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}} |

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finance investing widget

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

Updated posts from this blog and transcripts of Luigi's screencasts on YouTube is compiled into QuantLib Python Cookbook .