Portfolio Lab

This is a GUI for the Python package portfolioperformance.

Models Built-in

• Equal weighted model (Benchmark)
• Minimum-variance
• Minimum-varaince with shortsale constraints model
• Minimum-varaince with generalized constraints (Jagannathan Ma) model
• Kan Zhou equal weighted model
• Mean-varaince (Markowitz) model
• Mean-variance with shortsale constraints model
• Kan Zhou (2007) "three-fund" model
• Bayes-stein model
• Bayes-stein with shortsale constraints model
• MacKinlay and Pastor’s (2000) model

Data

Locations

    data/old # contains old data from original paper

    data/new/orig/<category> # contains new uncleaned data for each category/sector
    data/new/clean/<category> # contains new cleaned data; removed unused columns (Only for SPSectors)
    data/new/pre_processed/<category>.csv # contains new preprocessed data; combined all .csv files in clean/<category>
    data/new/processed/<category>.csv # contains new processed data; 

Sources

• Ken French's Data Library

  • 25 Portfolios Formed on Size and Book-to-Market (5 x 5)
  • 10 Industry Portfolios
  • Fama/French Developed 3 Factors
  • Country Portfolios formed on B/M, E/P, CE/P, and D/P

• Yahoo Finance

  • S&P 500 Sector ETFs
  • S&P 500 Index
  • 3 Month T-Bill