Portfolio Analytics — Index Lab

Description

Python analytics library for tokenized index performance measurement. Calculates Sharpe ratio, Sortino ratio, maximum drawdown, Calmar ratio, and performance attribution across components. Generates PDF/HTML reports with charts for stakeholder communication.

Details

Category: tooling
Files: 14
Chains: Ethereum, Arbitrum, Base

Python 3.10+ pandas numpy matplotlib jinja2 Ethereum Arbitrum Base

Sharpe ratio (risk-free rate configurable)
Sortino ratio (downside deviation)
Maximum drawdown and recovery analysis
Calmar ratio
Performance attribution by component
Correlation analysis across components
Rolling window metrics (30d, 60d, 90d)
PDF and HTML report generation
CSV/JSON data export
CoinGecko/DefiLlama data integration

portfolio-analytics.sol

// SPDX-License-Identifier: MIT
pragma solidity ^0.8.24;

import "@openzeppelin/contracts/token/ERC20/IERC20.sol";

/// @title Portfolio Analytics
/// @notice Performance attribution, Sharpe ratio, drawdown analysis.
contract PortfolioAnalytics {
    address public immutable owner;
    uint256 public constant VERSION = 1;

    event Initialized(address indexed deployer);

    constructor() {
        owner = msg.sender;
        emit Initialized(msg.sender);
    }

    // ... full implementation in purchased package
}