May 25, 2018

Managing Partner Zoonova.com.

Portfolio Optimization using Monte Carlo Simulation

Easily calculate Portfolio Optimization using Monte Carlo Simulation. Example uses 30,000 portfolio simulations to solve for Minimum Variance, Maximum Sharpe portfolios, and Efficient Frontier.

Cheers.

Blaise Labriola, Zoonova.com

POINT 72 TOP TEN SECURITIES HEALTH REPORT

A Portfolio Health Report on the Top 10 securities held by Point 72. By Zoonova.com. This report also shows the Point 72 portfolio expected return vs other well known hedge fund top 10 portfolios such as, Moore Capital, Citadel, Paulson & Co, ...

Apr 12, 2019

Blaise Labriola, Zoonova.com

MOORE CAPITAL TOP TEN SECURITIES HEALTH REPORT

A Portfolio Health Report, done by Zoonova.com, on the top 10 securities held by Moore capital. The report also includes the analytics of each individual security.

Apr 09, 2019

Blaise Labriola, Zoonova.com

Goldman Sachs Hedge Fund VIP Index Health Report

A Portfolio Health Report of the Goldman Sachs VIP Index done by Zoonova.com.

Mar 29, 2019

Blaise Labriola, Zoonova.com

The Top 25 Stocks Held by Hedge Funds. Portfolio Analysis.

Portfolio Analysis of the top 25 stocks held by hedge funds. All analytics and the report were generated by Zoonova.com. Calculation and report generation was just over 1 minute for a 95 page analytical report.

Mar 17, 2019

Blaise Labriola, Zoonova.com

Berkshire Top 10 Stocks Portfolio Health Report

Attached is a Portfolio Health Report for the top 10 stock holdings for Berkshire Hathaway. It was created 3/15/2019 using Zoonova.com for all the analytics and report writer.

Mar 15, 2019

Blaise Labriola, Zoonova.com

What is an intuitive way to understand the key idea behind the Black-Litterman Portfolio Optimization?

I think the easiest way to understand it is to see Portfolio Optimization using the Black Litterman model. Here is an example of the calculation from ZooNova.com Explanation. In the traditional Markowitz Mean-Variance approach, the portfolio is ...

Aug 01, 2018

Blaise Labriola, Zoonova.com

Calculating a Correlation Matrix, Clustering Matrix, and Principal Component Analysis for an underlying portfolio.

A Portfolio Correlation matrix is a table showing correlation coefficients between the underlying positions in the portfolio. The following is a screenshot of an underlying portfolio. Now here is the Correlation matrix that has been calculated from ...

Jun 08, 2018

Blaise Labriola, Zoonova.com

What is the difference between an Efficient Portfolio and an Optimal Portfolio?

The Efficient Frontier graph shows the 30,000 portfolios created to solve for the optimum portfolios that are Maximum Sharpe and Minimum Variance. The Efficient Portfolios are the ones landing on the upward sloping curve that connects the colored ...

May 31, 2018

Blaise Labriola, Zoonova.com

Portfolio Correlation Analysis. Correlation Matrix, HCA, and PCA.

The correlation coefficient between securities has a value that falls between -1 and 1 and it measures how securities move in relation to one another. When building a Stock/ETF portfolio one can have very correlated securities, a mix, and very un- ...

May 09, 2018

Blaise Labriola, Zoonova.com

Portfolio Risk/Return using Conditional and Modified Sharpe Ratios.

If you use the Conditional Sharpe and Modified Sharpe ratios then it gives you a better idea about portfolio risk. Here is a screenshot and information from Zoonova.com. C-VaR Conditional Value at Risk (CVaR) is also known as mean excess loss, mean ...

May 06, 2018

Blaise Labriola, Zoonova.com

Using Principal Component Analysis (PCA) on a Stock/ETF Portfolio Correlation Matrix.

The following calculations and definitions are taken from ZOONOVA Here is the calculation of Principal Component Analysis using a Stock portfolio correlation matrix. First calculate the Stock Correlation matrix Take the correlation matrix as input ...

Apr 14, 2018

Blaise Labriola, Zoonova.com

How do you quantify the risk/return tradeoff for investments whose returns are not normally distributed?

One approach could be to use Modified VaR and a Modified Sharpe ratio. They are both calculated under the assumption that returns are not normally distributed. Modified VaR uses portfolio volatility but adjusts it using skewness and kurtosis in the ...

Apr 02, 2018

Blaise Labriola, Zoonova.com

Backtesting a Stock/ETF Portfolio. Return and Risk Metrics.

