Risk Parity Portfolio
PhamMinhTam
2025-03-25
Download Stock Data
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## Successes: 20 fails: 0## Saving stock data to local file C:/Users/Admin/OneDrive - 亞洲大å¸[Asia University]/4th year/2nd Sem/2b. Topics in Financial Institution and Management/stockdata_from_2019-01-01_to_2025-03-20_(0f9cf120d38e5ba793ee9b2a12c3efc1).RData for future use.Optimization
In this section we assign our riskParity & max_sharpe_ratio portfolio functions. The functions will get passed into out optimization to find the weights at each period.
## Backtesting 2 portfolios over 1 datasets (periodicity = monthly data)...## Backtesting benchmarks...Table of Stats
Get rebalanced dates along with the table of stats for each portfolio.
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## Rebalanced:## [1] "Jun 2019" "Jul 2019" "Aug 2019" "Sep 2019" "Oct 2019" "Nov 2019"
## [7] "Dec 2019" "Jan 2020" "Feb 2020" "Mar 2020" "Apr 2020" "May 2020"
## [13] "Jun 2020" "Jul 2020" "Aug 2020" "Sep 2020" "Oct 2020" "Nov 2020"
## [19] "Dec 2020" "Jan 2021" "Feb 2021" "Mar 2021" "Apr 2021" "May 2021"
## [25] "Jun 2021" "Jul 2021" "Aug 2021" "Sep 2021" "Oct 2021" "Nov 2021"
## [31] "Dec 2021" "Jan 2022" "Feb 2022" "Mar 2022" "Apr 2022" "May 2022"
## [37] "Jun 2022" "Jul 2022" "Aug 2022" "Sep 2022" "Oct 2022" "Nov 2022"
## [43] "Dec 2022" "Jan 2023" "Feb 2023" "Mar 2023" "Apr 2023" "May 2023"
## [49] "Jun 2023" "Jul 2023" "Aug 2023" "Sep 2023" "Oct 2023" "Nov 2023"
## [55] "Dec 2023" "Jan 2024" "Feb 2024" "Mar 2024" "Apr 2024" "May 2024"
## [61] "Jun 2024" "Jul 2024" "Aug 2024" "Sep 2024" "Oct 2024" "Nov 2024"
## [67] "Dec 2024" "Jan 2025"## risk parity portfolio tangency portfolio 1/N
## Sharpe ratio 4.8375 5.3316 6.4539
## max drawdown 0.2098 0.2226 0.2057
## annual return 4.1739 4.9992 5.3952
## annual volatility 0.8628 0.9377 0.8360
## Sortino ratio 8.4315 10.2150 12.3165
## downside deviation 0.4950 0.4894 0.4380
## Sterling ratio 19.8972 22.4600 26.2285
## Omega ratio 2.1090 2.3280 2.6267
## VaR (0.95) 0.0786 0.0868 0.0736
## CVaR (0.95) 0.1016 0.0960 0.0812
## rebalancing period 1.0147 1.0147 1.0147
## turnover 0.3367 0.5033 0.0524
## ROT (bps) 488.6738 384.2061 4052.4865
## cpu time 0.0039 0.0070 0.0009
## failure rate 0.0000 0.0000 0.0000Returns + Drawdown Charts
Plot the returns for all the portfolios.
Weight Alloc through time
Plots the weigjt changes at each interval.
