Index

A

aggregate_returns() (in module empyrical.stats) alpha() (in module empyrical.stats) alpha_aligned() (in module empyrical.stats) alpha_beta() (in module empyrical.stats)

alpha_beta_aligned() (in module empyrical.stats) annual_return() (in module empyrical.stats) annual_volatility() (in module empyrical.stats) annualization_factor() (in module empyrical.stats)

B

beta() (in module empyrical.stats) beta_aligned() (in module empyrical.stats)

beta_fragility_heuristic() (in module empyrical.stats) beta_fragility_heuristic_aligned() (in module empyrical.stats)

C

cagr() (in module empyrical.stats) calmar_ratio() (in module empyrical.stats) capture() (in module empyrical.stats)

compute_exposures() (in module empyrical.perf_attrib) conditional_value_at_risk() (in module empyrical.stats) cum_returns() (in module empyrical.stats) cum_returns_final() (in module empyrical.stats)

D

data_path() (in module empyrical.utils) default_returns_func() (in module empyrical.utils) down() (in module empyrical.utils)

down_alpha_beta() (in module empyrical.stats) down_capture() (in module empyrical.stats) downside_risk() (in module empyrical.stats)

E

empyrical.perf_attrib module empyrical.stats module

empyrical.utils module ensure_directory() (in module empyrical.utils) excess_sharpe() (in module empyrical.stats)

G

get_fama_french() (in module empyrical.utils) get_returns_cached() (in module empyrical.utils) get_symbol_returns_from_yahoo() (in module empyrical.utils) get_treasury_yield() (in module empyrical.utils) get_utc_timestamp() (in module empyrical.utils) gpd_es_calculator() (in module empyrical.stats) gpd_loglikelihood() (in module empyrical.stats) gpd_loglikelihood_factory() (in module empyrical.stats)

gpd_loglikelihood_minimizer_aligned() (in module empyrical.stats) gpd_loglikelihood_scale_and_shape() (in module empyrical.stats) gpd_loglikelihood_scale_and_shape_factory() (in module empyrical.stats) gpd_loglikelihood_scale_only() (in module empyrical.stats) gpd_loglikelihood_scale_only_factory() (in module empyrical.stats) gpd_risk_estimates() (in module empyrical.stats) gpd_risk_estimates_aligned() (in module empyrical.stats) gpd_var_calculator() (in module empyrical.stats)

L

load_portfolio_risk_factors() (in module empyrical.utils)

M

max_drawdown() (in module empyrical.stats) module empyrical.perf_attrib empyrical.stats empyrical.utils

O

omega_ratio() (in module empyrical.stats)

P

perf_attrib() (in module empyrical.perf_attrib)

R

roll() (in module empyrical.utils) roll_alpha() (in module empyrical.stats) roll_alpha_aligned() (in module empyrical.stats) roll_alpha_beta() (in module empyrical.stats) roll_alpha_beta_aligned() (in module empyrical.stats) roll_annual_volatility() (in module empyrical.stats) roll_beta() (in module empyrical.stats) roll_beta_aligned() (in module empyrical.stats) roll_cagr() (in module empyrical.stats)

roll_down_capture() (in module empyrical.stats) roll_downsize_risk() (in module empyrical.stats) roll_excess_sharpe() (in module empyrical.stats) roll_max_drawdown() (in module empyrical.stats) roll_sharpe_ratio() (in module empyrical.stats) roll_sortino_ratio() (in module empyrical.stats) roll_up_capture() (in module empyrical.stats) roll_up_down_capture() (in module empyrical.stats) rolling_window() (in module empyrical.utils)

S

sharpe_ratio() (in module empyrical.stats) simple_returns() (in module empyrical.stats)

sortino_ratio() (in module empyrical.stats) stability_of_timeseries() (in module empyrical.stats)

T

tail_ratio() (in module empyrical.stats)

U

up() (in module empyrical.utils) up_alpha_beta() (in module empyrical.stats)

up_capture() (in module empyrical.stats) up_down_capture() (in module empyrical.stats)

V

value_at_risk() (in module empyrical.stats)