tracking-error

Python toolkit for tax-aware portfolio rebalancing with Canadian ACB, U.S. tax lots, tracking-error constraints, and convex optimization.

Download NIFTY historic data and calculate Calmar Ratio, Sortino Ratio, Sterling ratio, Sharpe Ratio, Treynor ratio, Jensens alpha, Information ratio, Appraisal ratio, Tracking error, Max drawdown, Average drawdown. Select the best stocks based on Risk Adjusted Return and other parameters like debt to equity, insider holding, profit margin etc.

Risk attribution report for portfolio management, using MatLab and Excel

A practical guide to ETF analysis — expense ratio impact, tracking difference vs. tracking error, tax efficiency, liquidity assessment, and Python comparison tools.

Sparse S&P 500 portfolio replication using LASSO regression, greedy forward selection, and quadratic programming for tracking-error minimization.

ETF market-quality and fair-value analytics framework using Python and LSEG Workspace data.

Do optimised portfolios beat naive 1/N out of sample? A replication of DeMiguel, Garlappi and Uppal (2009) on Ken French's data, and their question put to a long-only index-tracking mandate on 49 industries, 1979 to 2026.

Clone any mutual fund, ETF or portfolio with a handful of low-cost ETFs, tested out of sample. Is your active fund worth its fee?

Financial analyst project on active portfolio management, factor allocation, benchmark comparison, risk analysis, performance attribution and portfolio optimisation using Excel and Python.

deep learning for tracking stock indexes

Beyond Return Ratios: identification, partial identification, timing effects, mechanism evidence, simulations, and reproducibility for leveraged ETFs (LETFs) in quantitative finance.

Automated portfolio creator that generates a portoflio which mimics a bench mark index by minimizing the tracking error.