okama.Portfolio.percentile_wealth_history
- Portfolio.percentile_wealth_history(years=1, percentiles=[10, 50, 90])
Calculate portfolio wealth index percentiles.
Percentiles are derived from rolling CAGR historical distribution. CAGR - Compound Annual Growth Rate. Wealth index (Cumulative Wealth Index) is a time series that presents the value of portfolio over a given time period.
Actual portfolio wealth is adjusted to the last known historical value (from ‘wealth_index’). It is useful for a chart with historical wealth index and forecasted values.
- Parameters:
- years: int, default 1
Time frame for portfolio wealth index percentiles. It should not exceed 1/2 of the portfolio history period length ‘period_length’. Percentiles are calculated for periods from 1 to ‘years’.
- percentiles: list of int, default [10, 50, 90]
List of percentiles to be calculated.
- Returns:
- DataFrame
Table with portfolio wealth index percentiles for each period from 1 to ‘years’.
Examples
>>> pf = ok.Portfolio(['SPY.US', 'AGG.US', 'GLD.US'], weights=[.60, .35, .05], rebalancing_period='month') >>> pf.percentile_wealth_history(years=5) 10 50 90 years 1 3815.660408 4202.758919 4457.210561 2 3727.946026 4540.888480 5005.291952 3 3797.214674 4855.631902 5384.216628 4 4173.503054 5274.584657 6018.571025 5 4613.287195 5706.343210 6694.576137