okama.AssetList.get_sharpe_ratio

AssetList.get_sharpe_ratio(rf_return=0)

Calculate Sharpe ratio for the assets.

The Sharpe ratio is the average annual return in excess of the risk-free rate per unit of risk (annualized standard deviation).

Risk-free rate should be taken according to the AssetList base currency.

Parameters:

rf_returnfloat, default 0

Risk-free rate of return.

Returns:

pd.Series

Examples

>>> al = ok.AssetList(['VOO.US', 'BND.US'])
>>> al.get_sharpe_ratio(rf_return=0.02)
VOO.US    0.962619
BND.US    0.390814
dtype: float64