okama.Portfolio.get_rolling_cagr
- Portfolio.get_rolling_cagr(window=12, real=False)
Calculate rolling CAGR (Compound Annual Growth Rate) for the portfolio.
- Parameters:
- windowint, default 12
Size of the moving window in months. Window size should be at least 12 months for CAGR.
- real: bool, default False
CAGR is adjusted for inflation (real CAGR) if True. Portfolio should be initiated with Inflation=True for real CAGR.
- Returns:
- DataFrame
Time series of rolling CAGR and mean inflation (optionaly).
Notes
CAGR is not defined for periods less than 1 year (NaN values are returned).
Examples
>>> x = ok.Portfolio(['DXET.XFRA', 'DBXN.XFRA'], ccy='EUR', inflation=True) >>> x.get_rolling_cagr(window=5*12, real=True) portfolio_7645.PF 2013-09 0.029914 2013-10 0.052435 2013-11 0.055651 2013-12 0.045180 2014-01 0.063153 ... 2021-01 0.032734 2021-02 0.037779 2021-03 0.043811 2021-04 0.043729 2021-05 0.042704