ppar 0.1.0__tar.gz

ppar-0.1.0/LICENSE

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+Copyright (c) 2025, John D. Reynolds
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

ppar-0.1.0/PKG-INFO

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+Metadata-Version: 2.2
+Name: ppar
+Version: 0.1.0
+Summary: A python-based application that produces multi-period attribution, contribution, and benchmark-relative ex-post risk statistics.
+Author-email: John Reynolds <jjjkreynolds@gmail.com>
+License: Copyright (c) 2025, John D. Reynolds
+        
+        Permission is hereby granted, free of charge, to any person obtaining a copy
+        of this software and associated documentation files (the "Software"), to deal
+        in the Software without restriction, including without limitation the rights
+        to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+        copies of the Software, and to permit persons to whom the Software is
+        furnished to do so, subject to the following conditions:
+        
+        The above copyright notice and this permission notice shall be included in all
+        copies or substantial portions of the Software.
+        
+        THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+        IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+        FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+        AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+        LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+        OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+        SOFTWARE.
+Project-URL: Repository, https://github.com/JohnDReynolds/portfolio-performance-analytics
+Keywords: portfolio,performance,analytics,attribution,brinson,fachler,risk,statistics
+Requires-Python: >=3.12.1
+Description-Content-Type: text/markdown
+License-File: LICENSE
+Requires-Dist: great_tables>=0.14.0
+Requires-Dist: lxml>=5.1.0
+Requires-Dist: matplotlib>=3.8.2
+Requires-Dist: numpy>=1.26.4
+Requires-Dist: pandas>=2.2.2
+Requires-Dist: polars>=1.16.0
+Requires-Dist: pyarrow>=15.0.1
+Requires-Dist: scipy>=1.12.0
+Requires-Dist: seaborn>=0.13.2
+
+# portfolio-performance-analytics
+portfolio-performance-analytics (ppar) is a python-based application that produces holdings-based multi-period attribution, contribution, and benchmark-relative ex-post risk statistics.
+
+[License](LICENSE)
+
+## Table of Contents
+
+- [Description](#description)
+- [Features](#features)
+- [Usage](#usage)
+- [Implementation](#implementation)
+- [Enhancements](#enhancements)
+- [Technical](#technical)
+
+---
+
+## Description
+
+portfolio-performance-analytics (ppar) is a python package that produces holdings-based multi-period attribution, contribution, and benchmark-relative ex-post risk statistics. It uses the Brinson-Fachler methodology for calculating attribution effects, and uses the Carino method for logarithmically-smoothing cumulative effects over multi-period time frames.
+
+The inputs required to produce the analytics fall into three categories:
+1. Periodic "classification-level" weights and returns for a portfolio and its benchmark.  A "classification" can be any category such as region, country, economic sector, industry, security, etc.  The weights and returns must satisfy the formula: *SumOf(weights * returns) = Total Return*. They will typically be beginning-of-period weights and period returns. (Required)
+2. Classification items and descriptions. (Optional)
+3. Mappings from the classification scheme of the weights and returns to a reporting classification. (Optional)
+
+The input data may be provided directly as either:
+1. Pandas DataFrames.
+2. Polars DataFrames.
+3. Python dictionaries (for Classifications and Mappings).
+4. csv files.
+
+For sample input data sources, please refer to the python script demo.py and the ppar/demo_data directory.  Once the input data has been provided, then the analytics may be requested using different calculation parameters, time-periods, and frequencies:
