compare_with_bm

Description

This functionality allows you to analyze the performance of a specific model compared to chosen benchmarks over a selected time frame. Utilize Plotly for interactive graphics or Matplotlib for static visualizations.

Parameters

• model (str): The identifier for the model under analysis.

• bms (str or list): A benchmark or list of benchmarks for comparison.

• start (int, optional): The start date for the analysis period, in YYYYMMDD format.

• end (int, optional): The end date for the analysis period, in YYYYMMDD format.

• interest (bool, optional): Adjust returns for compounding interest if set to True.

• interactive (bool, optional): Choose between interactive visualization with Plotly or static visualization with Matplotlib.

Example

Evaluator.compare_with_bm('alpha.krx.krx.stock.ywcho.SP6NDQ4',
                bms = ['KOSPI', 'NASDAQ100', 'alpha.krx.krx.stock.ywcho.SP4NDQ6'],
                start =20210101,
                end =20240603,
                interest = True,
                interactive=False)

Benchmarks Overview

This section provides a selection of key benchmark indices that are crucial in assessing the global financial market's performance. These benchmarks act as reference points for investors, analysts, and portfolio managers:

Global Indices:

• MSCI ACWI (All Country World Index)

North American Indices:

• DJIA (Dow Jones Industrial Average)

• NASDAQ100

• NASDAQ_COMPOSITE

• RUSSELL_2000

• S&P500

• MSCI_US_REIT

• US_DOLLAR

• US_DOLLAR_INDEX

• VIX (CBOE Volatility Index)

• CANADA_S&P_TSX

European Indices:

• DAX (Germany's DAX Index)

• EURO_STOXX_50

• FTSE_100_INDEX (UK Financial Times Stock Exchange 100 Index)

• STOXX50

• STOXX600

Asian Indices:

• CSI300 (China Securities Index 300)

• HANG_SENG_INDEX

• HANG_SENG_CHINA_ENTERPRISES_INDEX

• HO_CHI_MINH_STOCK_INDEX (Vietnam)

• KOSPI

• KOSDAQ

• NIKKEI_225_INDEX (Japan)

• PHLX_SEMICONDUCTOR_S

• SHANGHAI_COMPOSITE_INDEX

KOSPI-Specific Categories:

• KOSPI200

• KOSPI_LARGECAP

• KOSPI_MIDCAP

• KOSPI_SMALLCAP

Specialty Commodity Indices:

• S&P_GSCI (Standard & Poor's Goldman Sachs Commodity Index)

• S&P_GSCI_CRUDE

• S&P_GSCI_PM (Precious Metals)

Errors

• Raises an ImportError if Plotly or Matplotlib is not installed.

• Raises a ValueError for incorrect parameter inputs.