%load_ext autoreload
%autoreload 2
from import_src import *
from collections import OrderedDict
# TODO: import the portfolio for a single source
large_us_stocks = OrderedDict({"VTI": 0.5, "VTV": 0.285, "VNQ (REIT)": 0.215})
large_exus_stocks = OrderedDict({"EAFE": 1.0})
small_us_stocks = OrderedDict({"IJS": 1.0})
small_exus_stocks = OrderedDict({"EAFE Small-Cap": 1.0})
bonds = OrderedDict({"BND": 1.0})
fund_shares = [large_us_stocks, large_exus_stocks, small_us_stocks, small_exus_stocks, bonds]
from src.domain.distribution import *
from src.distribution import create_distributions_from
from src.display.distribution import display_distributions
default_distribution = SharesDistribution(
categories=SharesCategoriesDistribution(
by_type=dict(zip((ShareType.Stock, ShareType.Bond), (0.75, 0.25))),
by_region=dict(zip((Region.US, Region.ExUS), (0.7, 0.3))),
by_cap=dict(zip((Cap.Large, Cap.Small), (0.6, 0.4))),
by_term=dict(zip((Term.Long,), (1,))),
),
shares=[FundsDistribution(x) for x in fund_shares],
)
def modify_distrib_by_type_ratio(distrib: SharesDistribution, stock_rate: float):
if distrib.categories:
bond_rate = 1 - stock_rate
distrib.categories.by_type[ShareType.Stock] = stock_rate
distrib.categories.by_type[ShareType.Bond] = bond_rate
distributions_rates = [0, 0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9, 1]
distributions_names = [f"{round(x * 100)}/{round((1 - x) * 100)}" for x in distributions_rates]
distributions = create_distributions_from(default_distribution, modify_distrib_by_type_ratio, distributions_rates)
display_distributions(distributions, names=distributions_names)
| 0/100 | 10/90 | 20/80 | 30/70 | 40/60 | 50/50 | 60/40 | 70/30 | 80/20 | 90/10 | 100/0 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| VTI | 0.0% | 2.1% | 4.2% | 6.3% | 8.4% | 10.5% | 12.6% | 14.7% | 16.8% | 18.9% | 21.0% |
| VTV | 0.0% | 1.2% | 2.39% | 3.59% | 4.79% | 5.98% | 7.18% | 8.38% | 9.58% | 10.77% | 11.97% |
| VNQ (REIT) | 0.0% | 0.9% | 1.81% | 2.71% | 3.61% | 4.51% | 5.42% | 6.32% | 7.22% | 8.13% | 9.03% |
| EAFE | 0.0% | 1.8% | 3.6% | 5.4% | 7.2% | 9.0% | 10.8% | 12.6% | 14.4% | 16.2% | 18.0% |
| IJS | 0.0% | 2.8% | 5.6% | 8.4% | 11.2% | 14.0% | 16.8% | 19.6% | 22.4% | 25.2% | 28.0% |
| EAFE Small-Cap | 0.0% | 1.2% | 2.4% | 3.6% | 4.8% | 6.0% | 7.2% | 8.4% | 9.6% | 10.8% | 12.0% |
| BND | 100.0% | 90.0% | 80.0% | 70.0% | 60.0% | 50.0% | 40.0% | 30.0% | 20.0% | 10.0% | 0.0% |
| - | - | - | - | - | - | - | - | - | - | - | - |
| Mean ret. | 5.12 | 5.7 | 6.27 | 6.81 | 7.33 | 7.83 | 8.31 | 8.76 | 9.18 | 9.59 | 9.96 |
| Std | 3.69 | 3.71 | 4.3 | 5.27 | 6.46 | 7.76 | 9.13 | 10.54 | 11.97 | 13.42 | 14.89 |
from src.domain import *
from src.distribution import create_distributions_from
from src.display.distribution import display_distributions
default_distribution = SharesDistribution(
categories=SharesCategoriesDistribution(
by_type=dict(zip((ShareType.Stock, ShareType.Bond), (1, 0))),
by_region=dict(zip((Region.US, Region.ExUS), (0.7, 0.3))),
by_cap=dict(zip((Cap.Large, Cap.Small), (0.7, 0.3))),
by_term=dict(zip((Term.Long,), (1,))),
),
shares=[FundsDistribution(x) for x in fund_shares],
)
def modify_distrib_by_cap_ratio(distrib: SharesDistribution, large_cap: float):
if distrib.categories:
small_cap = 1 - large_cap
distrib.categories.by_cap[Cap.Large] = large_cap
distrib.categories.by_cap[Cap.Small] = small_cap
distributions_rates = [0, 0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9, 1]
