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yuyasugano/cumulative_return_portfolio.py

Created September 15, 2020 12:32
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Pandas Datareader for multiindex portfolio
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cumulative_return_portfolio.py
# use pivot to reshape DataFrame with only Adj Close
adjClosePrice = df[['Adj Close']]
adjClosePrice = adjClosePrice.reset_index()
adjClosePriceTable = adjClosePrice.pivot(index='Date', columns='Ticker', values='Adj Close')
adjClosePriceTable.tail()
# asset weights
wts = [0.15, 0.15, 0.05, 0.2, 0.15, 0.05, 0.15, 0.1]
weighted_return = (wts * daily_pct_change)
# portfolio calculation
portfolio_return = weighted_return.sum(axis=1)
cumprod_portfolio = (1 + portfolio_return).cumprod()
fig2 = plt.figure(figsize=(15, 7))
ax2 = fig2.add_subplot(1, 1, 1)
cumprod_portfolio.plot(ax=ax2)
ax2.set_xlabel('Date')
ax2.set_ylabel('Cumulative return')
ax2.set_title('Portfolio Cumulative Returns')
plt.show()
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