Summarize Module

The summarize module contains the summary function which is useful for creating summary tables for DataFrames which contain portfolio returns.

summarize

finance_byu.summarize.summary(df)

Compute a summary for a dataframe of portfolios.

Parameters:

df: pandas.core.frame.DataFrame

DataFrame with portfolio returns in each column.

Returns:

output: pandas.core.frame.DataFrame

Summary DataFrame including t-statistics testing that the mean returns for each portfolio are zero, the count for each portfolio, the mean return for each portfolio, the standard deviation for each portfolio, and quartile returns for each portfolio.

Examples

>>> import pandas as pd
>>> import numpy as np
>>> from finance_byu.summarize import summary
>>>
>>> n_periods = 1.0e2
>>>
>>> df = pd.DataFrame(np.random.random((100,3))/10.,columns=['Port 1','Port 2','Port 3'])
>>> summary(df)

             Port 1        Port 2        Port 3
count  1.000000e+02  1.000000e+02  1.000000e+02
mean   4.675320e-02  5.111644e-02  4.876299e-02
std    2.888945e-02  2.707162e-02  2.930755e-02
tstat  1.618348e+01  1.888193e+01  1.663837e+01
pval   1.458893e-29  1.388467e-34  1.947348e-30
min    1.270510e-03  2.812253e-05  1.322883e-03
25%    1.849776e-02  2.927948e-02  2.236390e-02
50%    4.430358e-02  5.130892e-02  4.726655e-02
75%    7.027532e-02  7.172167e-02  7.522687e-02
max    9.802267e-02  9.977429e-02  9.976381e-02