Here is a video to show how easy it is to backtest a Stock/ETF portfolio. The calculation also includes return and risk metrics using 2 years of historical data. The video also shows calculating a Correlation and Covariance matrix, Multi-Factor ...

Mar 28, 2018

Blaise Labriola, Zoonova.com

What-If Stock Correlations go to 0 or 1? Stress Test.

What happens to a Stock/ETF Portfolio Risk if during an extreme event Portfolio correlations go to 0 or 1. This is quite easy to test if you build a Covariance and Correlation matrix for the underlying portfolio. Here is an example of the calculation ...

Mar 17, 2018

Blaise Labriola, Zoonova.com

Portfolio Risk/Return Calculated Easily.

How to quickly and easily calculate Portfolio Risk/Return. Multiple VaR output, Correlation, Covariance, Fama French factor analysis, Stress Test, and more. Cheers.

Mar 15, 2018

Blaise Labriola, Zoonova.com

Fama French Multi-Factor Analysis. What is it?

There are various calculations you can do with financial market data. There is Factor Analysis, Portfolio Optimization, Correlation Matrix, Covariance Matrix, VaR, CVaR, Volatility, Sharpe Ratio, and many other calculations. With the widespread ...

Feb 28, 2018

Blaise Labriola, Zoonova.com

Use the Coefficient of Variation or the Sharpe Ratio when comparing Investments?

You want to look at both. There are many metrics and ratios that are important but let’s look at CV and the Sharpe ratio. Here is a screenshot from Zoonova.com that shows the Sharpe and CV calculation for Stocks and ETFs in a portfolio. CV The ...

Feb 18, 2018

Blaise Labriola, Zoonova.com

Stock Market Volatility. Do you know your Portfolio Volatility?

Calculating the Volatility of a Stock/ETF Portfolio is not quick and easy to do unless you have built a spreadsheet or have a software application designed to do this. When calculating Portfolio Volatility you need to use the underlying securities, ...

Feb 05, 2018

Blaise Labriola, Zoonova.com

How do you calculate a Sharpe Ratio for a Real-Time Portfolio?

You need to do the following to calculate the Sharpe ratio for a "Real-Time" changing Portfolio. First the screenshot of a Portfolio updating in "Real-Time" with Portfolio metrics and outputs. In order to calculate the Portfolio Sharpe Ratio you have ...

Feb 04, 2018

Blaise Labriola, Zoonova.com

How do you calculate the volatility contribution of individual assets in a portfolio?

You can calculate a Portfolio Covariance Matrix like this one below. This Covariance matrix represents a Portfolio with Stocks and ETFs. The diagonal in the matrix that is highlighted are the calculated Variances of each security in the Portfolio. ...

Jan 31, 2018

Blaise Labriola, Zoonova.com

Why is the risk of a portfolio always less or equal than the sum total of risks of individual assets in a portfolio?

This is because of the Covariance of the different securities in the Portfolio. Here is an easy way to understand how this works by the following calculations in ZOONOVA First here is a screenshot of the calculated Variance and Volatility of each ...

Jan 29, 2018

Blaise Labriola, Zoonova.com

How do you calculate the Volatility of a Stock/ETF Portfolio?

You can calculate the volatility of a Stock/ETF portfolio using a Covariance matrix. First you must calculate a Covariance matrix from the underlying portfolio. Covariance matrix calculated from a Stock/ETF portfolio below. Using the Covariance ...

Jan 25, 2018

Blaise Labriola, Zoonova.com

Can you calculate a Correlation matrix for a Stock Portfolio and Benchmarks?

You first choose a Portfolio of securities which include ETF benchmarks and then calculate a correlation matrix. The correlation matrix will show the relationship between each stock and the correlation of stock against the ETF benchmarks. Here is an ...

Jan 24, 2018

Blaise Labriola, Zoonova.com

How can I use the Sharpe ratio to compare my various investments in my IRAs & 401k?

The calculation for the Sharpe ratio is the Expected Return - RF% / the underlying stock Standard Deviation. All the following calculations and information are from ZOONOVA The above image represents a portfolio called “ZooNova Temp.” If you look at ...

Jan 08, 2018

Blaise Labriola, Zoonova.com

Buy Amazon or Walmart on this Cyber Monday?

What woud you say is a better Investment this Cyber Monday, Amazon or Walmart? Here are some statistical calculations using stock prices and returns. First the definitions of the screen output. β Beta (Β) is a measure of the volatility, or systematic ...

Nov 27, 2017