okama.AssetList.risk_annual

property AssetList.risk_annual

Calculate annualized risk expanding 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 from ‘first_date’ to ‘last_date’ (expanding).

Returns:

DataFrame: Annualized risk (standard deviation) expanding time series for each asset.

See also

risk_monthly: Calculate montly risk expanding time series for each asset.
get_rolling_risk_annual: Calculate annualized risk rolling time series.
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.

Notes

CFA recomendations are used to annualize risk values [1].

[1]

What’s Wrong with Multiplying by the Square Root of Twelve. Paul D. Kaplan, CFA Institute Journal Review, 2013

Examples

>>> al = ok.AssetList(['GC.COMM', 'SHV.US'], ccy='USD', last_date='2021-01')
>>> al.risk_annual
GC.COMM    0.195236
SHV.US     0.004960
dtype: float64