Okama 1.5.0

Rebalancing bands - new rebalancing strategies for investment portfolios.

• Calendar-based rebalancing
• Rebalancing bands (threshold-based)

Mean-variance optimization with rebalancing-strategy-adjusted Efficient Frontier and asset weight bounds.

New features

Rebalance - new class to define rebalancing strategies

Rebalancing strategies are now defined in both Portfolio and EfficientFrontierReb with Rebalance class.

rs = ok.Rebalance(period="year", abs_deviation=0.10, rel_deviation=0.30)
pf = ok.Portfolio(['SPY.US', 'AGG.US'], rebalancing_strategy=rs)

WARNING:
The previous Portfolio class initialization method is now deprecated.
ok.Portfolio(rebalancing_period="year") will not work anymore.
However, as the default rebalancing strategy is monthly calendar-based. The simple definition without rebalancing strategy is still working:

ok.Portfolio(['SPY.US', 'AGG.US'], weights=[.6, .4])

Rebalance class

• New Rebalance class has 3 parameters: period, abs_deviation, rel_deviation
• Rebalance.wealth_ts() calculates wealth index time series of rebalanced portfolio (optionally with assets wealth time series)
• Rebalance.assets_weights_ts() calculates assets weights monthly time series for rebalanced portfolio
• Rebalance.return_ror_ts() returns monthly rate of return time series of rebalanced portfolio

New methods and properties in Portfolio class

• new property rebalancing_strategy to configure rebalancing period, absolute and relative deviations
• new property rebalancing_events returns time series of rebalancing events and type of rebalancing

Changes in PortoflioDCF class

• PortfolioDCF.monte_carlo_wealth_pv calculates discounted random wealth indexes with cash flows
• PortfolioDCF.monte_carlo_wealth_fv calculates not discounted (nominal) random wealth indexes with cash flows
• PortfolioDCF.find_the_largest_withdrawals_size() now uses bisection method to find the largest withdrawals size.
• PortfolioDCF.find_the_largest_withdrawals_size() has 3 possible goals: 'maintain_balance_pv', 'maintain_balance_fv' and 'survival_period'
• PortfolioDCF.find_the_largest_withdrawals_size() new attribute withdrawals_range defines the possible range for withdrawals to speed up the calculations
• PortfolioDCF.find_the_largest_withdrawals_size() has iter_max attribute to limit the intermediate steps when searching for resolution
• PortfolioDCF.find_the_largest_withdrawals_size() returns Result class. If the solutions is not found it is still possible to see the intermediate steps

New methods and properties in EfficienFrontierReb class

EfficienFrontierReb class now uses rebalancing_strategy parameter for initialization (the same as Portfolio).
It supports bounds to define the weight limitations for the assets.

• new rebalancing_strategy parameter to define the rebalancing strategy
• new bounds parameter defines the bounds for the assets weights
• new EfficienFrontierReb.plot_pair_ef() method plots the Efficient Frontier of every pair of assets

Changes in EfficientFrontier class

• EfficientFrontier.get_monte_carlo method generates random rebalanced portfolios with Monte Carlo simulation according to bounds limitations.

New Jupyter Notebook with examples for Rebalancing strategies

New Jupyter Notebook with examples of investment portfolios with different rebalancing strategies:
10 rebalancing portfolio.ipynb

Okama 1.4.4

New examples for investment portfolios with cash flow in 04 investment portfolios with DCF.ipynb.

Several bugs in Portfolio and PortfolioDCF are fixed.

Fixed:

• Portfolio.dcf.initial_investment_pv must return None if cash flow parameters are not defined
• add use_discounted_values parameter to helpers.Frame.get_wealth_indexes_with_cashflow
• use self.use_discounted_values = False in plot_forecast_monte_carlo for any value of backtest parameter
• clean up Portfolio dat cache if symbol changed

Okama 1.4.3

Okama 1.4.3 is dedicated to Cash Flow strategies and Monte Carlos simulations.

