基金评价指标3——滚动收益率测算（近N日收益率，当周/月/年平均收益率）

各个指标

1. 近N日收益率

近N日收益率 = (当日累计收益 - N日前的累计收益) / N日前的累计收益

2. 当周/月/年平均收益率

这里需要区分不同时间段的起始与终止区间

区间收益率 = (区间终值累计收益 - 区间初始累计收益) / 区间初始累计收益

示例代码

import pandas as pd
import numpy as np
from copy import deepcopy


def fund_net_analyze(net_value_series, normalize_first_data=True):
    """
    计算：近5日收益率,近20日收益率,近60日收益率,
    当年平均收益率，当月平均收益率,当周平均收益率
    :return:
    """
    net_value_series = deepcopy(net_value_series)
    net_value_series.index = pd.to_datetime(net_value_series.index)
    net_value_series.sort_index(inplace=True)
    net_value_series.dropna(inplace=True)
    # 首日归一
    if normalize_first_data:
        net_value_series = net_value_series / net_value_series.iloc[0]
    collect_df = pd.DataFrame({"单位净值": net_value_series})

    # 开始计算历史滚动收益
    collect_df['近5日收益'] = (collect_df['单位净值'] - collect_df['单位净值'].shift(5)) / collect_df['单位净值'].shift(5)
    collect_df['近20日收益'] = (collect_df['单位净值'] - collect_df['单位净值'].shift(20)) / collect_df['单位净值'].shift(20)
    collect_df['近60日收益'] = (collect_df['单位净值'] - collect_df['单位净值'].shift(60)) / collect_df['单位净值'].shift(60)

    # 开始计算当年/月/周收益
    #  FutureWarning: weekofyear and week have been deprecated, please use DatetimeIndex.isocalendar().week instead,
    collect_df['__year'] = collect_df.index.isocalendar().year.astype(str)
    collect_df['__month'] = collect_df['__year'] + "_" + collect_df.index.month.astype(str)
    collect_df['__week'] = collect_df['__year'] + "_" + collect_df.index.isocalendar().week.astype(str)
    collect_df["当年平均收益率"] = collect_df.groupby("__year").apply(
        lambda v_df: (v_df['单位净值'] - v_df['单位净值'].iloc[0]) / v_df['单位净值'] / (
                v_df.index - v_df.index[0]).days).values
    collect_df["当月平均收益率"] = collect_df.groupby("__month").apply(
        lambda v_df: (v_df['单位净值'] - v_df['单位净值'].iloc[0]) / v_df['单位净值'] / (
                v_df.index - v_df.index[0]).days).values
    collect_df["当周平均收益率"] = collect_df.groupby("__week").apply(
        lambda v_df: (v_df['单位净值'] - v_df['单位净值'].iloc[0]) / v_df['单位净值'] / (
                v_df.index - v_df.index[0]).days).values
    collect_df.drop(["__year", "__month", "__week"], axis=1, inplace=True)
    return collect_df


def main():
    # 生成数据
    _size = 500
    net_value = 1 + pd.Series(np.random.normal(0, 0.01, size=_size)).cumsum()
    net_value.index = pd.date_range("2024-01-01", periods=_size)
	# net_value为生成的净值数据
	
    # 计算各项指标
    collect_df = fund_net_analyze(net_value)
    collect_df.loc[:, "近5日收益":] = collect_df.loc[:, "近5日收益":].applymap(
        lambda x: format(x * 100, ".2f") + "%" if not pd.isna(x) else x)
    print(collect_df.tail())


if __name__ == '__main__':
    main()