quantopy.ReturnSeries.gmean¶

ReturnSeries.gmean()[source]¶

Compute the geometric mean of series of 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

References

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

Examples

>>> rs = qp.ReturnSeries([-0.1, 0.25, 0.05])
>>> rs.gmean()
0.057094