New features

3 new classes to set up Cash Flow strategies

Cash flow parameters for investment portfolios are now configured in the corresponding classes.

• IndexationStrategy for strategies with regular indexed withdrawals / contributions
• PercentageStrategy for strategies weith regualr fixed percentage withdrawals / contributions
• TimeSeriesStrategy for strategies with user-defined withdrawals and contributions. Withdrawals, contributions, as well as their dates, are defined in the dictionary.

All 3 classes are inhereted from parent class CashFlow.
Portfolio class does not have cash flow parameters (initial_amount, cashflow, discount_rate) anymore.

New class to set up Monte Carlo simulation parameters

MonteCarlos class has several properties:

• distribution - the type of a distribution to generate random rate of return
• period - forecast period in years for portfolio wealth index time series
• number - number of random wealth indexes to generate with Monte Carlo simulation

All Monte Carlos properties are linked to PortfolioDCF instance and can be accessed by Portfolio().dcf.mc construction. For example the type of random distribution is available through Portfolio().dcf.mc.disctribution.

New methods and properties in PortfolioDCF

PortfolioDCF has a new parameter use_discounted_values (default is False). Id defines whether to use discounted values in backtesting wealth indexes (initial investments, withdrawal or contribution size). discount_rate parameter is shifted from Portfolio to PortfolioDCF.

• find_the_largest_withdrawals_size - find the largest withdrawals size for Monte Carlo simulation according to Cashflow Strategy. This method works with IndexationStrategy and PercentageStrategy
• initial_investment_fv property to calculate the future value (FV) of the initial investments at the end of forecast period.
• initial_investment_pv property to calculate the discounted value (PV) of the initial investments at the historical first date
• wealth_index_with_assets works as the same property of Portfolio but considers cash flow (contributions and withdrawals)
• set_mc_parameters method is a shortcut to add Monte Carlo simulation parameters

Changes in methods and properties in PortfolioDCF

• monte_carlo_survival_period, survival_date_hist and survival_period_hist methods have now new parameter threshold. The threshold defines the percentage of the initial investments when the portfolio balance considered voided
• plot_forecast_monte_carlo number of parameters is reduced to: backtest and figsize

Okama 1.4.1

Okama 1.4.1 adds custom exceptions for time period and Student's t distribution for Monte-Carlo methods in Portfolio and AssetList.

New features

Custom exceptions for time periods issues

• ShortPeriodLengthError is raised when an asset has less then 3 months of history in AssetList, Portfolio and EfficentFrontier classes
• RollingWindowLengthBelowOneYearError is raised when rolling windows size is below one year
• LongRollingWindowLengthError is raised when rolling window size is more than data history depth

Student's t distribution in Monte-Carlo methods

• set distr="t" in methods like Portfolio.dcf.monte_carlo_wealth or AssetList.kstest

Changes in existing methods & properties

• Portfolio.dcf.monte_carlo_wealth uses initial_amount value by default.

Bugs fixed

• wrong formula for 0 period rate of return in helpers.Rebalance.return_ror_ts

Okama 1.4.0

Okama 1.4.0 introduces investment strategies with contributions and withdrawals in Portfolio class. New methods support discounted cash flows (DCF) and Monte Carlo simulation for portfolio longevity.

New features

DCF methods for contributions and withdrawals in Portfolio class

New Portfolio class attributes (all are optional):

• initial_amount - Portfolio initial investment FV (at last_date)
• cashflow - portfolio monthly cash flow FV (at last_date). Negative value corresponds to withdrawals.
  Positive value corresponds to contributions. Cash flow value is indexed each month by inflation.
• discount_rate - cash flow discount rate required to calculate PV values.

