- S&P 500 (SPY) vs Intermediate-term US Treasuries (IEF)
- Gold (GLD) vs Long-term US Treasuries (TLT)
- US Real Estate (VNQ) vs Intermediate-term US Treasuries (IEF)
IEF - 7-10 years bonds
TLT - 20+ bonds
IEF - 7-10 years bonds
TLT - 20+ bonds
All assets used: {'SPY', 'VNQ', 'GLD', 'IEF', 'TLT'}
We will use yahoo finance client to load dividends and prices history for our ASSETS.
| property | Close | Dividends | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| asset | GLD | IEF | SPY | TLT | VNQ | GLD | IEF | SPY | TLT | VNQ |
| Date | ||||||||||
| 2004-11-18 | 44.380001 | 85.769997 | 118.739998 | 88.970001 | 54.180000 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2004-11-19 | 44.779999 | 85.300003 | 117.419998 | 88.260002 | 53.619999 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2004-11-22 | 44.950001 | 85.360001 | 117.980003 | 88.720001 | 53.990002 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2004-11-23 | 44.750000 | 85.279999 | 118.160004 | 88.830002 | 54.220001 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2004-11-24 | 45.049999 | 85.400002 | 118.440002 | 88.830002 | 55.160000 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Create upper and lower channels for risk-on assets defined in the CONFIG.
| capital | cash | portfolio | |
|---|---|---|---|
| Date | |||
| 2006-02-28 | 9991.900000 | 154.830234 | [{'asset': 'IEF', 'amount': 108.0}, {'asset': ... |
| 2006-03-01 | 10041.550162 | 154.830234 | [{'asset': 'IEF', 'amount': 108.0}, {'asset': ... |
| 2006-03-02 | 10074.980395 | 154.830234 | [{'asset': 'IEF', 'amount': 108.0}, {'asset': ... |
| 2006-03-03 | 10014.480040 | 154.830234 | [{'asset': 'IEF', 'amount': 108.0}, {'asset': ... |
| 2006-03-06 | 9997.960192 | 154.830234 | [{'asset': 'IEF', 'amount': 108.0}, {'asset': ... |
| capital | cash | portfolio | |
|---|---|---|---|
| Date | |||
| 2023-01-09 | 32452.033037 | 266.30385 | [{'asset': 'IEF', 'amount': 108.0}, {'asset': ... |
| 2023-01-10 | 32137.864091 | 266.30385 | [{'asset': 'IEF', 'amount': 108.0}, {'asset': ... |
| 2023-01-11 | 32448.013749 | 266.30385 | [{'asset': 'IEF', 'amount': 108.0}, {'asset': ... |
| 2023-01-12 | 32852.333345 | 266.30385 | [{'asset': 'IEF', 'amount': 108.0}, {'asset': ... |
| 2023-01-13 | 32633.823388 | 266.30385 | [{'asset': 'IEF', 'amount': 108.0}, {'asset': ... |
Volume traded 5731 stocks Fees paid 114.62$ Dividends 7738.56$
<AxesSubplot: xlabel='Date'>
Initial investment at 2006-02-28: 10000 Last value at 2023-01-13: 32660.28
Annualized return 7.27% Annualized volatility 10.76% Sharpe ratio 0.68 Annualized downside volatility 8.04% Sortino ratio 0.90 (on the basis of 0.00% risk free rate)
