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TST: Add annualized alpha and beta to answer key.

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Add a column that uses annualized mean returns as the inputs into
alpha and beta.
This commit is contained in:
Eddie Hebert
2013-10-10 10:42:47 -04:00
parent dcae6af67b
commit dad34d2ddb
1 changed files with 12 additions and 1 deletions
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tests/risk/answer_key.py
+12 -1
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@@ -241,6 +241,12 @@ class AnswerKey(object):
'CUMULATIVE_INFORMATION': DataIndex(
'Sim Cumulative', 'Y', 4, 254),
'CUMULATIVE_BETA': DataIndex(
'Sim Cumulative', 'AB', 4, 254),
'CUMULATIVE_ALPHA': DataIndex(
'Sim Cumulative', 'AC', 4, 254),
}
def __init__(self):
@@ -305,4 +311,9 @@ RISK_CUMULATIVE = pd.DataFrame({
'sortino': pd.Series(dict(zip(
DATES, ANSWER_KEY.CUMULATIVE_SORTINO))),
'information': pd.Series(dict(zip(
DATES, ANSWER_KEY.CUMULATIVE_INFORMATION)))})
DATES, ANSWER_KEY.CUMULATIVE_INFORMATION))),
'alpha': pd.Series(dict(zip(
DATES, ANSWER_KEY.CUMULATIVE_ALPHA))),
'beta': pd.Series(dict(zip(
DATES, ANSWER_KEY.CUMULATIVE_BETA))),
})