Portfolio Risk & Return Analyzer

A Python-based system for analyzing financial assets through empirical return statistics and risk measures.
The project supports real-time data from Yahoo Finance and Stooq, and produces clear Excel-exportable outputs.

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Features

• Data Collection

  • Automated download from Yahoo Finance & Stooq
  • Custom date range and interval
  • Multi-asset support

• Statistical Analysis

  • Log return based calculations
  • Mean, Variance, Standard Deviation
  • Skewness, Kurtosis

• Risk Metrics

  • Value at Risk (VaR 95% / 99%)
  • Expected Shortfall (ES / CVaR)
  • Max Drawdown, CAGR, Calmar Ratio

• Excel Integration

  • Auto-export to Excel with structured tabs
  • Support for intervals: 1D, 3D, 5D, 10D, 1M, Annual
  • Precision formatting & adaptive column widths

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VaR Interpretation by Interval

The Value at Risk (VaR) and Expected Shortfall (ES) are calculated differently depending on the time horizon:

Interval	Method	Formula	Output Scale
1D, 3D, 5D	Scaled log-returns	VaR = logVaR_1D * sqrt(n)	Log-return
10D, 1M, Annual	% loss conversion	VaR = - (1 - exp(logVaR_nD))	Percentage

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Python Packages

• pandas
• numpy
• os
• yfinance
• xlsxwriter

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Project Structure

Models/
├── Main.py               – Main function
├── Export_excel.py       – Excel export functions
├── Portfolio_analysis.py – Risk & statistics calculations
├── Download_Stooq.py     – Data from stooq
├── Download_Yahoo.py     – Data from Yahoo Finance
└── Config.py             – Configuration: tickers, sources, intervals, dates

• Data/ – ticker list
• Excels/ – Final Excel outputs with full statistics
• Requirements.txt – List of required Python packages
• README.md – Project documentation and usage guide

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How To Use

1. Clone or download
2. Install Requirements.txt
3. Open Config.py and add your tickers (stooq or yfinance)
4. Set your preferred time frame for the data
5. Run Main.py

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Author

Miłosz Łebecki (Miloxer02)