risk_monthly

property Portfolio.risk_monthly

Calculate monthly risk expanding time series for Portfolio.

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

Returns:

Series

Standard deviation of the monthly return expanding time series.

See also

risk_annual

Calculate annualized risks.

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

>>> pf = ok.Portfolio(["MSFT.US", "AAPL.US"])
>>> pf.risk_monthly
date
1986-05    0.020117
1986-06    0.122032
1986-07    0.130113
1986-08    0.116642
             ...
2023-08    0.092875
2023-09    0.092861
2023-10    0.092759
2023-11    0.092763
2023-12    0.092665
Freq: M, Name: portfolio_1094.PF, Length: 453, dtype: float64