From 5b0ff75c8abc536b20873b3255a2ad2ae8abb32e Mon Sep 17 00:00:00 2001 From: Ana Ruelas Date: Tue, 23 Aug 2016 15:59:32 -0400 Subject: [PATCH] MAINT: Update whatsnew for empyrical changes --- docs/source/whatsnew/1.0.2.txt | 21 +++++++++++++++++++++ etc/requirements.txt | 2 +- 2 files changed, 22 insertions(+), 1 deletion(-) diff --git a/docs/source/whatsnew/1.0.2.txt b/docs/source/whatsnew/1.0.2.txt index 87fc37bc..678356d3 100644 --- a/docs/source/whatsnew/1.0.2.txt +++ b/docs/source/whatsnew/1.0.2.txt @@ -36,6 +36,10 @@ Enhancements produced a True on N or more days in the previous ``window_length`` days (:issue:`1367`). +- Use external library empyrical for risk calculations. Empyrical unifies risk + metric calculations between pyfolio and zipline. Empyrical adds custom + annualization options for returns of custom frequencies. (:issue:`855`) + Bug Fixes ~~~~~~~~~ @@ -44,6 +48,23 @@ Bug Fixes simply discarded before averaging, giving the remaining values too much weight (:issue:`1309`). +- Remove risk-free rate from sharpe ratio calculation. The ratio is now the + average of risk adjusted returns over violatility of adjusted + returns. (:issue:`853`) + +- Sortino ratio will return calculation instead of np.nan when required returns + are equal to zero. The ratio now returns the average of risk adjusted returns + over downside risk. Fixed mislabeled API by converting `mar` to + `downside_risk`. (:issue:`747`) + +- Downside risk now returns the square root of the mean of downside + difference squares. (:issue:`747`) + +- Information ratio updated to return mean of risk adjusted returns over + standard deviation of risk adjusted returns. (:issue:`1322`) + +- Alpha and sharpe ratio are now annualized. (:issue:`1322`) + Documentation ~~~~~~~~~~~~~ diff --git a/etc/requirements.txt b/etc/requirements.txt index 488578b1..6a84565e 100644 --- a/etc/requirements.txt +++ b/etc/requirements.txt @@ -64,4 +64,4 @@ intervaltree==2.1.0 cachetools==1.1.5 # For financial risk calculations -empyrical>=0.1.9 +empyrical==0.1.9