def fund_maxsemivariance(funddf):
fundsemivariance = {}
funddfr = funddf.pct_change().fillna(0.0)
codes = funddfr.columns
for code in codes:
rs = []
for r in funddfr[code].values:
if not isnan(r):
rs.append(r)
max_semivariance = 0
for i in range(5, len(rs) + 1):
semivariance = fin.semivariance(rs[0 : i])
if semivariance > max_semivariance:
max_semivariance = semivariance
fundsemivariance[code] = max_semivariance
return fundsemivariance
def fund_semivariance(funddf):
fundsemivariance = {}
funddfr = funddf.pct_change().fillna(0.0)
codes = funddfr.columns
for code in codes:
rs = []
for r in funddfr[code].values:
if not isnan(r):
rs.append(r)
fundsemivariance[code] = fin.semivariance(rs)
return fundsemivariance