get_cagr

AssetList.get_cagr(period=None, real=False)

Calculate the expanding Compound Annual Growth Rate (CAGR) time series for each asset.

The expanding CAGR at each month is the annualized rate of return required for the investment to grow from its initial value to its value at that month, assuming all incomes were reinvested. The last row contains the CAGR over the full selected period.

Inflation adjusted annualized returns (real CAGR) are shown with real=True option. Annualized inflation is calculated for the same period if inflation=True in the AssetList.

Parameters:

periodint, default None

CAGR trailing period in years. If None, use the full available period.

realbool, default False

CAGR is adjusted for inflation (real CAGR) if True. AssetList should be initiated with inflation=True for real CAGR.

Returns:

DataFrame

Time series of expanding CAGR for each asset and annualized inflation (if inflation=True in AssetList and real=False).

See also

get_rolling_cagr

Calculate rolling CAGR.

get_cumulative_return

Calculate expanding cumulative return.

Notes

CAGR is not defined for periods less than 1 year. The first 11 rows are filled with NaN values.

Examples

>>> x = ok.AssetList(["SPY.US"], ccy="USD", inflation=True)
>>> x.get_cagr(period=5).tail()
           SPY.US  USD.INFL
2024-08  0.137419  0.030126
2024-09  0.144211  0.031120
2024-10  0.150951  0.032150
2024-11  0.146517  0.031044
2024-12  0.151012  0.029504

The last row contains the CAGR values over the full selected period.

To get inflation adjusted annualized return (real CAGR) add real=True option:

>>> x = ok.AssetList(["EURUSD.FX", "CNYUSD.FX"], inflation=True)
>>> x.get_cagr(period=5, real=True).tail()