- annual semideviation metrics is added to Portfolio

- howto notebook edited

Author: chilango74

notebooks/howto.ipynb

@@ -126,7 +126,7 @@ def __repr__(self):
             'currency': self.currency.ticker,
             'first date': self.first_date.strftime("%Y-%m"),
             'last_date': self.last_date.strftime("%Y-%m"),
-            'period length': self.period_length,
+            'period length (Y)': self.period_length,
             'inflation': self.inflation if hasattr(self, 'inflation') else 'None',
         }
         return repr(pd.Series(dic))
@@ -566,7 +566,7 @@ def __repr__(self):
             'currency': self.currency,
             'first date': self.first_date.strftime("%Y-%m"),
             'last_date': self.last_date.strftime("%Y-%m"),
-            'period length': self.period_length
+            'period length (Y)': self.period_length
         }
         return repr(pd.Series(dic))
 
@@ -689,9 +689,13 @@ def risk_annual(self) -> float:
         return Float.annualize_risk(self.risk_monthly, self.mean_return_monthly)
 
     @property
-    def semideviation(self) -> float:
+    def semideviation_monthly(self) -> float:
         return Frame.get_semideviation(self.returns_ts)
 
+    @property
+    def semideviation_annual(self) -> float:
+        return Frame.get_semideviation(self.returns_ts) * 12 ** 0.5
+
     def get_var_historic(self, level=5) -> float:
         rolling = self.returns_ts.rolling(12).apply(Frame.get_cagr)
         return Frame.get_var_historic(rolling, level)

okama/assets.py

@@ -63,7 +63,7 @@ def test_risk(self):
         assert self.asset_list.risk_annual.sum() == approx(0.2192108407516287, rel=1e-2)
 
     def test_semideviation(self):
-        assert self.asset_list.semideviation.sum() == approx(0.01811879168832453, rel=1e-2)
+        assert self.asset_list.semideviation_monthly.sum() == approx(0.01811879168832453, rel=1e-2)
 
     def test_get_var(self):
         assert self.asset_list.get_var_historic(level=5).sum() == approx(0.05299999999999999, rel=1e-2)