okama.AssetList.semideviation_monthly

property AssetList.semideviation_monthly

Calculate semi-deviation monthly values for each asset.

Semi-deviation (Downside risk) is the risk of the return being below the expected return.

Semi-deviation is calculated for rate of retirun time series for the sample from ‘first_date’ to ‘last_date’.

Returns:

Series

Monthly semideviation values for each asset in form of Series.

See also

risk_monthly

Calculate montly risk for each asset.

risk_annual

Calculate annualized risks.

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

>>> al = ok.AssetList(['GC.COMM', 'SHV.US'], ccy='USD', last_date='2021-01')
>>> al.semideviation_monthly
GC.COMM    0.039358
SHV.US     0.000384
dtype: float64