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Published 20 hours ago • verified publisher icon robertmartin8

Weird behaviour with a monthly frequency

Open nicolasplanchon opened this issue 3 years ago • 1 comments

What are you trying to do? Basic function tests with a monthly frequency of ETF prices. However, it looks like the expected_returns and risk_models classes don't handle the frequency=12 parameters given the results I get.

Here is the portfolio : https://colab.research.google.com/drive/14UtRt26GpgWogz8hmJn6p9nAk0KM_BeR?usp=sharing

What have you tried? Many things..

What data are you using? Yfinance with a monthly frequency over the last 3 years on 35 tickers.

nicolasplanchon avatar Aug 03 '22 16:08 nicolasplanchon

Hey – I skimmed through the notebook and it all looks fine?

robertmartin8 avatar Aug 06 '22 08:08 robertmartin8