1 files changed, 11 insertions, 0 deletions
diff --git a/python/exploration/jtd.py b/python/exploration/jtd.py
new file mode 100644
index 00000000..10fd8422
--- /dev/null
+++ b/python/exploration/jtd.py
@@ -0,0 +1,11 @@
+from risk.indices import get_index_portfolio
+from serenitas.utils.db import dbconn
+import datetime
+
+month_end = datetime.date(2021, 8, 31)
+conn = dbconn("dawndb")
+portf = get_index_portfolio(month_end, conn, by_strat=False)
+d = {}
+for t in portf:
+    d[(t.name, t.notional)] = t.jtd_single_names().reset_index(1, drop=True)
+result = pd.concat(d, axis=1, names=["name", "notional"]).sort_index()