I'm building a portfolio optimization tool
Two years ago, I opened a brokerage account for the first time.
I was very excited and perplex at the same time. How could I perform better than the average? I felt I was missing so much information to be able to make wise investment decisions.
So I started reading about portfolios management. Surprisingly, I found it captivating.
Instead of copying popular portfolio recipes, I wanted to fully understand the mathematical concepts and test the strategies myself. I started playing on Excel and naturally moved to programming languages when it became more complex.
Quickly, I thought the web app I was building for myself could be used by others. At this point, I started thinking about the UI.
I love working on this project because it combines knowledge in multiple fields I’m interested in: finance, statistics, web development and design. Even if I never publish it, I’m learning so much that it’s time well spent.
What does the tool do?
It basically applies the Modern Portfolio Theory to assemble a portfolio of assets where the expected return is maximized for a given level of risk.
- Pulls historical data from NYSE and NASDAQ
- Calculates returns & standard deviations for each asset
- Calculates the correlations between the assets
- Calculates returns & standard deviations for a generated list of portfolios
- Draws Markowitz’s efficient frontier
My current focus is to introduce a risk-free rate and calculate Sharpe ratios.
This new project is also the occasion to try a new technology stack. The app uses Vue.js on the top of a static website hosted with Netlify. It will use Firebase to manage the few tasks that need backend infrastructure.
When will it be ready?
In the meantime, I would be happy to have people with knowledge in finance test it. Ping me if you are interested!