risk_annual

property AssetList.risk_annual

Calculate annualized risk expanding time series for each asset.

Risk is a standard deviation of the rate of return.

Annualized risk time series is calculated for the rate of return from ‘first_date’ to ‘last_date’ (expanding).

Returns:

DataFrame: Annualized risk (standard deviation) expanding time series for each asset.

See also

risk_monthly: Calculate montly risk expanding time series for each asset.
get_rolling_risk_annual: Calculate annualized risk rolling time series.
semideviation_monthly: Calculate semideviation monthly values.
semideviation_annual: Calculate semideviation annualized values.
get_var_historic: Calculate historic Value at Risk (VaR).
get_cvar_historic: Calculate historic Conditional Value at Risk (CVaR).
drawdowns: Calculate assets drawdowns.

Notes

CFA recomendations are used to annualize risk values [1].

[1]

What’s Wrong with Multiplying by the Square Root of Twelve. Paul D. Kaplan, CFA Institute Journal Review, 2013

Examples

>>> al = ok.AssetList(["GC.COMM", "SHV.US"], ccy="USD", last_date="2021-01")
>>> al.risk_annual
Symbols   GC.COMM    SHV.US
date
2007-03  0.097820  0.000511
2007-04  0.084806  0.000552
2007-05  0.099466  0.001633
2007-06  0.089265  0.001472
2007-07  0.095290  0.001442
...           ...       ...
2020-09  0.193815  0.004824
2020-10  0.193087  0.004813
2020-11  0.192583  0.004807
2020-12  0.193513  0.004796
2021-01  0.192754  0.004788
[167 rows x 2 columns]