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Portfolios for Pension Funds

Here are links to sub-Projects emerging within, listed with the most-recent ones first:

• Explaining the Stability Simulations explains Stability. It seems suitable for those who prefer to stabilize an investable asset, possibly at scale and in addition to using a portfolio-optimization approach to diversify away some of that asset's risks.
• Weights to AUM to Invest: following are rebalancing outputs and investment illustrations:

  • 2021-Dec: weightsAUMinvest-2021Dec has portfolio weights and corresponding share counts from rebalancing of 2021-Dec, which would be valid till 2022-Mar. Excluded list has stocks that did not have enough data from start of simulation. The screenshot aids rebalancing and uses downloadable portfolio share counts. (Beware that its paragraphs' text is yet to be updated to match, but outputs of code-session blocks are valid.)

  • 2021-Sept: weightsAUMinvest-2021Sept20-0825 has portfolio weights and corresponding share counts from rebalancing of 2021-Sept. (Beware that its paragraphs' text is yet to be updated to match, but outputs of code-session blocks are valid.)

    • To illustrate its use which is valid till 2021-Dec:

      • Screenshot aids rebalancing and uses downloadable portfolio share counts pf2021Sept18.

      • Basket-trading BUY orders (excluding existing stock holdings from 2021-Jun and created on Zerodha platform) can be downloaded in JSON format: basket10x and as After-Market (limit) Orders basket10xAMO.

    • Following screenshot shows a portfolio growth of over 17% absolute, consistent with over 36% CAGR annualized which is part of the result commitment moving this author:

      

  • 2021-Jun: weightsAUMinvest-2021Jun20-1535 has portfolio weights and corresponding share counts from rebalancing of 2021-Jun.

    • To illustrate its use which is valid till 2021-Sept, basket-trading BUY orders (excluding existing stock holdings such as ATGL and KPRMILL and created on Zerodha platform) can be downloaded in JSON format: (a) rounded for approx. INR Rs 120,000 at basket1x and (b) rounded to reduce Tracking Error for a larger 5x investment approx. INR Rs 600,000 at basket5x. Basket for exit SELL orders (excluding stock holdings) from 2021-Mar portfolio can be adapted from exitBasket5x.

    • Its earlier version weightsAUMinvest-2021Jun19-2300 reports rebalancing prior to including a further 100 stocks (with missing data) after using Imputation of Financial Time Series. (Beware that their text is yet to be updated to match.)

    • Following screenshot shows a portfolio growth of over 20% absolute, consistent with over 36% CAGR annualized, which is part of the result commitment moving this author:

      

  • 2021-Mar: weightsAUMinvest-2021Mar22-1200 has portfolio weights and corresponding share counts from rebalancing of 2021-Mar. (Beware that its text is yet to be updated to match.)

    • To illustrate its use which is valid till 2021-Jun, basket-trading BUY orders (created on Zerodha platform) can be downloaded in JSON format: (a) rounded for approx. INR Rs 100,000 at basket1x and (b) rounded to reduce Tracking Error for a larger 5x investment approx. INR Rs 500,000 at basket5x.

    • Following screenshots show a portfolio growth of over 20% absolute, consistent with over 36% CAGR annualized, which is part of the result commitment moving this author:

      

  • 2020-Dec: Weights to AUM to Invest.

• 500 invest for 36% CAGR. This is yet to be reduced in size for GitHub to show it. Meanwhile, you could view (and possibly, download 4.4MB of) its PDF form; the code-session outputs and charts are ok to depend on, but beware that its text is yet to be updated to match.
• Rebalancing Objectives.
• Exploring Objectives with R-Optimization Infrastructure (ROI).
• Risk-free Nay Ratna.
• Nay Ratna.

Disclaimer: This author does not have a Research Advisor's license registered with SEBI (Securities Exchange Board of India). The author and family might hold market positions as per the optimal portfolios shared here. The reader may please consider this Disclaimer for assessing any conflict of interest regarding the use of the knowledge shared here. In fact, as expressed in these research viewpoints, the author stands for extraordinary growth and harmony in (pension-) fund management and has taken actions for moving the market regulator PFRDA (Pension Fund Regulatory and Development Authority) and other wealth-ecosystem players for that.