okama.Portfolio.get_sharpe_ratio
- Portfolio.get_sharpe_ratio(rf_return=0)
Calculate Sharpe ratio.
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 Portfolio base currency.
- Parameters:
- rf_returnfloat, default 0
Risk-free rate of return.
- Returns:
- float
Examples
>>> pf = ok.Portfolio(['VOO.US', 'BND.US'], weights=[0.40, 0.60]) >>> pf.get_sharpe_ratio(rf_return=0.04) 0.7412193684695373