okama.AssetList.get_rolling_risk_annual

AssetList.get_rolling_risk_annual(window=12)

Calculate annualized risk rolling 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 values limited by moving window.

Parameters:

windowint, default 12

Size of the moving window in months.

Returns:

DataFrame

Annualized risk (standard deviation) rolling time series for each asset.

See also

risk_monthly

Calculate montly risk expanding time series for each asset.

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 assets drawdowns.

Examples

>>> import matplotlib.pyplot as plt
>>> x = ok.AssetList(['SPY.US', 'AGG.US'], ccy='USD', inflation=True)
>>> x.get_rolling_risk_annual(window=5*12).plot()
>>> plt.show()