active_return',
'allocation',
'interaction',
'selection',
'notional_active_return']].sum()
return agg_df
def calculate_draw_down_on(df, key='weighted_return'):
'''
calculate draw down on anlaytic df based on either return or accumulative pnl
Parameters
----------
df : pd.DataFrame
analytic df
key : str, optional
cum_pnl or weighted_return, by default 'weighted_return'
'''
if key not in df.columns:
raise ValueError(f'{key} not in df')
else:
df = df.sort_values(by=['time'])
df[f'rolling_max_{key}'] = df[key].rolling(
window=len(df), min_periods=1).max()
if key == 'pnl':
df['drawn_down'] = df[key] / df[f'rolling_max_{key}']
else:
df['drawn_down'] = (1 + df[key]) / (1 + df[f'rolling_max_{key}'])
return df
def _daily_return(df: pd.DataFrame):
'''
patch df with daily return
helper function for get_portfolio_anlaysis
'''
prev_ws = df.groupby('ticker')['weight'].shift(1)
df['return'] = df.pct * prev_ws
def _agg_on_day(df: pd.DataFrame):
df['period'] = df.time.dt.to_period('D')
on_column = {'return': 'sum'}
if 'cash' in df.columns:
on_column['cash'] = 'sum'
if 'pnl' in df.columns:
on_column['pnl'] = 'sum'
agg_df = df.groupby('period').agg(on_column)
return agg_df.reset_index()
def get_portfolio_anlaysis(analytic_p, analytic_b):
'''
return df contain daily pnl, daily return, accumulative return
risk and tracking error of portfolio and benchmark
'''
# daily return(weighted pct)
_daily_return(analytic_p)
_daily_return(analytic_b)
# aggregate to daily
agg_p = _agg_on_day(analytic_p)
agg_b = _agg_on_day(analytic_b)
# accumulative return
agg_p['cum_return'] = (agg_p['return']+1).cumprod() - 1
agg_b['cum_return'] = (agg_b['return']+1).cumprod() - 1
# merge
merged_df = pd.merge(
agg_p, agg_b, on=['period'], how='outer', suffixes=('_p', '_b'))
merged_df.sort_values('period', inplace=True)
# risk, using population deviation
merged_df['risk'] = merged_df['return_p'].expanding(min_periods=1).std()
# tracking error
merged_df['tracking_error'] = (
merged_df['return_p'] - merged_df['return_b']).expanding(min_periods=1).std()
return merged_df