PortfolioAnalyzer

This class offers a range of tools to analyze simulation results from various perspectives.

Methods

nav2stats

Method Overview

The method calculates essential statistics for each period based on the provided Net Asset Value (NAV). Key metrics include:

• Total Return

• Compound Annual Growth Rate (CAGR)

• Volatility

• Sharpe Ratio

• Sortino Ratio

• Maximum Drawdown (MDD)

• Skewness

• Kurtosis

• Value at Risk (VaR) 95%

• Value at Risk (VaR) 99%

Parameters

• nav (pandas.Series): A Pandas Series containing daily Net Asset Value (NAV) data.

• period (Literal ['M', 'Q', 'Y', None]): The period for splitting the data. Options are:

  • 'M': Monthly

  • 'Q': Quarterly

  • 'Y': Yearly

  • None: No period splitting