+1. Daily (or for whatever data frequency is provided).
+2. Monthly
+3. Quarterly
+4. Yearly
+
+The outputs are represented by different views and charts.  See [Features](#features) below.  They may be delivered in different formats:
+1. csv files
+2. html strings
+3. json strings
+4. Pandas DataFrames
+5. png files
+6. Polars DataFrames
+7. Python "great tables"
+8. xml strings
+
+---
+
+## Features
+
+The below sample outputs portray a large-cap alpha strategy that has achieved a high active return of 1737 bps over the benchmark.  In the total lines of the Economic Sector Attribution reports, you can see that this active return can be broken down into 359 bps in sector allocation and 1378 bps in selecting securities.  From the Risk Statistics report, you can see that this has been accomplished with a lower downside probabilty than the benchmark (29% vs 36%), and a higher annualized sharpe ratio than the benchmark (2.02 vs 1.27).  The largest contributor to active performance was in the Information Technology Sector.  Although the portfolio was slightly under-allocated in the Information Technology sector (by -0.05%), it did an excellent job of selecting securities for a total active contribution of 431 bps in the sector.
+
+- **Attribution & Contribution**:
+<img src="images/CumulativeAttributionByEconomicSector.jpg" alt="Cumulative Attribution by Economic Sector Table" width="100%" />
+<br><br><br>
+<img src="images/OverallAttributionByEconomicSector.jpg" alt="Overall Attribution by Economic Sector Table" width="100%" />
+<br><br><br>
+<img src="images/OverallAttributionBySecurity.jpg" alt="Overall Attribution by Security Table" width="100%" />
+<br><br><br>
+<img src="images/OverallAttributionByEconomicSector.png" alt="Overall Attribution by Economic Sector Chart" width="100%" />
+<br><br><br>
+<img src="images/OverallContributionByEconomicSector.png" alt="Overall Contribution by Economic Sector Chart" width="100%" />
+<br><br><br>
+<img src="images/SubPeriodAttributionEffectsByEconomicSector.png" alt="Sub-Period Attribution Effects by Economic Sector Chart" width="100%" />
+<br><br><br>
+<img src="images/SubPeriodReturns.png" alt="Sub-Period Returns Chart" width="100%" />
+<br><br><br>
+<img src="images/ActiveContributionsByEconomicSector.png" alt="Active Contributions by Economic Sector Chart" width="100%" />
+<br><br><br>
+<img src="images/TotalAttributionEffectsByEconomicSector.png" alt="Total Attribution Effects by Economic Sector Chart" width="100%" />
+<br><br><br>
+<img src="images/CumulativeAttributionEffectsByEconomicSector.png" alt="Cumulative Attribution Effect by Economic Sector Chart" width="100%" />
+<br><br><br>
+<img src="images/CumulativeReturns.png" alt="Cumulative Returns" width="100%" />
+<br><br><br>
+
+- **Ex-Post Risk Statistics**:
+<img src="images/RiskStatistics.jpg" alt="Risk Statistics" width="100%" />
+<br>
+
+---
+
+## Installation
+pip install ppar
+
+---
+
+## Usage
+python demo.py
+
+---
+
+## Implementation
+Typically, a user will develop their own "data source" functions that provide the data in one of the above formats.  The python script "demo.py" has sample data source functions.
+
+Users can also develop their own "presentation layer" using the various output formats as the inputs to their presentation layer.
+
+This application can also be made available as a PyPi python package.
+
+---
+
+## Enhancements
+Future enhancements may include:
+1. Break out the interaction (cross-product) effect.  It is currently included in the selection effect.
+2. Break out the currency effect.
+3. Additional multi-period smoothing algorithms (e.g. Menchero).
+4. The independent treatment of the long and short sides of each sector.
+5. Support time-series of risk-free rates (as opposed to a single annual rate).
+
+---
+
+## Technical
+Being built on top of Polars dataframes, ppar is able to efficiently process large datasets through parallel processing, vectorization, lazy evaluation, and using Apache Arrow as its underlying data format.

