skfolio.measures.RatioMeasure#
- class skfolio.measures.RatioMeasure(*values)[source]#
Enumeration of ratio measures.
- Attributes:
- SHARPE_RATIOstr
Ratio of the excess Mean divided by the Standard-deviation.
- ANNUALIZED_SHARPE_RATIOstr
Annualized Sharpe ratio.
- SORTINO_RATIOstr
Ratio of the excess Mean divided by the Semi standard-deviation.
- ANNUALIZED_SORTINO_RATIOstr
Annualized Sortino ratio.
- MEAN_ABSOLUTE_DEVIATION_RATIOstr
Ratio of the excess Mean divided by the Mean Absolute Deviation.
- FIRST_LOWER_PARTIAL_MOMENT_RATIOstr
Ratio of the excess Mean divided by the First Lower Partial Moment.
- VALUE_AT_RISK_RATIOstr
Ratio of the excess Mean divided by the Value at Risk.
- CVAR_RATIOstr
Ratio of the excess Mean divided by the Conditional Value at Risk.
- ENTROPIC_RISK_MEASURE_RATIOstr
Ratio of the excess Mean divided by the Entropic Risk Measure.
- EVAR_RATIOstr
Ratio of the excess Mean divided by the Entropic Value at Risk.
- WORST_REALIZATION_RATIOstr
Ratio of the excess Mean divided by the Worst Realization.
- DRAWDOWN_AT_RISK_RATIOstr
Ratio of the excess Mean divided by the Drawdown at Risk.
- CDAR_RATIOstr
Ratio of the excess Mean divided by the Conditional Drawdown at Risk.
- CALMAR_RATIOstr
Ratio of the excess Mean divided by the Maximum Drawdown.
- AVERAGE_DRAWDOWN_RATIOstr
Ratio of the excess Mean divided by the Average Drawdown.
- EDAR_RATIOstr
Ratio of the excess Mean divided by the Entropic Drawdown at Risk.
- ULCER_INDEX_RATIOstr
Ratio of the excess Mean divided by the Ulcer Index.
- GINI_MEAN_DIFFERENCE_RATIOstr
Ratio of the excess Mean divided by the Gini Mean Difference.
- property annualized_measure#
Annualized version of the measure.
- Raises:
- ValueError
If the measure is already annualized.
- AttributeError
If the measure has no annualized version.
- classmethod has(value)#
Check if a value is in the Enum.
- Parameters:
- valuestr
Input value.
- Returns:
- xbool
True if the value is in the Enum, False otherwise.
- property is_annualized#
Whether the measure is annualized.
- property is_perf#
Whether the measure is a performance measure.
- property is_ratio#
Whether the measure is a ratio measure.
- property is_risk#
Whether the measure is a risk measure.
- property linked_risk_measure#
Risk measure in the denominator of the ratio.
- property non_annualized_measure#
Non-annualized version of the measure.
- Raises:
- ValueError
If the measure is not annualized.