PlaygroundData Catalogue

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.

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