Sensitivity of Portfolio’s Annualized Volatility to Shocks

perfana.monte_carlo.sensitivity.sensitivity_vol_m(cov_or_data, weights, freq=None, shock=0.05, names=None, leveraged=False, distribute=True)[source]

Calculates the sensitivity of a shock to the annualized volatility of the portfolio

Parameters

  • cov_or_data (ndarray) – Monte carlo simulation data or covariance matrix. If simulation cube, this must be 3 dimensional with the axis representing time, trial and asset respectively and frequency will also need to be specified.

  • weights (array_like) – Weights of the portfolio. This must be 1 dimensional and must match the dimension of the data’s last axis.

  • freq (Frequency) – Frequency of the data. Can either be a string (‘week’, ‘month’, ‘quarter’, ‘semi-annual’, ‘year’) or an integer specifying the number of units per year. Week: 52, Month: 12, Quarter: 4, Semi-annual: 6, Year: 1.

  • shock (float) – The amount to shock each asset class by. A positive number represents adding to the asset class by proportionately removing from the other asset class. A negative number represents removing from the asset class and adding to the other asset class proportionately.

  • names (list of str) – Asset class names

  • leveraged (bool) – If True, asset weights are allowed to go below 0 and above 1. This represents that the asset class can be shorted or levered.

  • distribute (bool) – If True, asset value changes are distributed proportionately to all other asset classes. See Notes for more information.

Returns

A series with asset names as the index and annualized volatility as its value

Return type

Series

Examples

>>> from perfana.datasets import load_cube
>>> from perfana.monte_carlo import sensitivity_vol_m
>>> data = load_cube()[..., :7]
>>> weights = [0.25, 0.18, 0.13, 0.11, 0.24, 0.05, 0.04]
>>> freq = 'quarterly'
>>> shock = 0.05  # 5% absolute shock
>>> sensitivity_vol_m(data, weights, freq, shock)
Asset_1    0.113284
Asset_2    0.121786
Asset_3    0.113964
Asset_4    0.109301
Asset_5    0.104626
Asset_6    0.106652
Asset_7    0.106140
Name: vol, dtype: float64