okama.Portfolio.percentile_history_cagr

Portfolio.percentile_history_cagr(years, percentiles=[10, 50, 90])

Calculate given percentiles for portfolio rolling CAGR distribution from the historical data.

CAGR - Compound Annual Growth Rate. Each percentile is calculated for a period range from 1 year to ‘years’.

Parameters:

years: int, default 1

Max window size for rolling CAGR in the distribution in years. It should not exceed 1/2 of the portfolio history period length ‘period_length’.

percentiles: list of int, default [10, 50, 90]

List of percentiles to be calculated.

Returns:

DataFrame

Table with percentiles values for each period from 1 to ‘years’.

Examples

>>> pf = ok.Portfolio(['SPY.US', 'AGG.US', 'GLD.US'], weights=[.60, .35, .05], rebalancing_period='none')
>>> pf.percentile_history_cagr(years=5, percentiles=[1, 50, 99])
             1         50        99
years
1     -0.231327  0.098693  0.295343
2     -0.101689  0.091824  0.206471
3     -0.036771  0.085428  0.157833
4     -0.007674  0.085178  0.142195
5      0.030933  0.082865  0.134496