{ "cells": [ { "cell_type": "markdown", "metadata": {}, "source": [ "# Portfolio Hierarchies\n", "\n", "**Prerequisites**\n", "* *Portfolios API* Tutorial\n", "* *Uploaders API* Tutorial\n", "\n", "In this tutorial we are going to demonstrate the usage of the Bayesline Portfolio Hierarchies API. The Portfolio Hierarchies API builds on the Portfolios API (see tutorial for an in depth walk through). It allows to combine portfolios with benchmarks and other groupings and by default applies forward filling and drift correction. This forms the foundation for portfolio analytics, where we can simply link a *Portfolio Hierarchy* and obtain analytics (e.g. a return attribution report) for different portfolios with optional benchmarks and other groupings.\n", "\n", "Specifically, we will introduce and explore:\n", "* *Portfolio Hierarchies*\n", "* Creating a new *Portfolio Hierarchy*\n", " * Only portfolios\n", " * With benchmarks\n", " * Additional Groupings \n", "* Obtaining data\n", "* Housekeeping " ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "## Imports & Setup\n", "\n", "For this tutorial notebook, you will need to import the following packages." ] }, { "cell_type": "code", "execution_count": 2, "metadata": {}, "outputs": [], "source": [ "import datetime as dt\n", "\n", "import polars as pl\n", "\n", "from bayesline.apiclient import BayeslineApiClient\n", "\n", "from bayesline.api.equity import (\n", " PortfolioHierarchySettings,\n", ")" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "We will also need to have a Bayesline API client configured." ] }, { "cell_type": "code", "execution_count": null, "metadata": { "tags": [ "skip-execution" ] }, "outputs": [], "source": [ "bln = BayeslineApiClient.new_client(\n", " endpoint=\"https://[ENDPOINT]\",\n", " api_key=\"[API-KEY]\",\n", ")" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "The main entrypoint for the Portfolios API sits on `bln.equity.portfoliohierarchies`. All portfolio hierarchies functionality can be reached from here on out.\n", "\n", "See here for relevant docs:\n", "* [Portfolio Hierarchies](https://docs.bayesline.com/0.12.1/_autosummary/bayesline.api.equity.AsyncPortfolioHierarchyApi.html)" ] }, { "cell_type": "code", "execution_count": 3, "metadata": {}, "outputs": [], "source": [ "ph_loader = bln.equity.portfoliohierarchies" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "## Portfolio Hierarchies\n", "\n", "In its most plain form a *PortfolioHierarchy* solely consists of a list of portfolio ids and a source or schema that describes where to obtain the data from.\n", "\n", "Below we create some demo portfolio data and upload it to the system such that it can be used for this demo. See the *Uploaders API* tutorial for an in depth walk through on how to bring data into the Bayesline ecosystem. \n", "\n", "In this toy example we create four portfolios with 2 holdings prints, 2025-01-01 and 2025-01-31:\n", "1. `AGTHX` with two holdings\n", "2. `FCNTX` with one holding\n", "3. `VADGX` with three holdings\n", "3. `SPX` with four holdings" ] }, { "cell_type": "code", "execution_count": 4, "metadata": {}, "outputs": [], "source": [ "uploader = bln.equity.uploaders.get_data_type(\"portfolios\").get_or_create_dataset(\"portfolio-hierarchies-demo\")" ] }, { "cell_type": "code", "execution_count": 5, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
