risk_monthly

property AssetList.risk_monthly

Calculate monthly risk expanding time series for each asset.

Monthly risk of the asset is a standard deviation of the rate of return time series. Standard deviation (sigma σ) is normalized by N-1.

Monthly risk is calculated for the rate of retirun time series for the sample from ‘first_date’ to ‘last_date’.

Returns:

DataFrame

Monthly risk (standard deviation) expanding time series for each asset in form of Series.

See also

risk_annual

Calculate annualized risks expanding 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 drawdowns.

Examples

>>> al = ok.AssetList(["GC.COMM", "SHV.US"], ccy="USD", last_date="2021-01")
>>> al.risk_monthly
Symbols   GC.COMM    SHV.US
date
2007-03  0.025668  0.000141
2007-04  0.020872  0.000153
2007-05  0.027513  0.000451
2007-06  0.025988  0.000406
           ...       ...
2020-09  0.051006  0.001380
2020-10  0.050861  0.001377