percentile_distribution_cagr

MonteCarlo.percentile_distribution_cagr(percentiles=[10, 50, 90])

Calculate percentiles for the simulated CAGR distribution.

CAGR (Compound Annual Growth Rate) is calculated for each Monte Carlo return path.

Parameters:

percentileslist[int], default [10, 50, 90]

Percentiles to compute (0-100).

Returns:

dict[int, float]

Mapping {percentile: value}.

Examples

>>> pf = ok.Portfolio(
...     ["SPY.US", "AGG.US", "GLD.US"],
...     weights=[0.60, 0.35, 0.05],
...     rebalancing_strategy=ok.Rebalance(period="year"),
... )
>>> pf.dcf.set_mc_parameters(distribution="norm", period=1)
>>> pf.dcf.mc.percentile_distribution_cagr()
{10: ..., 50: ..., 90: ...}
>>> pf.dcf.set_mc_parameters(period=5)
>>> pf.dcf.mc.percentile_distribution_cagr([5, 10, 20])
{5: ..., 10: ..., 20: ...}