qis.regimes.compute_portfolio_bear_sharpe

qis.regimes.compute_portfolio_bear_sharpe(weights, vols, srs, rhos, premia, portfolio_vol, af, tail_prob=0.16)[source]

Bear contribution of a portfolio by the aggregation identity.

sr_bear_p = p SR_p - kappa rho_p + sum_i (w_i sigma_i / sigma_p) CP_i, where SR_p and rho_p are the risk-weighted sums of the asset Sharpe ratios and correlations.

Parameters:

  • weights (ndarray) – asset weights

  • vols (ndarray) – annualised asset volatilities

  • srs (ndarray) – annualised asset Sharpe ratios

  • rhos (ndarray) – asset correlations with the benchmark

  • premia (ndarray) – asset convexity premia

  • portfolio_vol (float) – annualised portfolio volatility

  • af (float) – annualisation factor of the periodic returns

  • tail_prob (float) – probability of each tail bucket

Returns:

the Bear contribution of the portfolio

Raises:

ValueError – if the inputs differ in shape or portfolio_vol is not positive

Return type:

float