okama.EfficientFrontierReb.gmv_annual_values

property EfficientFrontierReb.gmv_annual_values

Calculate the annualized risk (standard deviation) and CAGR of the Global Minimum Volatility portfolio.

Global Minimum Volatility portfolio is a portfolio with the lowest risk of all possible. Compound annual growth rate (CAGR) is the rate of return that would be required for an investment to grow from its initial to its final value, assuming all incomes were reinvested.

Returns:

tuple

Annualized value of risk (standard deviation), Compound annual growth rate (CAGR) for Global Minimum Volatility portfolio (GMV).

Examples

>>> frontier = ok.EfficientFrontierReb(['SPY.US', 'AGG.US'])
>>> frontier.gmv_annual_values
(0.03695845106087943, 0.04418318557516887)