skfolio.measures.RiskMeasure#
- class skfolio.measures.RiskMeasure(*values)[source]#
Enumeration of risk measures.
- Attributes:
- VARIANCEstr
Variance.
- ANNUALIZED_VARIANCEstr
Annualized Variance.
- SEMI_VARIANCEstr
Semi-variance (Second Lower Partial Moment or Downside Variance).
- ANNUALIZED_SEMI_VARIANCEstr
Annualized Semi-variance.
- STANDARD_DEVIATIONstr
Standard-deviation
- ANNUALIZED_STANDARD_DEVIATIONstr
Annualized Standard-deviation.
- SEMI_DEVIATIONstr
Semi-deviation.
- ANNUALIZED_SEMI_DEVIATIONstr
Annualized Semi-deviation.
- MEAN_ABSOLUTE_DEVIATIONstr
Mean Absolute Deviation.
- CVARstr
Conditional Value at Risk or Expected Shortfall.
- EVARstr
Entropic Value at Risk.
- WORST_REALIZATIONstr
Worst Realization (Worst Return).
- CDARstr
Conditional Drawdown at Risk.
- MAX_DRAWDOWNstr
Maximum Drawdown.
- AVERAGE_DRAWDOWNstr
Average Drawdown.
- EDARstr
Entropic Drawdown at Risk.
- FIRST_LOWER_PARTIAL_MOMENTstr
First Lower Partial Moment.
- ULCER_INDEXstr
Ulcer Index.
- GINI_MEAN_DIFFERENCEstr
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 non_annualized_measure#
Non-annualized version of the measure.
- Raises:
- ValueError
If the measure is not annualized.