gs_quant.timeseries.econometrics.annualize¶
- annualize(x)[source]¶
Annualize series based on sample observation frequency
- Parameters:
x (
Series) – time series of prices- Return type:
Series- Returns:
date-based time series of annualized values
Usage
Based on number of days between observations, will determine an annualization factor and then adjust values accordingly. Useful for annualizing daily or monthly returns
\(Y_t = X_t * \sqrt{F}\)
Annualization factors as follows, based on period implied by observations:
Period
Annualization Factor (F)
Daily
\(252\)
Weekly
\(52\)
Bi-Weekly
\(26\)
Monthly
\(12\)
Quarterly
\(4\)
Annually
\(1\)
Examples
Annualize daily returns series:
>>> prices = generate_series(100) >>> ann = annualize(returns(prices))
See also