okama.AssetList.describe

AssetList.describe(years=(1, 5, 10), tickers=True)

Generate descriptive statistics for a list of assets.

Statistics includes:

  • YTD (Year To date) compound return

  • CAGR for a given list of periods and full available period

  • Annualized mean rate of return (full available period)

  • LTM Dividend yield - last twelve months dividend yield

Risk metrics (full period):

  • risk (standard deviation)

  • CVAR (timeframe is 1 year)

  • max drawdowns (and dates of the drawdowns)

Statistics also shows for each asset: - inception date - first date available for each asset - last asset date - available for each asset date - Common last data date - common for the asset list data (may be set by last_date manually)

Parameters:
yearstuple of (int,), default (1, 5, 10)

List of periods for CAGR.

tickersbool, default True

Defines whether show tickers (True) or assets names in the header.

Returns:
DataFrame

Table of descriptive statistics for a list of assets.

See also

get_cumulative_return

Calculate cumulative return.

get_cagr

Calculate assets Compound Annual Growth Rate (CAGR).

dividend_yield

Calculate dividend yield (LTM).

risk_annual

Return annualized risks (standard deviation).

get_cvar

Calculate historic Conditional Value at Risk (CVAR, expected shortfall).

drawdowns

Calculate drawdowns.

Examples

>>> al = ok.AssetList(['SPY.US', 'AGG.US'], last_date='2021-08')
>>> al.describe(years=[1, 10, 15])
                 property               period    AGG.US    SPY.US inflation
0         Compound return                  YTD -0.005620  0.180519  0.048154
1                    CAGR              1 years -0.007530  0.363021  0.053717
2                    CAGR             10 years  0.032918  0.152310  0.019136
3                    CAGR             15 years  0.043013  0.107598  0.019788
4                    CAGR  17 years, 10 months  0.039793  0.107972  0.022002
5          Dividend yield                  LTM  0.018690  0.012709       NaN
6                    Risk  17 years, 10 months  0.037796  0.158301       NaN
7                    CVAR  17 years, 10 months  0.023107  0.399398       NaN