All Lectures
Lecture 32

Portfolio Analysis

Introduction

The analysis of a portfolio's return stream is an essential component of developing any quantitative trading strategy. Portfolio analysis tools allow us to examine risks associated with a given strategy and create a more nuanced view than a backtest alone would afford us. In this lecture we explore the use of pyfolio, an open source portfolio analysis tool developed by Quantopian, to assess algorithm returns. We discuss risk metrics that should be examined for any portfolio and other aspects of diagnosing performance.

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