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portfolio_idasset_idasset_id_typedatecurrencyshare_qtynav
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"AGTHX""02079K305""cusip9"2026-01-01nullnull0.5
"AGTHX""02079K305""cusip9"2026-01-31nullnull0.55
"AGTHX""2588173""sedol7"2026-01-01nullnull0.5
"AGTHX""2588173""sedol7"2026-01-31nullnull0.45
"FCNTX""67066G10""cusip8"2026-01-01nullnull1.0
…………………
"SPX""2588173""sedol7"2026-01-31nullnull0.2
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"SPX""85371710""cusip8"2026-01-31nullnull0.25
" ], "text/plain": [ "shape: (20, 7)\n", "┌──────────────┬───────────┬───────────────┬────────────┬──────────┬───────────┬──────┐\n", "│ portfolio_id ┆ asset_id ┆ asset_id_type ┆ date ┆ currency ┆ share_qty ┆ nav │\n", "│ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │\n", "│ str ┆ str ┆ str ┆ date ┆ str ┆ f64 ┆ f64 │\n", "╞══════════════╪═══════════╪═══════════════╪════════════╪══════════╪═══════════╪══════╡\n", "│ AGTHX ┆ 02079K305 ┆ cusip9 ┆ 2026-01-01 ┆ null ┆ null ┆ 0.5 │\n", "│ AGTHX ┆ 02079K305 ┆ cusip9 ┆ 2026-01-31 ┆ null ┆ null ┆ 0.55 │\n", "│ AGTHX ┆ 2588173 ┆ sedol7 ┆ 2026-01-01 ┆ null ┆ null ┆ 0.5 │\n", "│ AGTHX ┆ 2588173 ┆ sedol7 ┆ 2026-01-31 ┆ null ┆ null ┆ 0.45 │\n", "│ FCNTX ┆ 67066G10 ┆ cusip8 ┆ 2026-01-01 ┆ null ┆ null ┆ 1.0 │\n", "│ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … │\n", "│ SPX ┆ 2588173 ┆ sedol7 ┆ 2026-01-31 ┆ null ┆ null ┆ 0.2 │\n", "│ SPX ┆ 67066G10 ┆ cusip8 ┆ 2026-01-01 ┆ null ┆ null ┆ 0.3 │\n", "│ SPX ┆ 67066G10 ┆ cusip8 ┆ 2026-01-31 ┆ null ┆ null ┆ 0.25 │\n", "│ SPX ┆ 85371710 ┆ cusip8 ┆ 2026-01-01 ┆ null ┆ null ┆ 0.3 │\n", "│ SPX ┆ 85371710 ┆ cusip8 ┆ 2026-01-31 ┆ null ┆ null ┆ 0.25 │\n", "└──────────────┴───────────┴───────────────┴────────────┴──────────┴───────────┴──────┘" ] }, "execution_count": 5, "metadata": {}, "output_type": "execute_result" } ], "source": [ "portfolio_df = pl.DataFrame({\n", " \"portfolio_id\": [\n", " \"AGTHX\", \"AGTHX\", \"AGTHX\", \"AGTHX\",\n", " \"FCNTX\", \"FCNTX\",\n", " \"VADGX\", \"VADGX\", \"VADGX\", \"VADGX\", \"VADGX\", \"VADGX\",\n", " \"SPX\", \"SPX\", \"SPX\", \"SPX\", \"SPX\", \"SPX\", \"SPX\", \"SPX\",\n", " ],\n", " \"asset_id\": [\n", " # AGTHX\n", " \"02079K305\", \"02079K305\", \n", " \"2588173\", \"2588173\",\n", "\n", " # FCNTX\n", " \"67066G10\", \"67066G10\",\n", "\n", " # VADGX\n", " \"02079K305\", \"02079K305\", \n", " \"2588173\", \"2588173\", \n", " \"67066G10\", \"67066G10\",\n", "\n", " # SPX\n", " \"02079K305\", \"02079K305\", \n", " \"2588173\", \"2588173\",\n", " \"67066G10\", \"67066G10\",\n", " \"85371710\", \"85371710\",\n", "\n", " ], \n", " \"asset_id_type\": [\n", " # AGTHX\n", " \"cusip9\", \"cusip9\", \"sedol7\", \"sedol7\",\n", "\n", " # FCNTX\n", " \"cusip8\", \"cusip8\",\n", "\n", " # VADGX\n", " \"cusip9\", \"cusip9\", \"sedol7\", \"sedol7\", \"cusip8\", \"cusip8\",\n", "\n", " # SPX\n", " \"cusip9\", \"cusip9\", \"sedol7\", \"sedol7\", \"cusip8\", \"cusip8\", \"cusip8\", \"cusip8\",\n", " \n", " ],\n", " \"date\": [\n", " # AGTHX\n", " dt.date(2026, 1, 1), dt.date(2026, 1, 31), \n", " dt.date(2026, 1, 1), dt.date(2026, 1, 31),\n", "\n", " # FCNTX\n", " dt.date(2026, 1, 1), dt.date(2026, 1, 31),\n", "\n", " # VADGX\n", " dt.date(2026, 1, 1), dt.date(2026, 1, 31), \n", " dt.date(2026, 1, 1), dt.date(2026, 1, 31), \n", " dt.date(2026, 1, 1), dt.date(2026, 1, 31), \n", " \n", " # SPX\n", " dt.date(2026, 1, 1), dt.date(2026, 1, 31), \n", " dt.date(2026, 1, 