Download Stock Data

## Loading stock data from local file C:/Users/Administrator/OneDrive/Documents/stockdata_from_2019-01-01_to_2025-03-01_(0f9cf120d38e5ba793ee9b2a12c3efc1).RData

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.

## 
## 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"
##                    risk parity portfolio tangency portfolio       1/N
## Sharpe ratio                      5.1496             5.7672    6.8184
## max drawdown                      0.2098             0.2226    0.2057
## annual return                     4.4252             5.3466    5.6629
## annual volatility                 0.8593             0.9271    0.8305
## Sortino ratio                     9.0476            11.3145   13.1506
## downside deviation                0.4891             0.4725    0.4306
## Sterling ratio                   21.0951            24.0207   27.5300
## Omega ratio                       2.2188             2.5070    2.7814
## VaR (0.95)                        0.0788             0.0870    0.0741
## CVaR (0.95)                       0.1016             0.0960    0.0812
## rebalancing period                1.0149             1.0149    1.0149
## turnover                          0.3404             0.5099    0.0519
## ROT (bps)                       512.1396           405.7863 4293.0770
## cpu time                          0.0017             0.0013    0.0000
## failure rate                      0.0000             0.0000    0.0000

Returns + Drawdown Charts

Plot the returns for all the portfolios.

Weight Alloc through time

Plots the weigjt changes at each interval.