skfolio.measures.RiskMeasure

class skfolio.measures.RiskMeasure(*values)

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.

Methods

capitalize(/)	Return a capitalized version of the string.
casefold(/)	Return a version of the string suitable for caseless comparisons.
center(width[, fillchar])	Return a centered string of length width.
count
encode(/[, encoding, errors])	Encode the string using the codec registered for encoding.
endswith
expandtabs(/[, tabsize])	Return a copy where all tab characters are expanded using spaces.
find
format(*args, **kwargs)	Return a formatted version of the string, using substitutions from args and kwargs.
format_map(mapping, /)	Return a formatted version of the string, using substitutions from mapping.
index
isalnum(/)	Return True if the string is an alpha-numeric string, False otherwise.
isalpha(/)	Return True if the string is an alphabetic string, False otherwise.
isascii(/)	Return True if all characters in the string are ASCII, False otherwise.
isdecimal(/)	Return True if the string is a decimal string, False otherwise.
isdigit(/)	Return True if the string is a digit string, False otherwise.
isidentifier(/)	Return True if the string is a valid Python identifier, False otherwise.
islower(/)	Return True if the string is a lowercase string, False otherwise.
isnumeric(/)	Return True if the string is a numeric string, False otherwise.
isprintable(/)	Return True if all characters in the string are printable, False otherwise.
isspace(/)	Return True if the string is a whitespace string, False otherwise.
istitle(/)	Return True if the string is a title-cased string, False otherwise.
isupper(/)	Return True if the string is an uppercase string, False otherwise.
join(iterable, /)	Concatenate any number of strings.
ljust(width[, fillchar])	Return a left-justified string of length width.
lower(/)	Return a copy of the string converted to lowercase.
lstrip([chars])	Return a copy of the string with leading whitespace removed.
maketrans
partition(sep, /)	Partition the string into three parts using the given separator.
removeprefix(prefix, /)	Return a str with the given prefix string removed if present.
removesuffix(suffix, /)	Return a str with the given suffix string removed if present.
replace(old, new, /[, count])	Return a copy with all occurrences of substring old replaced by new.
rfind
rindex
rjust(width[, fillchar])	Return a right-justified string of length width.
rpartition(sep, /)	Partition the string into three parts using the given separator.
rsplit(/[, sep, maxsplit])	Return a list of the substrings in the string, using sep as the separator string.
rstrip([chars])	Return a copy of the string with trailing whitespace removed.
split(/[, sep, maxsplit])	Return a list of the substrings in the string, using sep as the separator string.
splitlines(/[, keepends])	Return a list of the lines in the string, breaking at line boundaries.
startswith
strip([chars])	Return a copy of the string with leading and trailing whitespace removed.
swapcase(/)	Convert uppercase characters to lowercase and lowercase characters to uppercase.
title(/)	Return a version of the string where each word is titlecased.
translate(table, /)	Replace each character in the string using the given translation table.
upper(/)	Return a copy of the string converted to uppercase.
zfill(width, /)	Pad a numeric string with zeros on the left, to fill a field of the given width.

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.