project-1

Requirements

• Anaconda

Installation

• Clone this repo

cd /path/to/project-1
conda create -n <your-env-name> python=3.9.5
conda activate <your-env-name>
pip install -r requirements.txt
streamlit run app.py

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Summary of Findings

The following analysis was performed using a chosen portfolio of [BTC, ETH, SOL] with weightings of [60, 20, 20] respectively.

How has your portfolio performed in the past year?

This graph shows how all the assets have visually performed each day over the previous year. Visually this should give a trader an idea on volatility and therefore risk appetite for assets held in the portfolio build

How has your portfolio performed cumulatively in the past year?

Cumulative returns shows each asset's respective return over a period of 1 year, giving an idea on each assets overall returns.

How strongly correlated is your portfolio to BTC?

This rolling 30 day average of the portfolios correlation measured to the closing price of Bitcoin shows the strength of the direction that the portfolio moves relative to the movement in the price of bitcoin

How volatile is your portfolio?

The rolling 30 day portfolio beta shows how volatile the portfolio is relative to the movement in the price of Bitcoin. If portfolio beta is above 1 it means that on average, the portfolio is more volatile than Bitcoin and if Beta is below 1, then it means the portfolio is less volatile.

How might your portfolio perform in one year?

A Monte Carlo Simulation constructs 100 probability distributions of the possible outcomes of the portfolio, based on the prior 12 months of historical data.

What is the most probable expected portfolio return in one year?

The probability plot will provide an indication of the most likely outcome of the selected portfolio within a 95% confidence interval, which is 1 standard deviation.

Calculate the efficient frontier

The efficient frontier is the set of optimal portfolios that offer the highest expected return for a defined level of risk or the lowest risk for a given level of expected return. Portfolios that lie below the efficient frontier are sub-optimal because they do not provide enough return for the level of risk.

Find the portfolio with the minimum volatility

The efficient portfolio weightings with the minimum volatility:

Asset	Weighting (%)
BTC	95.2
SOL	3.25
ETH	1.56

Find the portfolio with the maximum Sharpe Ratio, also called the tangency portfolio

The efficient portfolio weightings with the maximum Sharpe Ratio:

Asset	Weighting (%)
SOL	97.4
BTC	2.46
ETH	0.191

Given a target volatility of 0.85, find the portfolio with the maximum Sharpe Ratio

The efficient portfolio weightings with a target volatility of 0.85 are:

Asset	Weighting (%)
SOL	49
BTC	39.1
ETH	12

Given an expected return of 1.5, find the portfolio with the minimum volatility

The efficient portfolio weightings with an expected return of 1.5 are:

Asset	Weighting (%)
BTC	58.4
SOL	36
ETH	5.64