From dad34d2ddbd3fdb236d558c33dba071a78a34cd3 Mon Sep 17 00:00:00 2001 From: Eddie Hebert Date: Thu, 10 Oct 2013 10:42:47 -0400 Subject: [PATCH] TST: Add annualized alpha and beta to answer key. Add a column that uses annualized mean returns as the inputs into alpha and beta. --- tests/risk/answer_key.py | 13 ++++++++++++- 1 file changed, 12 insertions(+), 1 deletion(-) diff --git a/tests/risk/answer_key.py b/tests/risk/answer_key.py index 4366257a..a1eb8ecf 100644 --- a/tests/risk/answer_key.py +++ b/tests/risk/answer_key.py @@ -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))), +})