Simple Dynamic Stock/Bond/Gold Portfolios

This repository contains the code used to reproduce the results in Simple Dynamic Stock/Bond/Gold Portfolios.

Reproduce the results

1. Install uv.

2. Clone this repository and enter it:

   git clone https://github.com/cvxgrp/simple-portfolio-code.git
   cd simple-portfolio-code

3. Install the dependencies:

   uv sync

4. Create keys/fred_api.key containing your FRED API key.

5. Run the scripts in order:

   uv run python scripts/1_download_data.py
   uv run python scripts/2_download_evaluation_data.py
   uv run python scripts/3_download_distributions.py
   uv run python scripts/4_generate_alphas.py
   uv run python scripts/5_run_portfolios.py
   uv run python scripts/6_make_results.py
   uv run python scripts/7_hyperparameter_sensitivity.py
   uv run python scripts/8_walkforward_sensitivity.py
   uv run python scripts/9_statistical_inference.py
   uv run python scripts/10_lagged_information.py
   uv run python scripts/11_risk_based_benchmarks.py
   uv run python scripts/12_covariance_sensitivity.py
   uv run python scripts/13_black_litterman.py
   uv run python scripts/14_cost_sensitivity.py

Most scripts should finish in less than a minute, although 12_covariance_sensitivity.py may take a couple of minutes. Running the full sequence should take roughly 10 minutes or less in total.

If you encounter an error while reproducing the results, please open a GitHub issue.

Generated tables are written to output/tables/ and figures to output/plots/.