Description

asset\_class ============ A simple library that uses r-squared maximization techniques and asset sub class ETFs (that I personally chose) to determine asset class information, as well as historical asset subclass information for a given asset Installation ------------ :: $git clone https://github.com/benjaminmgross/asset_class $ cd asset_class $python setup.py install Quickstart ---------- Let's say we had some fund, for instance the `Franklin Templeton Growth Allocation Fund A <http://finance.yahoo.com/q/pr?s=FGTIX+Profile>`__ -- ticker FGTIX -- against which we we wanted to do historical attribution. In just a couple of key strokes, we can come up with quarterly attribution analysis to see where returns were coming from :: import pandas.io.data as web import asset_class fgtix = web.DataReader('FGTIX', 'yahoo', start = '01/01/2000')['Adj Close'] rolling_weights = asset_class.asset_class_and_subclass_by_interval(fgtix, 'quarterly') And that's it. Let's see the subclass attributions that adjusted r-squared algorithm came up with. :: import matplotlib.pyplot as plt #create the stacked area graph fig = plt.figure() ax = plt.subplot2grid((1,1), (0,0)) stack_coll = ax.stackplot(rolling_attr.index, rolling_attr.values.transpose()) ax.set_ylim(0, 1.) proxy_rects = [plt.Rectangle( (0,0), 1, 1, fc = pc.get_facecolor()[0]) for pc in stack_coll] ax.legend(proxy_rects, rolling_attr.columns.values.tolist(), ncol = 3, loc = 8, bbox_to_anchor = (0.5, -0.15)) plt.title("Asset Subclass Attribution Over Time", fontsize = 16) plt.show() .. figure:: ./images/subclass_overtime.png :alt: sub\_classes sub\_classes Dependencies ------------ Obvious Ones: ~~~~~~~~~~~~~ ``pandas`` ``numpy`` ``scipy.optimize`` (uses the ``TNC`` method to optimize the objective function of r-squared) Not So Obvious: ~~~~~~~~~~~~~~~ Another one of my open source repositories ```visualize_wealth`` <https://github.com/benjaminmgross/wealth-viz>`__ > But that's just for adjusted r-squared functionality, you could easily clone and hack it yourself without that library Status ------ Still very much a WIP, although I've added [Sphinx]http://sphinx-doc.org/) docstrings to auto generate documentation