semideviation_annual

property AssetList.semideviation_annual

Return semideviation annualized values for each asset.

Semi-deviation (Downside risk) is the risk of the return being below the expected return.

Semi-deviation is calculated for rate of retirun time series for the sample from ‘first_date’ to ‘last_date’.

Returns:

Series: Annualized semideviation values for each asset in form of Series.

See also

risk_monthly: Calculate montly risk for each asset.
risk_annual: Calculate annualized risks.
semideviation_monthly: Calculate semideviation monthly 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.semideviation_annual
GC.COMM    0.112411
SHV.US     0.001052
dtype: float64