ALPHA TERMINAL

Methodology & Data Sources

Data Collection

Data for this analysis was collected using the yfinance API, sourcing daily closing prices from Yahoo Finance. The analysis period covers January 1, 2014, to Present.

Asset Groups

  • FANG Stocks: Meta (META), Amazon (AMZN), Netflix (NFLX), Alphabet (GOOGL).
  • EM Currencies: Brazilian Real (BRL), Mexican Peso (MXN), Indian Rupee (INR), South African Rand (ZAR), Turkish Lira (TRY), Indonesian Rupiah (IDR). Note: Returns are calculated against the USD.
  • Commodities: Gold (GC=F), Crude Oil (CL=F), Copper (HG=F), Silver (SI=F), Corn (ZC=F), Wheat (ZW=F).
  • Benchmarks: S&P 500 (GSPC), US Dollar Index (DX-Y.NYB).

Calculations

Blended Portfolios

Portfolios were constructed using an equal-weighted approach. For each trading day, the normalized returns of all valid tickers within a group were averaged to create a synthetic index.

Sharpe Ratio

The Sharpe Ratio was calculated as: Sharpe=Rp−Rfσp\text{Sharpe} = \frac{R_p - R_f}{\sigma_p} Where:

  • $R_p$ = Annualized Return of the portfolio
  • $R_f$ = Risk-Free Rate (assumed 2.5%, approximating the 10-year Treasury yield average)
  • $\sigma_p$ = Annualized Volatility (Standard Deviation of daily returns * $\sqrt{252}$)*

Limitations

  • Survivorship Bias: The FANG group is a retrospective selection of winners.
  • Currency Anomalies: The extreme performance of the Turkish Lira may skew the EM Currency average.
  • Data Gaps: Some commodities futures contracts may have rollover gaps not fully adjusted in continuous series.