semideviation_monthly

property AssetList.semideviation_monthly

Calculate semi-deviation monthly values for each asset.

Semi-deviation (Downside risk) is the risk of the return being below the expected return.

Semi-deviation is calculated for rate of retirun time series for the sample from ‘first_date’ to ‘last_date’.

Returns:

Series: Monthly semideviation values for each asset in form of Series.

See also

risk_monthly: Calculate montly risk for each asset.
risk_annual: Calculate annualized risks.
semideviation_annual: Calculate semideviation annualized values.
get_var_historic: Calculate historic Value at Risk (VaR).
get_cvar_historic: Calculate historic Conditional Value at Risk (CVaR).
drawdowns: Calculate drawdowns.

Examples

>>> al = ok.AssetList(["GC.COMM", "SHV.US"], ccy="USD", last_date="2021-01")
>>> al.semideviation_monthly
GC.COMM    0.032450
SHV.US     0.000304
dtype: float64