portfolio

metric

payoff, information, tail, gaintopain, trackerr, sharpe, skew, sortino, profitfactor, volatility, commonsense,...

po

file, plot, load, load_bl_views, minrisk, riskparity, hrp, show, maxsharpe, ef, relriskparity, maxdiv, maxret,...

alloc

sectors, countries, assets, regions

bench

Load benchmark into portfolio

distr

Display daily returns

dret

Get daily returns

es

Get portfolio expected shortfall

holdp

Get holdings of assets (in percentage)

holdv

Get holdings of assets (absolute value)

load

Get PortfolioEngine object

maxdd

Calculate the drawdown (MDD) of historical series. Note that the calculation is done

mret

Get monthly returns

om

Get omega ratio

perf

Get portfolio performance vs the benchmark

rbeta

Get rolling beta using portfolio and benchmark returns

rsharpe

Get rolling sharpe ratio

rsort

Get rolling sortino

rvol

Get rolling volatility

show

Get portfolio transactions

summary

Get portfolio and benchmark returns summary

var

Get portfolio VaR

yret

Get yearly returns