get_cumulative_return

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

Calculate the expanding cumulative return time series for each asset.

The cumulative return is the total compounded change in the asset price from the start of the selected period up to and including each subsequent month. The last row contains the cumulative return over the full selected period.

Inflation adjusted cumulative returns (real cumulative returns) are shown with real=True option. Inflation data is taken from the same period if inflation=True in the AssetList.

Parameters:

periodstr or int or None, default None

Trailing period in years. Period should be greater than 0. None - full time cumulative return. ‘YTD’ - (Year To Date) period of time beginning the first day of the calendar year up to the last month.

realbool, default False

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

Returns:

DataFrame

Time series of cumulative return for each asset and cumulative inflation (if inflation=True in AssetList and real=False).

See also

get_rolling_cagr

Calculate rolling CAGR.

get_cagr

Calculate CAGR.

get_rolling_cumulative_return

Calculate rolling cumulative return.

annual_return

Calculate annualized mean return (arithmetic mean).

Examples

>>> x = ok.AssetList(["MCFTR.INDX"], ccy="RUB")
>>> x.get_cumulative_return(period="YTD").tail()
         MCFTR.INDX  RUB.INFL
2024-08    0.083117  0.031241
2024-09    0.094772  0.035987
2024-10    0.118014  0.042601
2024-11    0.131562  0.046832
2024-12    0.148300  0.048500

The last row contains the YTD cumulative return values.