| change | total | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| month | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 | 12 | |
| year | |||||||||||||
| 2006 | NaN | 0.00% | 3.25% | 3.25% | -2.25% | -0.15% | 2.50% | 1.32% | -0.13% | 3.45% | 4.48% | -0.97% | 15.50% |
| 2007 | 4.25% | -0.72% | -0.75% | 2.09% | 0.22% | -4.08% | -1.24% | 1.52% | 4.69% | 3.18% | -0.53% | 2.00% | 10.75% |
| 2008 | 2.98% | 2.56% | -1.26% | -3.01% | -0.90% | 2.22% | -0.06% | -1.49% | 0.35% | -1.23% | 9.71% | 7.87% | 18.32% |
| 2009 | -6.89% | -1.01% | 3.42% | -4.01% | -2.54% | -1.25% | 2.81% | 5.60% | 3.42% | -0.92% | 8.44% | 0.32% | 6.57% |
| 2010 | -3.46% | 3.94% | 5.16% | 4.83% | -3.41% | -2.60% | 3.38% | 0.06% | 5.69% | 4.01% | 0.08% | 4.25% | 23.46% |
| 2011 | -0.32% | 4.66% | -0.10% | 5.77% | -0.50% | -2.54% | 2.65% | -3.69% | -5.34% | -0.23% | 0.93% | -2.47% | -1.77% |
| 2012 | 3.75% | -0.34% | 2.32% | 0.67% | -4.26% | 2.41% | 2.29% | 0.35% | -0.67% | -1.07% | 0.48% | 0.56% | 6.43% |
| 2013 | 1.86% | 1.22% | 2.01% | 4.35% | -3.39% | -2.20% | 1.43% | -3.78% | 2.38% | 3.54% | -1.36% | 0.39% | 6.22% |
| 2014 | 2.21% | 3.31% | 0.61% | 2.02% | 2.51% | 0.87% | -0.19% | 3.81% | -3.25% | 4.92% | 2.49% | 1.51% | 22.61% |
| 2015 | 4.52% | -1.63% | 0.35% | -2.77% | -0.45% | -3.58% | 4.04% | -4.32% | 0.68% | 4.43% | -0.37% | -0.21% | 0.19% |
| 2016 | -2.05% | -0.19% | 0.22% | 0.80% | -1.37% | 5.22% | 3.22% | -2.33% | -0.43% | -3.41% | -1.40% | 1.96% | -0.11% |
| 2017 | 0.79% | 2.97% | -1.04% | 0.91% | 0.85% | 1.10% | 0.86% | 1.10% | -0.20% | 0.46% | 2.11% | 0.83% | 11.23% |
| 2018 | -1.26% | -2.21% | -0.32% | -0.60% | 0.71% | -0.39% | 0.50% | 2.34% | -1.69% | -4.28% | 2.71% | -3.91% | -8.32% |
| 2019 | 0.56% | -0.89% | 4.04% | -0.65% | 0.21% | 4.40% | 1.03% | 3.34% | -0.05% | 1.94% | -0.39% | 2.34% | 16.88% |
| 2020 | 1.91% | -5.11% | -3.52% | 2.49% | 1.07% | 0.95% | 4.27% | 0.45% | -2.54% | -1.47% | 1.95% | 2.97% | 3.02% |
| 2021 | -1.28% | 0.38% | 1.41% | 5.23% | 0.50% | 2.93% | 3.47% | 1.63% | -4.47% | 5.54% | -0.22% | 4.22% | 20.61% |
| 2022 | -5.68% | -2.64% | 3.52% | -4.96% | -4.72% | -1.10% | 1.41% | -4.09% | -5.87% | -2.90% | 4.62% | -1.87% | -22.29% |
| 2023 | 4.57% | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | 4.57% |
Longest drawdowns
| days | months | years | from_date | to_date | max_depth | max_dd_date | days_d | months_d | years_d | |
|---|---|---|---|---|---|---|---|---|---|---|
| 0 | 620 | 20.37 | 1.70 | 2011-07-25 | 2013-04-05 | -12.87 | 2011-10-20 | 87 | 2.86 | 0.24 |
