%matplotlib inline
# importing libraries
import matplotlib.pyplot as plt
import plotly.graph_objs as go
import plotly.offline as py
import cufflinks as cf
import seaborn as sns
import pandas as pd
import numpy as np
import quandl
import plotly
import time
from plotly.offline import download_plotlyjs, init_notebook_mode, plot, iplot
from IPython.display import Markdown, display
from matplotlib.ticker import FuncFormatter
from pandas.core.base import PandasObject
from datetime import datetime
pd.options.display.float_format = '{:,.2f}'.format
# Setting pandas dataframe display options
pd.set_option("display.max_rows", 20)
pd.set_option('display.width', 800)
pd.set_option('max_colwidth', 800)
# Set plotly offline
init_notebook_mode(connected=True)
# Set matplotlib style
plt.style.use('seaborn')
# Set cufflinks offline
cf.go_offline()
# Defining today's Date
from datetime import date
today = date.today()
import PortfolioLab as pl
MSCI = pl.compute_growth_index(pl.read_xls_MSCI(tickers=['MSCI_USA_USD_1Year', 'MSCI_USA_EUR_1Year'], nomes=['MSCI USA', 'MSCI USA sem hedge'])['2019-12-31':])
MSCI.iplot(dimensions=pl.dimensions)
MSCI.to_csv('MSCI_hedged.csv')
pl.compute_performance_table(MSCI)
Performance from 2019-12-31 to 2020-09-22 (≈ 0.7 years)
CAGR | Return | StdDev | Sharpe | Max DD | MAR | |
---|---|---|---|---|---|---|
MSCI USA | 7.86% | 5.69% | 38.50% | 0.20 | -34.12% | 0.23 |
MSCI USA sem hedge | 1.85% | 1.35% | 38.94% | 0.05 | -33.92% | 0.05 |
import pandas_datareader as pdr
EUR_USD = pdr.get_data_fred('DEXUSEU')['2019-12-31':].dropna()
EUR_USD.to_csv('EUR_USD.csv')
EUR_USD.iplot(dimensions=pl.dimensions, color='royalblue', title='EUR/USD')
pd.options.display.float_format = '{:,.4f}'.format
quandl.get("ECB/EURUSD", authtoken="HU7i-qDWTo-fWcBzRZ_f").mean()
Value 1.1998 dtype: float64
import pandas_datareader as pdr
EUR_USD = quandl.get("ECB/EURUSD", authtoken="HU7i-qDWTo-fWcBzRZ_f")['2019-12-31':]
EUR_USD.to_csv('EUR_USD.csv')
EUR_USD.iplot(dimensions=pl.dimensions, color='royalblue', title='EUR/USD')