portfolio_returns_tracking_errors.ipynb

portfolio_returns_tracking_errors.ipynb

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        "def portfolio_returns(weights, portfolio):\n",
        "    return portfolio.dot(weights)\n",
        "\n",
        "\n",
        "def tracking_error(weights, portfolio, index_data):\n",
        "    result =  portfolio_returns(weights, portfolio).sub(index_data).std() * np.sqrt(250)\n",
        "    colorprint(f'The annualized tracking error for the portfolio is {(result*100):.2f}%', fontsize = 3)\n",
        "    return result\n",
        " \n",
        "    \n",
        "def tracking_error_general(data, portfolio_list, weights, \n",
        "                           index, start, end, title = None,\n",
        "                           printout=True):\n",
        "    \n",
        "    results = data.loc[start:end, portfolio_list].dot(weights).\\\n",
        "                sub(data.loc[start:end, index]).std() * np.sqrt(250)\n",
        "    if printout is True:\n",
        "        highlight(title, 'yellow', 'black', 2)\n",
        "        highlight(f'Period: {start} to {end}', 'yellow', 'black', 2)\n",
        "        highlight(f'Overall tracking error: {(results *100): .2f}%', 'yellow', 'black', 2)\n",
        "    else:\n",
        "        return results"
      ]
    }
  ]
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