okama.PortfolioDCF.survival_period_hist

PortfolioDCF.survival_period_hist(threshold=0)

Calculate the period when the portfolio has positive balance considering withdrawals on the historical data.

The portfolio survival period (longevity period) depends on the investment strategy: asset allocation, rebalancing, withdrawals rate etc.

Parameters:

thresholdfloat, default 0

The percentage of the initial investments when the portfolio balance considered voided. This parameter is important to use in cash flow strategies with a fixed whtdrawal percentage (PercentageStrategy).

Returns:

float

The portfolio survival period (longevity period) in years.

Examples

>>> pf = ok.Portfolio(
        ['SPY.US', 'AGG.US'],
        ccy='USD',
        first_date='2010-01',
        last_date='2024-10'
    )
>>> # set cash flow strategy
>>> ind = ok.IndexationStrategy(pf)  # create cash flow strategy linked to the portfolio
>>> ind.initial_investment = 10_000  # add initial investment to cash flow strategy
>>> ind.amount = -2_500  # set annual withdrawal size
>>> ind.frequency = "year"  # set withdrawal frequency to year
>>> pf.dcf.cashflow_parameters = ind
>>> # Calculate the historical survival period for the cash flow strategy.
>>> # The balance is considered voided when it's equal to 0 (threshold=0)
>>> pf.dcf.survival_period_hist(threshold=0)
5.1