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  • API Reference

    • Performance Subpackage
    • Research Subpackage
    1. API Reference
    2. Performance Subpackage
    3. Returns
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    Returns#

    Functions for computing and aggregating return series.

    sigmaquant.performance.returns.cum_returns

    Compute cumulative performance over time.

    sigmaquant.performance.returns.annual_return

    Compute the annualized performance of a return or PnL series.

    sigmaquant.performance.returns.aggregate_returns

    Aggregate returns or PnL to a target frequency.

    PreviousPerformance Subpackage Next sigmaquant.performance.returns.cum_returns

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