distributions_names = [f"{round(x * 100)}/{round((1 - x) * 100)}" for x in distributions_rates]
distributions = create_distributions_from(default_distribution, modify_distrib_by_cap_ratio, distributions_rates)
display_distributions(distributions, names=distributions_names)
| 0/100 | 10/90 | 20/80 | 30/70 | 40/60 | 50/50 | 60/40 | 70/30 | 80/20 | 90/10 | 100/0 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| VTI | 0.0% | 3.5% | 7.0% | 10.5% | 14.0% | 17.5% | 21.0% | 24.5% | 28.0% | 31.5% | 35.0% |
| VTV | 0.0% | 1.99% | 3.99% | 5.98% | 7.98% | 9.97% | 11.97% | 13.96% | 15.96% | 17.95% | 19.95% |
| VNQ (REIT) | 0.0% | 1.5% | 3.01% | 4.51% | 6.02% | 7.52% | 9.03% | 10.53% | 12.04% | 13.54% | 15.05% |
| EAFE | 0.0% | 3.0% | 6.0% | 9.0% | 12.0% | 15.0% | 18.0% | 21.0% | 24.0% | 27.0% | 30.0% |
| IJS | 70.0% | 63.0% | 56.0% | 49.0% | 42.0% | 35.0% | 28.0% | 21.0% | 14.0% | 7.0% | 0.0% |
| EAFE Small-Cap | 30.0% | 27.0% | 24.0% | 21.0% | 18.0% | 15.0% | 12.0% | 9.0% | 6.0% | 3.0% | 0.0% |
| BND | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| - | - | - | - | - | - | - | - | - | - | - | - |
| Mean ret. | 10.96 | 10.81 | 10.65 | 10.49 | 10.32 | 10.14 | 9.96 | 9.78 | 9.58 | 9.39 | 9.18 |
| Std | 16.83 | 16.44 | 16.08 | 15.74 | 15.43 | 15.14 | 14.89 | 14.67 | 14.48 | 14.32 | 14.2 |
from src.domain.distribution import *
from src.distribution import create_distributions_from
from src.display.distribution import display_distributions
default_distribution = SharesDistribution(
categories=SharesCategoriesDistribution(
by_type=dict(zip((ShareType.Stock, ShareType.Bond), (1, 0))),
by_region=dict(zip((Region.US, Region.ExUS), (0.7, 0.3))),
by_cap=dict(zip((Cap.Large, Cap.Small), (0.6, 0.4))),
by_term=dict(zip((Term.Long,), (1,))),
),
shares=[FundsDistribution(x) for x in fund_shares],
)
def modify_distrib_by_region_ratio(distrib: SharesDistribution, us_rate: float):
if distrib.categories:
exUs_rate = 1 - us_rate
distrib.categories.by_region[Region.US] = us_rate
distrib.categories.by_region[Region.ExUS] = exUs_rate
distributions_rates = [0, 0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9, 1]
distributions_names = [f"{round(x * 100)}/{round((1 - x) * 100)}" for x in distributions_rates]
distributions = create_distributions_from(default_distribution, modify_distrib_by_region_ratio, distributions_rates)
display_distributions(distributions, names=distributions_names)
| 0/100 | 10/90 | 20/80 | 30/70 | 40/60 | 50/50 | 60/40 | 70/30 | 80/20 | 90/10 | 100/0 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| VTI | 0.0% | 3.0% | 6.0% | 9.0% | 12.0% | 15.0% | 18.0% | 21.0% | 24.0% | 27.0% | 30.0% |
| VTV | 0.0% | 1.71% | 3.42% | 5.13% | 6.84% | 8.55% | 10.26% | 11.97% | 13.68% | 15.39% | 17.1% |
| VNQ (REIT) | 0.0% | 1.29% | 2.58% | 3.87% | 5.16% | 6.45% | 7.74% | 9.03% | 10.32% | 11.61% | 12.9% |
| EAFE | 60.0% | 54.0% | 48.0% | 42.0% | 36.0% | 30.0% | 24.0% | 18.0% | 12.0% | 6.0% | 0.0% |
| IJS | 0.0% | 4.0% | 8.0% | 12.0% | 16.0% | 20.0% | 24.0% | 28.0% | 32.0% | 36.0% | 40.0% |
| EAFE Small-Cap | 40.0% | 36.0% | 32.0% | 28.0% | 24.0% | 20.0% | 16.0% | 12.0% | 8.0% | 4.0% | 0.0% |
| BND | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| - | - | - | - | - | - | - | - | - | - | - | - |
| Mean ret. | 6.45 | 6.98 | 7.5 | 8.01 | 8.51 | 9.0 | 9.49 | 9.96 | 10.43 | 10.89 | 11.34 |
| Std | 15.82 | 15.5 | 15.24 | 15.04 | 14.9 | 14.83 | 14.83 | 14.89 | 15.02 | 15.21 | 15.46 |