New dcf. methods in Portfolio class:

• dcf.plot_forecast_monte_carlo() method to plot Monte Carlo simulation for portfolio future wealth indexes optionally together with historical wealth index.
• dcf.monte_carlo_survival_period() method to generate a survival period distribution for a portfolio with cash flows by Monte Carlo simulation.
• dcf.wealth_index property to calculate wealth index time series for the portfolio with contributions and
  withdrawals.
• dcf.survival_period property to calculate the period when the portfolio has positive balance considering withdrawals on the historical data.
• dcf.survival_date property to get the date when the portfolio balance become negative considering withdrawals on the historical data.
• dcf.cashflow_pv property to calculate the discounted value (PV) of the cash flow amount at the historical first_date.
• dcf.initial_amount_pv property to calculate the discounted value (PV) of the initial investments at the historical first_date.

New properties in Portfolio class

• assets_dividend_yield property to calculate last twelve months (LTM) dividend yield time series (monthly) for each asset
• dividends_annual property to get calendar year dividends sum time series for each asset.

New methods and properties in AssetList class

• get_rolling_risk_annual() method to calculate annualized risk rolling time series for each asset.
• get_dividend_mean_yield() method to calculate the arithmetic mean for annual dividend yield over a specified period.
• dividend_yield_annual property to calculate last twelve months (LTM) dividend yield annual time series.

Changes in existing methods & properties

• Asset_List.risk_annual returns expanding risk time series (not float)
• Portfolio.recovery_period returns time series of recovery periods over historical data (not a single period)
• describe() method shows the rate of return arithmetic mean (expected return) in Portfolio, AssetList classes
• new xy_text argument in plot_assets() method to position better point labels
  in Portofolio, AssetList classes

New Jupyter Notebooks with examples

• 04 investment portfolios with DCF.ipynb for investment strategies with cash flow - portfolio withdrawals / contributions. Backtest the portfolio and forecast portfolio longevity with Monte Carlo simulation.
• 05 macroeconomics - inflation rates.ipynb to analyze inflation, key rates and other macro indicators historical data.

Bugs fixed

• Duplicate tickers in the assets are no longer allowed and are automatically corrected (AssetList, Portfolio, EfficientFrontier, EfficientFrontierReb)

Okama 1.3.2

Okama now supports Panadas 2.0.0 and further versions. There is no backward compatibility with previous Pandas versions.

New features:

• New rebalancing periods for portfolios: "half-year" and "quarter"
• new set_values_monthly() method in Inflation to forecast data and change previos values
• new dividend_yield_annual property in AssetList calculates dividend yield time series for calendar years
• new get_dividend_mean_yield() method in AssetList shows mean dividend yield for a given period
• plot_cml() has new y_axe parameter to switch from CAGR to mean rate of returns in the plots
• asset_dividend_yield property renamed to dividend_yield in AssetList

Okama 1.3.1

okama works with Python 3.11 now.

FIX:

• aliases symbols_in_namespace and no_dividends_namespaces were not imported in __init__.py

Okama 1.3.0

New features:

• rolling_window parameter in AssetList functions: index_corr(), index_beta(), tracking_error()
• index_corr() and index_rolling_corr() are combined into a single function index_corr() in the AssetList
• AssetList, Prtfolio, EfficentFrontier and EfficentFrontierReb are now sequences and has __getitem__, __iter__ methods.

Fix:

• Avoid running get_namspaces() and other aliases in init.py (this resulted in the database requests during library import)
• EfficientFrontier.plot_pair_ef() faled if inflation=False
• Tickers with dot "." like BRK.B

Okama 1.2.3

The release uses runtime Python 3.8. This version is recomended for development. Previous versions of okama were using legacy Python 3.7.

New features:

• EfficentFrontier().get_monte_carlo() method return risk, return and weights data for random portfolios.

Fix:

• Columns order is lost in Portfolio().weights_ts
• minor bugs

Okama 1.2.2 (the last Python 3.7 compatible version)

Version 1.2.2 will be the last Python 3.7 release. In further development we will use Python 3.8.

Updated:

• Update classes for new FOREX data format (AssetList, Portfolio and all ListMaker inherited classes are affected)

Fixed:

• compatible issues with importlib-metadata package