Description

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The main aim of this course is to explain all of those technical financial terms in a way that is simple and easy to understand.

Many of the concepts are explained visually, and we focus on understanding the core idea without getting deep into the weeds.

We focus on things that are practical, and are later applied onto the analysis of real portfolios.

We will build some spreadsheets together, step by step, in order to make sure that the concepts and calculations are fully understood and internalized.

We’ll make use of some extremely powerful and functional online tools that can automate much of the portfolio analysis, and all without needing to write a single line of code.

In the course we’ll cover around a dozen or so pre-made portfolios that you can start off with. Additional portfolios and trading strategy ideas will be added over time, as our community continues to grow and share ideas.

Portfolio Investing with Ron Bertino

The lessons have been carefully designed such that doing them in the sequence suggested will provide the most effective and efficient learning experience.

I realize you may be tempted to jump ahead to some other sections which may be of interest, but I strongly suggest that you try to resist that urge.
We leverage the concept of “stacking”, which is where we build upon prior knowledge in order to explain progressively more advanced concepts. If you jump ahead, you will likely get lost.

Introduction

• Welcome to Portfolio Investing
• Strategic versus tactical asset allocation
• Introduction to bonds
• Classes of Asset
• Hedge funds
• How data can trick you

Returns

• Getting historical data
• Linear versus log scale
• Arithmetic and log price returns
• Cumulative arithmetic and log price returns
• Converting arithmetic and log returns
• Arithmetic and geometric mean
• Wealth index
• Performance charts

Measuring risk

• Variance and standard deviation
• The portfolio effect
• Sharpe ratio, Sortino ratio, Calmar Ratio, Martin Ratio
• Alpha and Beta
• Correlation and R Squared
• Treynor Ratio and Information Ratio
• Value-At-Risk and Expected Shortfall

Factor models

• Capital Asset Pricing Model (CAPM)
• Fama French 3 factor model

Permanent portfolios

• Equal and Value Weighting portfolios
• Calculating portfolio returns
• Review of 5 different permanent portfolios

Moving average filters

• M.A.F. – single asset
• M.A.F. – all assets in a portfolio

Modern Portfolio Theory

• Introduction to MPT
• Correlation and the correlation matrix
• Efficient frontier
• Minimum variance portfolio and mean-variance efficient portfolios
• Rebalancing
• Return vs risk graph
• Capital Allocation Line, and margin effect on returns
• Kelly Criterion – optimal f
• Inverse variance portfolio
• Risk parity portfolio

Dual Momentum

• Review of 6 different dual momentum portfolios

Other portfolios

• Review of two Adaptive Allocation portfolios
• Review of two Core-Satellite portfolios

Spreadsheets and automation
Using the free Google Sheets technology, we will collaborate to create spreadsheets that reinforce the concepts presented in the course.

Stock analysis spreadsheet

We will:

• import historical data from a variety of sources
• perform arithmetic and log returns (standard and cumulative)
• make a performance graph that is both linear and log scale
• Drawdowns should be calculated and graphed.
• Calculate arithmetic and geometric mean, variance, standard deviation, downside deviation, Sharpe ratio, Sortino ratio, Value-At-Risk, Skew, and Kurtosis
• Make a pivot table and a bar graph that show the historical monthly seasonal performance display return frequencies and map them to a normal distribution curve to see skew and kurtosis.

Conversion spreadsheets

The first spreadsheet will take output from one of the online portfolio backtesting tools we’ll be using and convert it into a clean time series, which we can then analyze in greater depth.

The second spreadsheet will perform a similar function, but will take calendar style returns as input and convert them into a clean time series for further analysis.

Comparison spreadsheet

This spreadsheet will take the log returns from the clean time series data we have now created and compare the results of two different portfolios side by side, along with statistics.

Google Apps Script automation code

One of the goals of this course is to cover everything without delving into programming code.

That being said, I’ve written some Google Apps Script automation code to help with some of the above steps, specifically the conversion and comparison spreadsheets.

I don’t explain any of the Google Apps Script code in the course, but I do provide the source code for anyone who wants to use it as a reference for their own spreadsheet automation work.

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