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StuartGordonReid/VaRAdjustedReturns.py

Created June 12, 2015 13:46
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Risk adjusted returns based on Value at Risk
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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)
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