ENH: Annualize alpha calculation

quantopian / empyrical

Common financial risk and performance metrics. Used by zipline and pyfolio.

https://quantopian.github.io/empyrical

Apache License 2.0

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Closed analicia closed 8 years ago

analicia commented 8 years ago

The calculation of alpha should be annualized.d

abhijeetkalyan commented 8 years ago

Think it's better if @twiecki looks at this one

twiecki commented 8 years ago

The math looks correct to me.