1), dt.date(2026, 1, 31), \n", " dt.date(2026, 1, 1), dt.date(2026, 1, 31), \n", " dt.date(2026, 1, 1), dt.date(2026, 1, 31), \n", " ],\n", " \"currency\": [None] * 20,\n", " \"share_qty\": [None] * 20,\n", " \"nav\": [\n", " # AGTHX\n", " 0.5, 0.55, \n", " 0.5, 0.45,\n", "\n", " # FCNTX\n", " 1.0, 1.0,\n", "\n", " # VADGX\n", " 0.3, 0.5, \n", " 0.4, 0.2,\n", " 0.3, 0.25,\n", "\n", " # SPX\n", " 0.3, 0.3, \n", " 0.4, 0.2,\n", " 0.3, 0.25,\n", " 0.3, 0.25,\n", " ],\n", "}).with_columns(pl.col(\"currency\").cast(pl.String), pl.col(\"share_qty\").cast(pl.Float64))\n", "\n", "portfolio_df" ] }, { "cell_type": "code", "execution_count": 6, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "UploadCommitResult(version=1, committed_names=[])" ] }, "execution_count": 6, "metadata": {}, "output_type": "execute_result" } ], "source": [ "uploader.fast_commit(portfolio_df, mode=\"append\")" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "### Hierarchy with only Portfolios \n", "\n", "Next up we create a portfolio hierarchy with only two of the portfolios we created. This is the first use case of the hierarchy, to subset a larger source of portfolios to only those that are relevant for a specific analysis.\n", "\n", "Note that the `portfolio_ids` must be unique for a hierarchy to be valid." ] }, { "cell_type": "code", "execution_count": 7, "metadata": {}, "outputs": [], "source": [ "ph_settings = PortfolioHierarchySettings.from_source(\n", " source=\"portfolio-hierarchies-demo\",\n", " portfolio_ids=[\"AGTHX\", \"SPX\"],\n", ")\n", "\n", "ph_api = ph_loader.load(ph_settings)" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "Below we obtain holdings data for our setup and we find that:\n", "\n", "1. Only our two specified portfolios are present\n", "2. The values have been forward filled and drift corrected\n", "3. The benchmark is unset (as specified)" ] }, { "cell_type": "code", "execution_count": 8, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
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……………………
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" ], "text/plain": [ "shape: (155, 8)\n", "┌────────────┬─────────────┬─────────────┬─────────────┬─────────────┬──────────┬──────┬───────────┐\n", "│ date ┆ portfolio_g ┆ portfolio_i ┆ input_asset ┆ input_asset ┆ currency ┆ nav ┆ nav_bench │\n", "│ --- ┆ roup ┆ d ┆ _id_type ┆ _id ┆ --- ┆ --- ┆ --- │\n", "│ date ┆ --- ┆ --- ┆ --- ┆ --- ┆ str ┆ f32 ┆ f32 │\n", "│ ┆ str ┆ str ┆ str ┆ str ┆ ┆ ┆ │\n", "╞════════════╪═════════════╪═════════════╪═════════════╪═════════════╪══════════╪══════╪═══════════╡\n", "│ 2026-01-01 ┆ portfolio-h ┆ AGTHX ┆ cusip9 ┆ 02079K305 ┆ USD ┆ 0.5 ┆ null │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-01 ┆ portfolio-h ┆ AGTHX ┆ sedol7 ┆ 2588173 ┆ USD ┆ 0.5 ┆ null │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-01 ┆ portfolio-h ┆ SPX ┆ cusip8 ┆ 67066G10 ┆ USD ┆ 0.3 ┆ null │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-01 ┆ portfolio-h ┆ SPX ┆ cusip9 ┆ 02079K305 ┆ USD ┆ 0.3 ┆ null │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-01 ┆ portfolio-h ┆ SPX ┆ sedol7 ┆ 2588173 ┆ USD ┆ 0.4 ┆ null │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … │\n", "│ 2026-01-31 ┆ portfolio-h ┆ AGTHX ┆ cusip9 ┆ 02079K305 ┆ USD ┆ 0.55 ┆ null │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-31 ┆ portfolio-h ┆ AGTHX ┆ sedol7 ┆ 2588173 ┆ USD ┆ 0.45 ┆ null │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-31 ┆ portfolio-h ┆ SPX ┆ cusip8 ┆ 67066G10 ┆ USD ┆ 0.25 ┆ null │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-31 ┆ portfolio-h ┆ SPX ┆ cusip9 ┆ 02079K305 ┆ USD ┆ 0.3 ┆ null │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-31 ┆ portfolio-h ┆ SPX ┆ sedol7 ┆ 2588173 ┆ USD ┆ 0.2 ┆ null │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "└────────────┴─────────────┴─────────────┴─────────────┴─────────────┴──────────┴──────┴───────────┘" ] }, "execution_count": 8, "metadata": {}, "output_type": "execute_result" } ], "source": [ "ph_api.get(start_date=dt.date(2026, 1, 1), end_date=dt.date(2026, 1, 31))" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "### Adding Benchmarks\n", "\n", "We can add a benchmark to our hierarchy which will populate the benchmark column. Note that we can selectively specify a benchmark, for instance we could benchmark `AGTHX` against `SPX` but leave `SPX` itself unbenchmarked." ] }, { "cell_type": "code", "execution_count": 9, "metadata": {}, "outputs": [], "source": [ "ph_settings = PortfolioHierarchySettings.from_source(\n", " source=\"portfolio-hierarchies-demo\",\n", " portfolio_ids=[\"AGTHX\", \"SPX\"],\n", " benchmark_ids=[\"SPX\", None],\n", ")" ] }, { "cell_type": "code", "execution_count": 10, "metadata": {}, "outputs": [], "source": [ "ph_api = ph_loader.load(ph_settings)" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "Note that the `null` observations are cases where either portfolio or benchmark as a holding but the other does not (in its respective id space)." ] }, { "cell_type": "code", "execution_count": 11, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
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2026-01-01"portfolio-hierarchies-demo""SPX""cusip9""02079K305""USD"0.3null
……………………
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" ], "text/plain": [ "shape: (186, 8)\n", "┌────────────┬─────────────┬─────────────┬─────────────┬─────────────┬──────────┬──────┬───────────┐\n", "│ date ┆ portfolio_g ┆ portfolio_i ┆ input_asset ┆ input_asset ┆ currency ┆ nav ┆ nav_bench │\n", "│ --- ┆ roup ┆ d ┆ _id_type ┆ _id ┆ --- ┆ --- ┆ --- │\n", "│ date ┆ --- ┆ --- ┆ --- ┆ --- ┆ str ┆ f32 ┆ f32 │\n", "│ ┆ str ┆ str ┆ str ┆ str ┆ ┆ ┆ │\n", "╞════════════╪═════════════╪═════════════╪═════════════╪═════════════╪══════════╪══════╪═══════════╡\n", "│ 2026-01-01 ┆ portfolio-h ┆ AGTHX ┆ cusip8 ┆ 67066G10 ┆ USD ┆ null ┆ 0.3 │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-01 ┆ portfolio-h ┆ AGTHX ┆ cusip9 ┆ 02079K305 ┆ USD ┆ 0.5 ┆ 0.3 │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-01 ┆ portfolio-h ┆ AGTHX ┆ sedol7 ┆ 2588173 ┆ USD ┆ 0.5 ┆ 0.4 │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-01 ┆ portfolio-h ┆ SPX ┆ cusip8 ┆ 67066G10 ┆ USD ┆ 0.3 ┆ null │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-01 ┆ portfolio-h ┆ SPX ┆ cusip9 ┆ 02079K305 ┆ USD ┆ 0.3 ┆ null │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … │\n", "│ 2026-01-31 ┆ portfolio-h ┆ AGTHX ┆ cusip9 ┆ 02079K305 ┆ USD ┆ 0.55 ┆ 0.3 │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-31 ┆ portfolio-h ┆ AGTHX ┆ sedol7 ┆ 2588173 ┆ USD ┆ 0.45 ┆ 0.2 │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-31 ┆ portfolio-h ┆ SPX ┆ cusip8 ┆ 67066G10 ┆ USD ┆ 0.25 ┆ null │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-31 ┆ portfolio-h ┆ SPX ┆ cusip9 ┆ 02079K305 ┆ USD ┆ 0.3 ┆ null │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-31 ┆ portfolio-h ┆ SPX ┆ sedol7 ┆ 2588173 ┆ USD ┆ 0.2 ┆ null │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "└────────────┴─────────────┴─────────────┴─────────────┴─────────────┴──────────┴──────┴───────────┘" ] }, "execution_count": 11, "metadata": {}, "output_type": "execute_result" } ], "source": [ "ph_api.get(start_date=dt.date(2026, 1, 1), end_date=dt.date(2026, 1, 31))" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "We can pass one of the supported output id types to map ids on the fly." ] }, { "cell_type": "code", "execution_count": 12, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "{'AGTHX': ['bayesid'], 'SPX': ['bayesid']}" ] }, "execution_count": 12, "metadata": {}, "output_type": "execute_result" } ], "source": [ "ph_api.get_id_types()" ] }, { "cell_type": "code", "execution_count": 13, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
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2026-01-31"portfolio-hierarchies-demo""AGTHX""cusip9""02079K305""bayesid""ICA17F00B9""USD"0.550.3
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2026-01-31"portfolio-hierarchies-demo""SPX""cusip9""02079K305""bayesid""ICA17F00B9""USD"0.3null
2026-01-31"portfolio-hierarchies-demo""SPX""sedol7""2588173""bayesid""ICF982536B""USD"0.2null
" ], "text/plain": [ "shape: (186, 10)\n", "┌────────────┬────────────┬────────────┬────────────┬───┬────────────┬──────────┬──────┬───────────┐\n", "│ date ┆ portfolio_ ┆ portfolio_ ┆ input_asse ┆ … ┆ asset_id ┆ currency ┆ nav ┆ nav_bench │\n", "│ --- ┆ group ┆ id ┆ t_id_type ┆ ┆ --- ┆ --- ┆ --- ┆ --- │\n", "│ date ┆ --- ┆ --- ┆ --- ┆ ┆ str ┆ str ┆ f32 ┆ f32 │\n", "│ ┆ str ┆ str ┆ str ┆ ┆ ┆ ┆ ┆ │\n", "╞════════════╪════════════╪════════════╪════════════╪═══╪════════════╪══════════╪══════╪═══════════╡\n", "│ 2026-01-01 ┆ portfolio- ┆ AGTHX ┆ cusip8 ┆ … ┆ IC46D464E0 ┆ USD ┆ null ┆ 0.3 │\n", "│ ┆ hierarchie ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ s-demo ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-01 ┆ portfolio- ┆ AGTHX ┆ cusip9 ┆ … ┆ ICA17F00B9 ┆ USD ┆ 0.5 ┆ 0.3 │\n", "│ ┆ hierarchie ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ s-demo ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-01 ┆ portfolio- ┆ AGTHX ┆ sedol7 ┆ … ┆ ICF982536B ┆ USD ┆ 0.5 ┆ 0.4 │\n", "│ ┆ hierarchie ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ s-demo ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-01 ┆ portfolio- ┆ SPX ┆ cusip8 ┆ … ┆ IC46D464E0 ┆ USD ┆ 0.3 ┆ null │\n", "│ ┆ hierarchie ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ s-demo ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-01 ┆ portfolio- ┆ SPX ┆ cusip9 ┆ … ┆ ICA17F00B9 ┆ USD ┆ 0.3 ┆ null │\n", "│ ┆ hierarchie ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ s-demo ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … │\n", "│ 2026-01-31 ┆ portfolio- ┆ AGTHX ┆ cusip9 ┆ … ┆ ICA17F00B9 ┆ USD ┆ 0.55 ┆ 0.3 │\n", "│ ┆ hierarchie ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ s-demo ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-31 ┆ portfolio- ┆ AGTHX ┆ sedol7 ┆ … ┆ ICF982536B ┆ USD ┆ 0.45 ┆ 0.2 │\n", "│ ┆ hierarchie ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ s-demo ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-31 ┆ portfolio- ┆ SPX ┆ cusip8 ┆ … ┆ IC46D464E0 ┆ USD ┆ 0.25 ┆ null │\n", "│ ┆ hierarchie ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ s-demo ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-31 ┆ portfolio- ┆ SPX ┆ cusip9 ┆ … ┆ ICA17F00B9 ┆ USD ┆ 0.3 ┆ null │\n", "│ ┆ hierarchie ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ s-demo ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-31 ┆ portfolio- ┆ SPX ┆ sedol7 ┆ … ┆ ICF982536B ┆ USD ┆ 0.2 ┆ null │\n", "│ ┆ hierarchie ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ s-demo ┆ ┆ ┆ ┆ ┆ ┆ ┆ │\n", "└────────────┴────────────┴────────────┴────────────┴───┴────────────┴──────────┴──────┴───────────┘" ] }, "execution_count": 13, "metadata": {}, "output_type": "execute_result" } ], "source": [ "ph_api.get(start_date=dt.date(2026, 1, 1), end_date=dt.date(2026, 1, 31), id_type=\"bayesid\")" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "### Adding Additional Groupings\n", "\n", "We can add additional groupings that downstream can be used to provide additional aggregations for these groupings. For instance we might assign portfolios to managers or a specific investment style.\n", "\n", "Below we're assigning hypothetical managers *Alex* and *Joanna*. Note that these groupings have no effect on the output of the `ph_loader.get` method but they are picked up downstream by the *Reports API*." ] }, { "cell_type": "code", "execution_count": 14, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
\n", "shape: (3, 3)
Managerportfolio_idbenchmark_id
strstrstr
"Alice""AGTHX""SPX"
"Bob""FCNTX""SPX"
"Charlie""VADGX""VADGX"
" ], "text/plain": [ "shape: (3, 3)\n", "┌─────────┬──────────────┬──────────────┐\n", "│ Manager ┆ portfolio_id ┆ benchmark_id │\n", "│ --- ┆ --- ┆ --- │\n", "│ str ┆ str ┆ str │\n", "╞═════════╪══════════════╪══════════════╡\n", "│ Alice ┆ AGTHX ┆ SPX │\n", "│ Bob ┆ FCNTX ┆ SPX │\n", "│ Charlie ┆ VADGX ┆ VADGX │\n", "└─────────┴──────────────┴──────────────┘" ] }, "execution_count": 14, "metadata": {}, "output_type": "execute_result" } ], "source": [ "ph_settings = PortfolioHierarchySettings.from_source(\n", " source=\"portfolio-hierarchies-demo\",\n", " portfolio_ids=[\"AGTHX\", \"FCNTX\", \"VADGX\"],\n", " benchmark_ids=[\"SPX\", \"SPX\", \"VADGX\"],\n", " groupings={\"Manager\": [\"Alice\", \"Bob\", \"Charlie\"]},\n", ")\n", "\n", "\n", "ph_settings.to_polars()" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "### Creating from Polars\n", "\n", "As a shorthand it might be more convenient to create a hierarchy from a data frame instead of manually specifying the Pydantic object." ] }, { "cell_type": "code", "execution_count": 15, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
\n", "shape: (3, 3)
Managerportfolio_idbenchmark_id
strstrstr
"Alice""AGTHX""SPX"
"Bob""FCNTX""SPX"
"Charlie""VADGX""VADGX"
" ], "text/plain": [ "shape: (3, 3)\n", "┌─────────┬──────────────┬──────────────┐\n", "│ Manager ┆ portfolio_id ┆ benchmark_id │\n", "│ --- ┆ --- ┆ --- │\n", "│ str ┆ str ┆ str │\n", "╞═════════╪══════════════╪══════════════╡\n", "│ Alice ┆ AGTHX ┆ SPX │\n", "│ Bob ┆ FCNTX ┆ SPX │\n", "│ Charlie ┆ VADGX ┆ VADGX │\n", "└─────────┴──────────────┴──────────────┘" ] }, "execution_count": 15, "metadata": {}, "output_type": "execute_result" } ], "source": [ "ph_settings_df = ph_settings.to_polars()\n", "\n", "ph_settings_df" ] }, { "cell_type": "code", "execution_count": 16, "metadata": {}, "outputs": [], "source": [ "ph_settings = PortfolioHierarchySettings.from_polars(\n", " ph_settings_df, \n", " portfolio_source=\"portfolio-hierarchies-demo\"\n", ")" ] }, { "cell_type": "code", "execution_count": 17, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
