CAGR (연평균수익률)

import FinanceDataReader as fdr
df = fdr.DataReader('AAPL', '2000')
df

df['daily_rtn'] = df['Close'].pct_change()
df

 

# cumprod 누적곱, cumsum 누적합
df['st_rtn'] = (df['daily_rtn'] + 1).cumprod()
df

 

start_date = '2018-10-08'
end_date = '2022-01-12'
tmp_df = df.loc[start_date:end_date, ['st_rtn']] / df.loc[start_date, 'st_rtn']
tmp_df

 

 

CAGR = tmp_df.loc['2022-01-12', 'st_rtn'] ** (252./len(tmp_df.index)) -1
CAGR

 

결과출력 :

np.float64(0.4192544059773151)