Weird behaviour with a monthly frequency

robertmartin8 / PyPortfolioOpt

Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity

https://pyportfolioopt.readthedocs.io/

MIT License

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Weird behaviour with a monthly frequency #471

Closed nicolasplanchon closed 1 year ago

nicolasplanchon commented 1 year ago

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.

robertmartin8 commented 1 year ago

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