Added Beta

indicators.py

@@ -1,4 +1,4 @@
-from utils import get_monthly_sip_nav_df
+from utils import get_monthly_sip_nav_df,get_mf_scheme_data
 import numpy as np
 import pandas as pd
 
@@ -25,12 +25,40 @@ def get_investment_sharpe_ratio(investment_df, start_date, end_date, SIP_date,ri
     # calculate Sharpe Ratio
     return ((annualized_return - risk_free_rate) / annualized_sd)
 
-def get_investment_indicator_report(investment_df, start_date,end_date,SIP_date="start",risk_free_rate=6.86):
+def get_investment_beta(investment_df, start_date, end_date, SIP_date):
+    benchmark_df,_ = get_mf_scheme_data('120716')
+    benchmark_monthly_df = get_monthly_sip_nav_df(benchmark_df, start_date, end_date, SIP_date)
+    investment_monthly_df = get_monthly_sip_nav_df(investment_df, start_date, end_date, SIP_date)
+    return_df = pd.DataFrame()
+    return_df['investment_monthly_return'] = investment_monthly_df['nav'].pct_change()*100
+    return_df['benchmark_monthly_return'] = benchmark_monthly_df['nav'].pct_change()*100
+    return_df = return_df.dropna()
+    
+    # calculate beta
+    cov_matrix = np.cov(return_df['investment_monthly_return'], return_df['benchmark_monthly_return'])
+    covariance = cov_matrix[0][1]
+    benchmark_variance = cov_matrix[1][1]
+    beta = covariance / benchmark_variance
+    
+    return beta
+
+
+def get_investment_indicator_report(investment_df, start_date,end_date,SIP_date="start",risk_free_rate=6.55):
+    benchmark_df,_ = get_mf_scheme_data('120716')
     investment_monthly_df = get_monthly_sip_nav_df(investment_df, start_date, end_date, SIP_date)
     investment_sd = get_investment_sd(investment_monthly_df, start_date, end_date, SIP_date)
     investment_sharpe_ratio = get_investment_sharpe_ratio(investment_monthly_df, start_date, end_date, SIP_date,risk_free_rate)
+    investment_beta = get_investment_beta(investment_monthly_df, start_date, end_date, SIP_date)
+    benchmark_sd = get_investment_sd(benchmark_df, start_date, end_date, SIP_date)
+    benchmark_sharpe_ratio = get_investment_sharpe_ratio(benchmark_df, start_date, end_date, SIP_date,risk_free_rate)
+    benchmark_beta = get_investment_beta(benchmark_df, start_date, end_date, SIP_date)
+
     return (f"""
     Standard Deviation: {investment_sd}
-    Sharpe Ratio: {investment_sharpe_ratio}""")
+    Sharpe Ratio: {investment_sharpe_ratio}
+    Beta: {investment_beta}
+    ------------------------------------
+    UTI NIFTY50 Standard Deviation: {benchmark_sd}
+    UTI NIFTY50 Sharpe Ratio: {benchmark_sharpe_ratio}""")