A Whale of an Analysis

Whale Analysis, Carl Boitz

Quantitative Analysis Performance Analysis: 1. Calculate and plot cumulative returns. Does any portfolio outperform the S&P 500? There were multiple portfolios that outperformed the S&P according to the data. Algo 1 outperformed the most followed by Berkshire Hathaway, Algo 2 and finally Soros Fund Management.

Risk Analysis: Create a box plot for each of the returns. Which box has the largest spread? Which has the smallest spread?

Berkshire Hathaway has the largest spread, making it have one of the largest deviations in daily percentage changes. Paulson Fund had the smallest spread, meaning it had the least deviations.

Calculate the standard deviations for each portfolio. Which portfolios are riskier than the S&P 500? Tiger Global Management(0.010897) and Berkshire Hathaway (0.012919) both had higher standard deviations than the S&P 500(0.008587 meaning they were both riskier.

Rolling Statistics 1. Plot the rolling standard deviation of the firm's portfolios along with the rolling std of the S&P 500. Does risk increase for each portfolio at the same time risk increases in the S&P? Generally when the standard deviation is raised in the S&P, the portfolios follow suit and are also elevated. In particular, Berkshire Hathaway is one portfolio with a greater standard deviation and is alot more volatile than the other portfolios. 2. Construct a correlation table for the algorithmic, whale, and S&P 500 returns. Which returns most closely mimic the S&P? Most of the portfolios are closely correlated to the S&P, with the Soros and Paulson funds being the most closely correlated. The least correlated portfolio was Algo1, which was also the best performing portfolio in the group. 3. Choose one portfolio and plot a rolling beta between that portfolio's returns and S&P 500 returns. Does the portfolio seem sensitive to movements in the S&P 500? Berkshire Hathaway seemed to have a pretty low Beta. For half of the year the rolling Beta was below 0 and for the other half it was above. From our data we determined that Berkshire Hathway had a beta of -0.0092 which is pretty low.

Plot Sharpe Ratios 1. Using the daily returns, calculate and visualize the Sharpe ratios using a bar plot. 2. Determine whether the algorithmic strategies outperform both the market (S&P 500) and the whales portfolios. The algorithmic strategies outperform both the S&P as well as the other portfolios. Algo 1 had the best Sharpe Ratio of 1.367 while Algo 2 had a Sharpe Ratio of 0.484. The only other portfolio that was even close was Berkshire Hathaway with 0.607 as their Sharpe Ratio.