public void MaxSharpeRatioPortfolioTest()
{
// Create new portfolio
var portf = new Portfolio("TestPortfolio");
// Create instruments from data
var instruments = from k in cov.Keys
select new Instrument(k, mean[k], cov[k]);
portf.AddRange(instruments);
// Add portfolio constraints
portf.AddAllInvestedConstraint();
portf.AddLongOnlyConstraint();
//
double rf = 0.05 / 12;
var res = PortfolioOptimizer.CalcEfficientFrontier(portf, rf, 50);
var metrics = (from p in res
let sharpe = PortfolioAnalytics.SharpeRatio(p, rf)
select new { p.StdDev, p.Mean, sharpe });
foreach (var m in metrics)
{
Console.WriteLine("Risk {0}, Return {1}, Sharpe {2}, Sharpe Ratio {3} ", m.StdDev, m.Mean, (m.Mean - rf) / m.StdDev, m.sharpe);
}
var maxsharpe = (from p in res
let sharpe = PortfolioAnalytics.SharpeRatio(p, rf)
select sharpe).Max();
Console.WriteLine("Max Sharpe Ratio Portfolio {0}", maxsharpe);
}
public void ZeroChangeData()
{
var ts = TimeSeriesFactory <double> .Create(Enumerable.Repeat(10.0, 100), 1, DataFrequency.Daily);
var sd = PortfolioAnalytics.AnnualisedStdDev(ts);
Assert.AreEqual(0, sd);
}
public void ItRuns()
{
ITimeSeries <double> asset = TimeSeriesFactory <double> .SampleData.Gaussian(mu_a, sigma_a, numperiods : elements, freq : DataFrequency.Daily);
var res = PortfolioAnalytics.SortinoRatio(asset, benchmark);
Console.WriteLine(res);
}
public void ResultDailyData()
{
var riskfree = 0.05;
var res = PortfolioAnalytics.RealisedAlpha(asset, benchmark, riskfree);
var ralpha = CAPM.Alpha(timeSeries.Create(asset), timeSeries.Create(benchmark), riskfree).First();
Assert.AreEqual(ralpha, res, 0.001);
}
public void CorrelatedDataResultInRange()
{
ITimeSeries <double> asset = TimeSeriesFactory <double> .SampleData.Gaussian(mu_a, sigma_a, numperiods : elements, freq : DataFrequency.Daily);
var res = PortfolioAnalytics.ActivePremium(asset, benchmark);
var rap = (mu_a - mu_b) * 252;
Assert.AreEqual(rap, res, sigma_a * Math.Sqrt(252));
}
public void ItRuns()
{
TimeSeriesFactory <double> .SampleData.RandomSeed = 11;
ITimeSeries <double> asset = TimeSeriesFactory <double> .SampleData.Gaussian(mu_a, sigma_a, numperiods : elements, freq : DataFrequency.Daily);
var riskfree = 0.05;
var res = PortfolioAnalytics.ResidualRisk(asset, benchmark, riskfree);
Console.WriteLine(res);
}
public void Result()
{
TimeSeriesFactory <double> .SampleData.RandomSeed = 8;
ITimeSeries <double> asset = TimeSeriesFactory <double> .SampleData.Gaussian(mu_a, sigma_a, numperiods : elements, freq : DataFrequency.Daily);
var res = PortfolioAnalytics.TrackingError(asset, benchmark);
var te = (asset.AsTimeSeries() - benchmark.AsTimeSeries()).AnnualisedStdDev();
Assert.AreEqual(te, res, 0.001);
}
public void ResultDailyData()
{
// Data
int elements = 100;
TimeSeriesFactory <double> .SampleData.RandomSeed = seed;
// Monthly data test
var sdm = PortfolioAnalytics.AnnualisedStdDev(monthlySampleTS);
Assert.IsNotNull(sdm);
Assert.AreEqual(sigma * Math.Sqrt(12), sdm, sigma);
}
public void SimpleRegression()
{
var riskfree = 0.04;
var capm = PortfolioAnalytics.CAPModel(asset, benchmark, riskfree);
var ralpha = CAPM.Alpha(timeSeries.Create(asset), timeSeries.Create(benchmark), riskfree).First();
Assert.AreEqual(ralpha, capm.Alpha, 0.001);
var rbeta = CAPM.Beta(timeSeries.Create(asset), timeSeries.Create(benchmark), riskfree).First();
Assert.AreEqual(rbeta, capm.Beta, 0.001);
}
public void ResultMonthlyData()
{
// Data
int elements = 100;
TimeSeriesFactory <double> .SampleData.RandomSeed = 5;
// Monthly data test
var returns1 = Normal.Samples(new Random(5), 0.01, 0.02).Take(elements);
var sdm = PortfolioAnalytics.AnnualisedStdDev(monthlySampleTS);
Assert.IsNotNull(sdm);
Assert.AreEqual(Statistics.StandardDeviation(returns1) * Math.Sqrt(12), sdm, 0.001);
}
public void LargeRiskfreeRate()
{
var res = PortfolioAnalytics.RealisedAlpha(asset, benchmark, 1.05);
}
public void NegativeRiskfreeRate()
{
var res = PortfolioAnalytics.RealisedAlpha(asset, benchmark, -0.04);
}
public void LargeRiskfreeRate()
{
// Should throw exception for a risk-free rate larger than 1
var res = PortfolioAnalytics.RealisedBeta(asset, benchmark, 1.05);
}
public void NegativeRiskfreeRate()
{
// Should throw exception for a risk-free rate smaller than 0
var res = PortfolioAnalytics.RealisedBeta(asset, benchmark, -0.04);
}
