Relative Returns

perfana.core.returns.relative_returns(ra, rb, prefixes=('PRT', 'BMK'))[source]

Calculates the ratio of the cumulative performance for two assets through time

Parameters

  • ra (Union[DataFrame, Iterable[Union[int, float]], ndarray, Series]) – The assets returns vector or matrix

  • rb (Union[DataFrame, Iterable[Union[int, float]], ndarray, Series]) – The benchmark returns

  • prefixes – Prefix to apply to overlapping column names in the left and right side, respectively. This is also applied when the column name is an integer (i.e. 0 -> PRT_0). It is the default name of the Series data if there are no name to the Series

Returns

Returns a DataFrame of the cumulative returns ratio between 2 asset classes. Returns a Series if there is only 2 compared classes.

Return type

TimeSeriesData

Examples

>>> from perfana.datasets import load_etf
>>> from perfana.core import relative_returns
# Get returns starting from the date where all etf has data
>>> etf = load_etf().dropna().pa.to_returns().dropna()
>>> relative_returns(etf.tail(), etf.VBK.tail())
            VBK/VBK   BND/VBK   VTI/VBK   VWO/VBK
Date
2019-02-25      1.0  0.996027  0.997856  1.009737
2019-02-26      1.0  1.004013  1.002591  1.013318
2019-02-27      1.0  0.997005  0.997934  1.000389
2019-02-28      1.0  1.001492  1.001461  0.998348
2019-03-01      1.0  0.987385  0.997042  0.988521