Portfolio Statistics with Java, Jupyter & YahooFinance
Quantitative Portfolio Analysis
Calculating fundamental portfolio statistics is a requisite to more complex analysis of portfolio attributes and performance, such as evaluating the risk adjusted rate of return (Sharpe Ratio) to optimize allocation of capital within a portfolio, performing benchmark analysis (S&P 500 vs Portfolio Returns), or using Capital Asset Pricing Model (CAPM) as a guide to portfolio construction.
Using the unlikely pairing of Tablesaw for Java & Jupyter Notebooks (Google Colab), we’ll review very basic techniques for calculating portfolio statistics. Yahoo Finance will provide the Financial Data Sets for our analysis.
Your work stemming directly from this newfound knowledge may not inspire Christian Bale to take your name in his next film, but maybe your glowing enthusiasm for what you ‘might do’ will inspire your kids to re-enact your money dance in their next living room production.
If you’d like to follow along with a Complete Google Colab Notebook, open the following GitHub gist in your own Colab account.
Yahoo Finance
Yahoo Finance has been a great source for news, stock analysis, portfolio management, & a wide range of financial data sets. The free version provides access to up to 5 years of financial statements (cash flow, income & balance sheet statements), as well as current & historical stock prices. A paid membership for Yahoo Finance Plus gives you up to 30 years of the same data, access to more exclusive analysis, including research reports from Morningstar & Argus, freedom from ads, and many other features packaged in two separate products (essential & lite).
Finance Quotes API for Yahoo Finance (Java)
In this article, we’re going to focus on the Java library (yahoofinance-api) made available on GitHub by Stijn Strickx. The yahoofinance-api library is open sourced under the MIT License. If this article inspires interest in contributing to the work started by Stijn, I highly recommend reading up on the repository’s posted issues, getting more familiar with the code, and contributing to the project by solving an outstanding issue or adding some small feature. To learn more about contributing to Open Source projects, I recommend reading opensource.guide/how-to-contribute.
Portfolio Statistics
normalize prices
portfolio value
daily returns
cumulative return
average daily returns
standard deviation of average daily returns
sharpe ratio
Getting Started
I’ve already introduced Google Colab (hosted Jupyter Notebooks), and how to get started installing and using a Java Kernel, in several of my articles, including Java, Jupyter and Google Colab. For an abbreviated approach to wiring Java in your Google Colab instance, the Appendix at the bottom of this article will walk you through the basics.
If you’d like to follow along with a Complete Google Colab Notebook, open the following GitHub gist in your own Colab account.
