Inspired by many specialized ETFs. This project offers optimization and modeling tools for investment strategies. Leveraging Efficient Frontier modeling, Fama French factor models, Monte Carlo simulation, and 15 risk metrics (Sharpe ratio, VaR) w/ python libraries like pandas, yfinance, and PyPortfolioOpt.
A glimpse of the system that was used @ Futures First. This system utilized data analytics, quantitative analysis, and account management. It involved keeping an eagle eye on fixed income products w/ live Excel dashboards. Being prepared for a range of outcomes w/ risk scenario analysis. Changing the game w/ performance analysis, financial metrics, and stats. Applied ML and probability models to identify and predict market states, optimizing portfolio and risk assessment. Providing defense to account management w/ a resilient capital allocation system.
Data Analytics | Risk Management | Fixed Income (Interest rate, bond) | Futures Trading System | Markov Model
Exploring various metrics driving a portfolio, analyzing market sensitivities. This includes calculating Treasury Beta using multiple linear regression. "The Rolling Sigmas (and Betas)" calculates the 1 year rolling volatility and beta for 10 sectors of NYSE listed stocks, and more...
Exploratory Data Analysis (EDA) w/ SQL, Tableau, Python
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