Risk adjusted returns based on Value at Risk

VaRAdjustedReturns.py

"""
Note that this Gist uses functions made available in another Gist -
https://gist.github.com/StuartGordonReid/67a1ec4fbc8a84c0e856
"""


def excess_var(er, returns, rf, alpha):
    return (er - rf) / var(returns, alpha)
 
 
def conditional_sharpe_ratio(er, returns, rf, alpha):
    return (er - rf) / cvar(returns, alpha)