| 1 | 568 | 18.66 | 1.56 | 2017-12-19 | 2019-07-10 | -10.09 | 2018-12-26 | 372 | 12.22 | 1.02 |
| 2 | 549 | 18.04 | 1.50 | 2015-01-27 | 2016-07-29 | -10.46 | 2015-08-25 | 210 | 6.90 | 0.57 |
| 3 | 414 | 13.60 | 1.13 | 2020-02-24 | 2021-04-13 | -16.78 | 2020-03-19 | 24 | 0.79 | 0.07 |
| 4 | 375 | 12.32 | 1.03 | 2022-01-03 | 2023-01-13 | -25.96 | 2022-10-24 | 294 | 9.66 | 0.80 |
| 5 | 315 | 10.35 | 0.86 | 2016-08-02 | 2017-06-13 | -8.38 | 2016-12-01 | 121 | 3.98 | 0.33 |
| 6 | 281 | 9.23 | 0.77 | 2013-05-22 | 2014-02-27 | -10.34 | 2013-08-19 | 89 | 2.92 | 0.24 |
| 7 | 265 | 8.71 | 0.73 | 2008-12-31 | 2009-09-22 | -15.45 | 2009-06-10 | 161 | 5.29 | 0.44 |
| 8 | 247 | 8.11 | 0.68 | 2008-03-18 | 2008-11-20 | -8.54 | 2008-06-13 | 87 | 2.86 | 0.24 |
| 9 | 238 | 7.82 | 0.65 | 2007-02-22 | 2007-10-18 | -7.96 | 2007-08-16 | 175 | 5.75 | 0.48 |
Deepest drawdowns
| days | months | years | from_date | to_date | max_depth | max_dd_date | days_d | months_d | years_d | |
|---|---|---|---|---|---|---|---|---|---|---|
| 0 | 375 | 12.32 | 1.03 | 2022-01-03 | 2023-01-13 | -25.96 | 2022-10-24 | 294 | 9.66 | 0.80 |
| 1 | 414 | 13.60 | 1.13 | 2020-02-24 | 2021-04-13 | -16.78 | 2020-03-19 | 24 | 0.79 | 0.07 |
| 2 | 265 | 8.71 | 0.73 | 2008-12-31 | 2009-09-22 | -15.45 | 2009-06-10 | 161 | 5.29 | 0.44 |
| 3 | 620 | 20.37 | 1.70 | 2011-07-25 | 2013-04-05 | -12.87 | 2011-10-20 | 87 | 2.86 | 0.24 |
| 4 | 161 | 5.29 | 0.44 | 2006-05-11 | 2006-10-19 | -10.90 | 2006-06-14 | 34 | 1.12 | 0.09 |
| 5 | 130 | 4.27 | 0.36 | 2010-05-13 | 2010-09-20 | -10.74 | 2010-07-06 | 54 | 1.77 | 0.15 |
| 6 | 549 | 18.04 | 1.50 | 2015-01-27 | 2016-07-29 | -10.46 | 2015-08-25 | 210 | 6.90 | 0.57 |
| 7 | 281 | 9.23 | 0.77 | 2013-05-22 | 2014-02-27 | -10.34 | 2013-08-19 | 89 | 2.92 | 0.24 |
| 8 | 568 | 18.66 | 1.56 | 2017-12-19 | 2019-07-10 | -10.09 | 2018-12-26 | 372 | 12.22 | 1.02 |
| 9 | 247 | 8.11 | 0.68 | 2008-03-18 | 2008-11-20 | -8.54 | 2008-06-13 | 87 | 2.86 | 0.24 |
Quantiles: 50.0% of time expected drawdown is no more than 3.59% theoretically or 4.63% actually 75.0% of time expected drawdown is no more than 7.19% theoretically or 7.19% actually 95.0% of time expected drawdown is no more than 15.53% theoretically or 13.64% actually 99.0% of time expected drawdown is no more than 23.87% theoretically or 21.80% actually Max DD was 25.96% Last DD (2023-01-13) was 18.74%
IEF: 0.33% IEF: 0.33% TLT: 0.34%
| Defensive asset | Lower | Current price | Upper | Risk asset | |
|---|---|---|---|---|---|
| 0 | IEF | 356.559998 | 398.500000 | 429.700012 | SPY |
| 1 | IEF | 76.139999 | 88.180000 | 102.129997 | VNQ |
| 2 | TLT | 151.229996 | 178.759995 | 191.509995 | GLD |