ppar-0.1.0/README.md

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+# portfolio-performance-analytics
+portfolio-performance-analytics (ppar) is a python-based application that produces holdings-based multi-period attribution, contribution, and benchmark-relative ex-post risk statistics.
+
+[License](LICENSE)
+
+## Table of Contents
+
+- [Description](#description)
+- [Features](#features)
+- [Usage](#usage)
+- [Implementation](#implementation)
+- [Enhancements](#enhancements)
+- [Technical](#technical)
+
+---
+
+## Description
+
+portfolio-performance-analytics (ppar) is a python package that produces holdings-based multi-period attribution, contribution, and benchmark-relative ex-post risk statistics. It uses the Brinson-Fachler methodology for calculating attribution effects, and uses the Carino method for logarithmically-smoothing cumulative effects over multi-period time frames.
+
+The inputs required to produce the analytics fall into three categories:
+1. Periodic "classification-level" weights and returns for a portfolio and its benchmark.  A "classification" can be any category such as region, country, economic sector, industry, security, etc.  The weights and returns must satisfy the formula: *SumOf(weights * returns) = Total Return*. They will typically be beginning-of-period weights and period returns. (Required)
+2. Classification items and descriptions. (Optional)
+3. Mappings from the classification scheme of the weights and returns to a reporting classification. (Optional)
+
+The input data may be provided directly as either:
+1. Pandas DataFrames.
+2. Polars DataFrames.
+3. Python dictionaries (for Classifications and Mappings).
+4. csv files.
+
+For sample input data sources, please refer to the python script demo.py and the ppar/demo_data directory.  Once the input data has been provided, then the analytics may be requested using different calculation parameters, time-periods, and frequencies:
+1. Daily (or for whatever data frequency is provided).
+2. Monthly
+3. Quarterly
+4. Yearly
+
+The outputs are represented by different views and charts.  See [Features](#features) below.  They may be delivered in different formats:
+1. csv files
+2. html strings
+3. json strings
+4. Pandas DataFrames
+5. png files
+6. Polars DataFrames
+7. Python "great tables"
+8. xml strings
+
+---
+
+## Features
+
+The below sample outputs portray a large-cap alpha strategy that has achieved a high active return of 1737 bps over the benchmark.  In the total lines of the Economic Sector Attribution reports, you can see that this active return can be broken down into 359 bps in sector allocation and 1378 bps in selecting securities.  From the Risk Statistics report, you can see that this has been accomplished with a lower downside probabilty than the benchmark (29% vs 36%), and a higher annualized sharpe ratio than the benchmark (2.02 vs 1.27).  The largest contributor to active performance was in the Information Technology Sector.  Although the portfolio was slightly under-allocated in the Information Technology sector (by -0.05%), it did an excellent job of selecting securities for a total active contribution of 431 bps in the sector.
+
+- **Attribution & Contribution**:
+<img src="images/CumulativeAttributionByEconomicSector.jpg" alt="Cumulative Attribution by Economic Sector Table" width="100%" />
+<br><br><br>
+<img src="images/OverallAttributionByEconomicSector.jpg" alt="Overall Attribution by Economic Sector Table" width="100%" />
+<br><br><br>
+<img src="images/OverallAttributionBySecurity.jpg" alt="Overall Attribution by Security Table" width="100%" />
+<br><br><br>
+<img src="images/OverallAttributionByEconomicSector.png" alt="Overall Attribution by Economic Sector Chart" width="100%" />
+<br><br><br>
+<img src="images/OverallContributionByEconomicSector.png" alt="Overall Contribution by Economic Sector Chart" width="100%" />
+<br><br><br>
+<img src="images/SubPeriodAttributionEffectsByEconomicSector.png" alt="Sub-Period Attribution Effects by Economic Sector Chart" width="100%" />
+<br><br><br>
+<img src="images/SubPeriodReturns.png" alt="Sub-Period Returns Chart" width="100%" />
+<br><br><br>
+<img src="images/ActiveContributionsByEconomicSector.png" alt="Active Contributions by Economic Sector Chart" width="100%" />
+<br><br><br>
+<img src="images/TotalAttributionEffectsByEconomicSector.png" alt="Total Attribution Effects by Economic Sector Chart" width="100%" />
+<br><br><br>
+<img src="images/CumulativeAttributionEffectsByEconomicSector.png" alt="Cumulative Attribution Effect by Economic Sector Chart" width="100%" />
+<br><br><br>
+<img src="images/CumulativeReturns.png" alt="Cumulative Returns" width="100%" />
+<br><br><br>
+
+- **Ex-Post Risk Statistics**:
+<img src="images/RiskStatistics.jpg" alt="Risk Statistics" width="100%" />
+<br>
+
+---
+
+## Installation
+pip install ppar
+
+---
+
+## Usage
+python demo.py
+
+---
+
+## Implementation
+Typically, a user will develop their own "data source" functions that provide the data in one of the above formats.  The python script "demo.py" has sample data source functions.
+
+Users can also develop their own "presentation layer" using the various output formats as the inputs to their presentation layer.
+
+This application can also be made available as a PyPi python package.
+
+---
+
+## Enhancements
+Future enhancements may include:
+1. Break out the interaction (cross-product) effect.  It is currently included in the selection effect.
+2. Break out the currency effect.
+3. Additional multi-period smoothing algorithms (e.g. Menchero).
+4. The independent treatment of the long and short sides of each sector.
+5. Support time-series of risk-free rates (as opposed to a single annual rate).
+
+---
+
+## Technical
+Being built on top of Polars dataframes, ppar is able to efficiently process large datasets through parallel processing, vectorization, lazy evaluation, and using Apache Arrow as its underlying data format.

ppar-0.1.0/ppar/__init__.py

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+"""
+Imports and publc exposure for the package.
+"""
+
+# Explicitly import the specific members or modules.
+# If they are defined below in __all__, then they must be imported here.
+from ppar.analytics import Analytics
+from ppar.attribution import Attribution, View
+from ppar.frequency import Frequency
+from ppar.riskstatistics import RiskStatistics
+
+# Define the public API using __all__
+__all__ = [
+    "Analytics",
+    "Attribution",
+    "Frequency",
+    "RiskStatistics",
+    "View",
+]