\n", "shape: (279, 8)
dateportfolio_groupportfolio_idinput_asset_id_typeinput_asset_idcurrencynavnav_bench
datestrstrstrstrstrf32f32
2026-01-01"portfolio-hierarchies-demo""AGTHX""cusip8""67066G10""USD"null0.3
2026-01-01"portfolio-hierarchies-demo""AGTHX""cusip9""02079K305""USD"0.50.3
2026-01-01"portfolio-hierarchies-demo""AGTHX""sedol7""2588173""USD"0.50.4
2026-01-01"portfolio-hierarchies-demo""FCNTX""cusip8""67066G10""USD"1.00.3
2026-01-01"portfolio-hierarchies-demo""FCNTX""cusip9""02079K305""USD"null0.3
……………………
2026-01-31"portfolio-hierarchies-demo""FCNTX""cusip9""02079K305""USD"null0.3
2026-01-31"portfolio-hierarchies-demo""FCNTX""sedol7""2588173""USD"null0.2
2026-01-31"portfolio-hierarchies-demo""VADGX""cusip8""67066G10""USD"0.250.25
2026-01-31"portfolio-hierarchies-demo""VADGX""cusip9""02079K305""USD"0.50.5
2026-01-31"portfolio-hierarchies-demo""VADGX""sedol7""2588173""USD"0.20.2
" ], "text/plain": [ "shape: (279, 8)\n", "┌────────────┬─────────────┬─────────────┬─────────────┬─────────────┬──────────┬──────┬───────────┐\n", "│ date ┆ portfolio_g ┆ portfolio_i ┆ input_asset ┆ input_asset ┆ currency ┆ nav ┆ nav_bench │\n", "│ --- ┆ roup ┆ d ┆ _id_type ┆ _id ┆ --- ┆ --- ┆ --- │\n", "│ date ┆ --- ┆ --- ┆ --- ┆ --- ┆ str ┆ f32 ┆ f32 │\n", "│ ┆ str ┆ str ┆ str ┆ str ┆ ┆ ┆ │\n", "╞════════════╪═════════════╪═════════════╪═════════════╪═════════════╪══════════╪══════╪═══════════╡\n", "│ 2026-01-01 ┆ portfolio-h ┆ AGTHX ┆ cusip8 ┆ 67066G10 ┆ USD ┆ null ┆ 0.3 │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-01 ┆ portfolio-h ┆ AGTHX ┆ cusip9 ┆ 02079K305 ┆ USD ┆ 0.5 ┆ 0.3 │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-01 ┆ portfolio-h ┆ AGTHX ┆ sedol7 ┆ 2588173 ┆ USD ┆ 0.5 ┆ 0.4 │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-01 ┆ portfolio-h ┆ FCNTX ┆ cusip8 ┆ 67066G10 ┆ USD ┆ 1.0 ┆ 0.3 │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-01 ┆ portfolio-h ┆ FCNTX ┆ cusip9 ┆ 02079K305 ┆ USD ┆ null ┆ 0.3 │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … │\n", "│ 2026-01-31 ┆ portfolio-h ┆ FCNTX ┆ cusip9 ┆ 02079K305 ┆ USD ┆ null ┆ 0.3 │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-31 ┆ portfolio-h ┆ FCNTX ┆ sedol7 ┆ 2588173 ┆ USD ┆ null ┆ 0.2 │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-31 ┆ portfolio-h ┆ VADGX ┆ cusip8 ┆ 67066G10 ┆ USD ┆ 0.25 ┆ 0.25 │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-31 ┆ portfolio-h ┆ VADGX ┆ cusip9 ┆ 02079K305 ┆ USD ┆ 0.5 ┆ 0.5 │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ 2026-01-31 ┆ portfolio-h ┆ VADGX ┆ sedol7 ┆ 2588173 ┆ USD ┆ 0.2 ┆ 0.2 │\n", "│ ┆ ierarchies- ┆ ┆ ┆ ┆ ┆ ┆ │\n", "│ ┆ demo ┆ ┆ ┆ ┆ ┆ ┆ │\n", "└────────────┴─────────────┴─────────────┴─────────────┴─────────────┴──────────┴──────┴───────────┘" ] }, "execution_count": 17, "metadata": {}, "output_type": "execute_result" } ], "source": [ "ph_api = ph_loader.load(ph_settings)\n", "\n", "ph_api.get(start_date=dt.date(2026, 1, 1), end_date=dt.date(2026, 1, 31))" ] } ], "metadata": { "kernelspec": { "display_name": ".venv", "language": "python", "name": "python3" }, "language_info": { "codemirror_mode": { "name": "ipython", "version": 3 }, "file_extension": ".py", "mimetype": "text/x-python", "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", "version": "3.11.15" } }, "nbformat": 4, "nbformat_minor": 2 }