okama.Portfolio.get_var_historic
- Portfolio.get_var_historic(time_frame=12, level=1)
Calculate historic Value at Risk (VaR) for the portfolio.
The VaR calculates the potential loss of an investment with a given time frame and confidence level. Loss is a positive number (expressed in cumulative return). If VaR is negative there are expected gains at this confidence level.
- Parameters:
- time_frameint, default 12
Time frame for VAR. Default is 12 months.
- levelint, default 1
Confidence level in percents. Default value is 1%.
- Returns:
- Float
Historic Value at Risk (VaR) value for the portfolio.
Examples
>>> x = ok.Portfolio(['SP500TR.INDX', 'SP500BDT.INDX'], last_date='2021-01') >>> x.get_var_historic(time_frame=12, level=1) 0.24030006476701732