Contents

src.finance_calculator.api.get_alpha(nav_data, benchmark_nav_data, risk_free_rate=None, window=750, annualiser=250, tail=True)

Alpha describes a strategy’s ability to beat the market, or it’s “edge.” Alpha is thus also often referred to as “excess return” or “abnormal rate of return,” which refers to the idea that markets are efficient, and so there is no way to systematically earn returns that exceed the broad market as a whole. Alpha is often used in conjunction with beta (the Greek letter β), which measures the broad market’s overall volatility or risk, known as systematic market risk. (Investopedia)

Parameters:

• nav_data –
• benchmark_nav_data –
• risk_free_rate – float
• window – int
• annualiser – int
• tail – bool

Returns:

src.finance_calculator.api.get_beta(nav_data, benchmark_nav_data, risk_free_rate=None, window=750, annualiser=250, tail=True)

Beta is a measure of the volatility—or systematic risk—of a security or portfolio compared to the market as a whole. Beta is used in the capital asset pricing model (CAPM), which describes the relationship between systematic risk and expected return for assets (usually stocks). CAPM is widely used as a method for pricing risky securities and for generating estimates of the expected returns of assets, considering both the risk of those assets and the cost of capital. (Investopedia)

Parameters:

• nav_data –
• benchmark_nav_data –
• risk_free_rate – float
• window – int
• annualiser – int
• tail – bool

src.finance_calculator.api.get_downside_capture(nav_data, benchmark_nav_data, risk_free_rate=None, window=750, annualiser=250, tail=True)

The down-market capture ratio is a statistical measure of an investment manager’s overall performance in down-markets. It is used to evaluate how well an investment manager performed relative to an index during periods when that index has dropped. The ratio is calculated by dividing the manager’s returns by the returns of the index during the down-market and multiplying that factor by 100. (Investopedia)

Parameters:

• nav_data –
• benchmark_nav_data –
• risk_free_rate – float
• window – int
• annualiser – int
• tail – bool

Returns:

src.finance_calculator.api.get_drawdown(nav_data, window=750, annualiser=250, tail=True)

A drawdown is a peak-to-trough decline during a specific period for an investment, trading account, or fund. A drawdown is usually quoted as the percentage between the peak and the subsequent trough. If a trading account has $10,000 in it, and the funds drop to $9,000 before moving back above $10,000, then the trading account witnessed a 10% drawdown. (Investopedia)

window is about the rolling window for which the calculation is to be done annualiser is an int which can be understood as the number of entries we have in a year. We are using it to annualise values ans

Parameters:

• nav_data –
• window – int
• annualiser – int
• tail – bool

Returns:

src.finance_calculator.api.get_ratio_calculator(nav_data, benchmark_nav_data=None, risk_free_rate=None, annualiser=250)

returns a ratio calculator instance which can be used to call functions as below:

>>> import finance_calculator as fc
>>> rc = fc.get_ratio_calculator(nav_data, benchmark_nav_data)
>>> beta_df = rc.get_beta(window=250*3)
>>> alpha_df = rc.get_alpha(window=250*3)

benefit is that the data pre processing would not happen multiple time if you have to get multiple ratios on the same data-set. You need to pass window value separately for each function

Parameters:

• nav_data –
• benchmark_nav_data –
• risk_free_rate – float
• annualiser – int

Returns:

src.finance_calculator.api.get_sharpe(nav_data, benchmark_nav_data, risk_free_rate=None, window=750, annualiser=250, tail=True)

The Sharpe ratio was developed by Nobel laureate William F. Sharpe and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Volatility is a measure of the price fluctuations of an asset or portfolio. (Investopedia)

Parameters:

• nav_data –
• benchmark_nav_data –
• risk_free_rate – float
• window – int
• annualiser – int
• tail – bool

Returns:

src.finance_calculator.api.get_sortino(nav_data, benchmark_nav_data, risk_free_rate=None, window=750, annualiser=250, tail=True)

The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset’s standard deviation of negative portfolio returns—downside deviation—instead of the total standard deviation of portfolio returns. The Sortino ratio takes an asset or portfolio’s return and subtracts the risk-free rate, and then divides that amount by the asset’s downside deviation. (Investopedia)

Parameters:

• nav_data –
• benchmark_nav_data –
• risk_free_rate – float
• window – int
• annualiser – int
• tail – bool

Returns:

src.finance_calculator.api.get_treynor(nav_data, benchmark_nav_data, risk_free_rate=None, window=750, annualiser=250, tail=True)

The Treynor ratio, also known as the reward-to-volatility ratio, is a performance metric for determining how much excess return was generated for each unit of risk taken on by a portfolio. (Investopedia)

Parameters:

• nav_data –
• benchmark_nav_data –
• risk_free_rate – float
• window – int
• annualiser – int
• tail – bool

Returns:

src.finance_calculator.api.get_upside_capture(nav_data, benchmark_nav_data, risk_free_rate=None, window=750, annualiser=250, tail=True)

The up-market capture ratio is the statistical measure of an investment manager’s overall performance in up-markets. It is used to evaluate how well an investment manager performed relative to an index during periods when that index has risen. The ratio is calculated by dividing the manager’s returns by the returns of the index during the up-market and multiplying that factor by 100. (Investopedia)

Parameters:

• nav_data –
• benchmark_nav_data –
• risk_free_rate – float
• window – int
• annualiser – int
• tail – bool

Returns:

src.finance_calculator.api.get_volatility(nav_data, window=750, annualiser=250, tail=True)

Volatility is a statistical measure of the dispersion of returns for a given security or market index. In most cases, the higher the volatility, the riskier the security. Volatility is often measured as either the standard deviation or variance between returns from that same security or market index. (Investopedia)

Parameters:

• nav_data –
• window – str
• annualiser – int
• tail – bool

Returns:

src.finance_calculator.api.get_xirr(cashflows) → int

Returns Excel style xirr IRR: The internal rate of return is a metric used in financial analysis to estimate the profitability of potential investments. The internal rate of return is a discount rate that makes the net present value (NPV) of all cash flows equal to zero in a discounted cash flow analysis. IRR calculations rely on the same formula as NPV does. XIRR is used when the cash flow model does not exactly have annual periodic cash flows. (Investopedia)

Parameters:cashflows – Returns:int

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  • 0.0.0 (2020-07-29)
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