jf20541 / PortfolioVarianceBW

Collected Bridgewater Associate's 13F SEC Filing for 2021Q1 top 25 holdings based on percentage weight. Calculated factors covariance, factor exposures, idiosyncratic variances, rebalanced weights for Portfolio Variance.

PortfolioVarianceBW

Objective

Collected Bridgewater Associate's 13F SEC Filing for 2021Q1 top 25 holdings based on percentage weight. Calculated factors covariance, factor exposures, idiosyncratic variances, rebalanced weights for Portfolio Variance. Calculating the squared weights mutiplied by each asset's variance plus the covariance of the universe assets multipled by its weights

Repository File Structure

├── src          
│   ├── main.py        # Calculated factors covariance, factor exposures, idiosyncratic variances, rebalanced weights
│   ├── data.py        # Extracted the top 25 holdings(%) in BridgeWater Associates 13-F Filings as of 1Q2021
│   └── config.py      # Define path as global variable
├── requierments.txt   # Packages used for project
└── README.md

Output

Bridgewater Associates Portfolio Variance is 0.00053133

Metric & Mathematics

Array of factors covariance

Array of factor exposures

Array of idiosyncratic variances

Column vector for asset's weights

Universe

Bridgewater Associates's 13F Securities for Q12021

SPY, VWO, WMT, PG, BABA, KO, JNJ, GLD, PEP, IEMG, MCD, COST, FXI, IVV, SBUX, PDD, MCHI, IAU, LQD, EL, ABT, TGT, MDLZ, JD, DHR