This is a small widget that lets you view the modern portfolio theory statistics for a selection of stocks

This widget shows Modern Portfolio Theory (MPT) statistics for a selected list of stocks. The calculations were made using Quandl data in the WIKI dataset. The ETF SPY was used as a benchmark using a 5-year time horizon. If the time series is not long enough, then an N/A is shown. You can also download the CSV_File containing all the metrics.

Ticker {{tickerData.Ticker}}
Alpha (%) {{tickerData.Alpha}}
Beta {{tickerData.Beta}}
R-Squared {{tickerData.RSquared}}
Momentum (%) {{tickerData.Momentum}}
Annualized Return (%) {{tickerData.AnnualizedReturn}}
Standard Deviation (%) {{tickerData.StandardDeviation}}
Sharpe Ratio {{tickerData.SharpeRatio}}
Sortino Ratio {{tickerData.SortinoRatio}}
Information Ratio {{tickerData.InformationRatio}}
Treynor Ratio {{tickerData.TreynorRatio}}
Tracking Error (%) {{tickerData.TrackingError}}
Upside Capture (%) {{tickerData.UpsideCapture}}
Downside Capture (%) {{tickerData.DownsideCapture}}
As of date: {{tickerData.Date}}

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I am Goutham Balaraman, and I explore topics in quantitative finance, programming, and data science. You can follow me @gsbalaraman.

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