Metadata-Version: 2.1
Name: portfolio-stats
Version: 1.0.2
Summary: Calculate fundamental metrics of a portfolio's individual assets.
Home-page: UNKNOWN
Author: Aung Si
Author-email: aungsi.as99@gmail.com
License: UNKNOWN
Description: # `PortfolioStats`
        
        A python class to compute key portfolio statistics for assets based on their price data.
        
        ## Introduction
        
        `PortfolioStats` provides an organized method to calculate and view various portfolio metrics such as the Sharpe Ratio, cumulative returns, annualized returns, annualized volatility, and maximum drawdown.
        
        ## Parameters
        
        - **returns** (`pd.DataFrame`): Return data for assets.
        - **log** (`bool`): Indicator to use logarithmic returns. Default is `False`.
        - **annualization_factor** (`int`): Factor to annualize returns and risk. Default is `252` (number of trading days in a year).
        
        ## Calculations
        
        ### Sharpe Ratio
        
        $$\frac{E\bigl[r\bigl] \times A}{\sigma{\bigl[r\bigl]} \times \sqrt{A}}$$
        
        Where:
        - $E\bigl[r\bigl]$ is the expected return of the asset.
        - $\sigma{\bigl[r\bigl]}$ is the standard deviation (risk) of the returns.
        
        ### Cumulative Returns
        
        Using simple returns:
        $$\text{Cumulative Return} = \prod^T_{i=1}(1+r_{i}) - 1$$
        
        Using logarithmic returns:
        $$\text{Cumulative Return} = \sum^T_{i=1} r_{i}$$
        
        ### Annualized Return
        
        $$\text{Annualized Return} = E\bigl[r\bigl] \times \text{ }A$$
        
        ### Annualized Volatility
        
        $$\text{Annualized Volatility} = \sigma{\bigl[r\bigl]} \times \sqrt{A}$$
        
        ### Maximum Drawdown
        
        Using simple returns:
        
        $$\text{MDD} = \min \left( \frac{\text{CR}_{\text{trough}}}{\text{CR}_{\text{peak}}} - 1 \right)$$
        
        Using logarithmic returns:
        
        $$\text{MDD} = \min \left( \text{CLR} - \text{CLR (max up to now)} \right)$$
        
        Where:
        - $\text{CR}$ is the cumulative simple return series.
        - $\text{CLR}$ is the cumulative logarithmic return series.
        
        ## Usage
        
        Initialize the class with return data and optional parameters. Access the `.info` attribute to view the calculated portfolio statistics.
Platform: UNKNOWN
Description-Content-Type: text/markdown
