get_rolling_cagr

Portfolio.get_rolling_cagr(window=12, real=False)

Calculate rolling CAGR (Compound Annual Growth Rate) for the portfolio.

Parameters:

windowint, default 12

Size of the moving window in months. Window size should be at least 12 months for CAGR.

realbool, default False

CAGR is adjusted for inflation (real CAGR) if True. Portfolio should be initiated with Inflation=True for real CAGR.

Returns:

DataFrame

Time series of rolling CAGR and mean inflation (optionally).

Notes

CAGR is not defined for periods less than 1 year (NaN values are returned).

Examples

>>> x = ok.Portfolio(["SPY.US", "BND.US"], ccy="EUR", inflation=True)
>>> x.get_rolling_cagr(window=5 * 12, real=True)
         portfolio_...
date
...             ...