It is expressed as a percentage and calculated as the difference between an investment’s highest and the lowest value, termed as peak and trough, respectively, over a specific period. With tail=False it will give a pandas dataframe with values in a Drawdown refers to the extent to which the value of a fund, stock, or portfolio can decline. If you want only current value of a given ratio, you can use tail=True as a keyword argument
get_downside_capture ( scheme_data, benchmark_data, 250, 22 )
get_upside_capture ( scheme_data, benchmark_data, 250, 22 ) downside_capture = fc. get_beta ( scheme_data, benchmark_data, 250, 22 ) upside_capture = fc. (finance) The borrowing of funds from a financial institution, under the terms of a. get_alpha ( scheme_data, benchmark_data, 250, 22 ) beta = fc. The government initiated a drawdown of forces in the border region. get_treynor ( scheme_data, benchmark_data, 250, 22 ) alpha = fc. get_sortino ( scheme_data, 250, 22 ) treynor = fc. get_sharpe ( scheme_data, 250, 22 ) sortino = fc. get_volatility ( scheme_data, 250, 22 ) sharpe = fc. C&I loan flows exclude loans to non-depository financial institutions due to a change in reporting in this interval. get_drawdown ( scheme_data, 250, 22 ) volatility = fc. To use finance_calculator in a project: import finance_calculator as fc drawdown = fc. Note, to combine the coverage data from all the tox environments run:
Drawdown finance install#
You can also install the in-development version with: pip install Documentation Installation pip install finance-calculator Alpha will need both scheme nav as well as benchmark nav.įor definitions of above terms, check Investopedia. Sharpe ratio will need scheme/portfolio nav. XIRR can be calculated from portfolio cashflows. All data (portfolio/ navs/ market) needs to be passed inĪrguments based on the function getting called. Wherever required in the form of a pandas dataframe. The tool is largely based on pandas and numpy and is capable of giving continuous (rolling) values of ratios It also can be used to calculating portfolio returns like XIRR. Ratios include alpha, beta, sharpe, volatility, upside capture, downside capture, sortino ratio, A simple python tool for calculating ratios used to measure portfolio performance.
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