quantopy.ReturnDataFrame.gmean¶

ReturnDataFrame.gmean()[source]¶

Compute the geometric mean of series of simple returns. Commonly used to determine the performance results of an investment or portfolio.

Return the geometric average of the simple returns. That is: n-th root of (1+R1) * (1+R2) * … * (1+Rn)

Returns

ReturnSeries: The geometric mean of past simple returns

References

1: “Weighted Geometric Mean”, Wikipedia, https://en.wikipedia.org/wiki/Weighted_geometric_mean.

Examples

>>> rdf = qp.ReturnDataFrame(
            {
                "stock_1": [0.5, 0.333333],
                "stock_2": [-0.333333, 0.75]
            }
    )
>>> rdf.gmean()
stock_1    0.414213
stock_2    0.080124
dtype: float64

quantopy.ReturnDataFrame.from_price quantopy.ReturnDataFrame.mean