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This is to help people get forward signal of their inverse volatility allocation strategy. https://www.portfoliovisualizer.com/ used to provide this for free, but now it requires a subscription.

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hainingpan/inverse_volatility_caculation

 
 

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Added feature: Combining taxable and non-taxable account. When the contribution of non-taxable account is full this year, you may fund new money in taxable while rebalance in non-taxable account.

needs pacakge ortools

python -m pip install --upgrade --user ortools

Focked from https://github.com/linzebing/inverse_volatility_caculation


inverse_volatility_caculation

This is to help people get forward signal of their inverse volatility allocation strategy. https://www.portfoliovisualizer.com/ used to provide this for free, but now it requires a subscription.

If you are interested why this may help build your portfolio, see https://quantdare.com/risk-parity-versus-inverse-volatility/ and https://www.physixfan.com/risk-parity-touziceluegaijinbandongtaidiaozhenguprohetmfdebili/ (in Chinese)

Preparation

pip3 install numpy
pip3 install requests

Example Usage

./inverse_volatility.py
Portfolio: ['UPRO', 'TMF'], as of 2020-02-15 (window size is 20 days)
UPRO allocation ratio: 49.09% (anualized volatility: 39.87%, performance: 5.36%)
TMF allocation ratio: 50.91% (anualized volatility: 38.45%, performance: 11.64%)

Checking against Portfolio Visualizer:

./inverse_volatility.py upro,voo,edv # comma separated symbols
Portfolio: ['UPRO', 'VOO', 'EDV'], as of 2020-02-15 (window size is 20 days)
UPRO allocation ratio: 15.79% (anualized volatility: 39.87%, performance: 5.36%)
VOO allocation ratio: 47.22% (anualized volatility: 13.33%, performance: 2.06%)
EDV allocation ratio: 36.98% (anualized volatility: 17.03%, performance: 5.63%)

Checking against Portfolio Visualizer:

Note

Data source: https://finance.yahoo.com/quote/VOO/history?p=VOO -> Historical Data -> Download Data

Note that the cookie in the code may expire that you need to update the crumb parameter in the url along with your cookie from browser accordingly.

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This is to help people get forward signal of their inverse volatility allocation strategy. https://www.portfoliovisualizer.com/ used to provide this for free, but now it requires a subscription.

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  • Jupyter Notebook 76.9%
  • Python 23.1%