Is get_returns correct for getting portfolio return?

[pzzhang]

Describe the bug In https://github.com/ssantoshp/Empyrial/blob/main/src/empyrial/main.py#L122-L127, we compute the return of a portfolio as below. if len(stocks) > 1: ret_data = assets.pct_change()[1:] returns = (ret_data * wts).sum(axis=1)

Is this correct?

Expected behavior As the time changes, the weights of stocks in the portfolio are changing. Should wts be updated when computing the return?

[santoshlite]

Hey, what are you trying to achieve? You can use rebalancing to keep the same weights over time. Are you referring to something similar to #77? I just noticed it and will work on that!

[pzzhang]

@ssantoshp , yes, I'm referring to the same issue to #77.

I have a fix in this diff: https://github.com/pzzhang/Empyrial/commit/1ac72904c4111ae3724427eca7f2b20047db8489

[santoshlite]

Oh my god, you're fantastic! It would have taken me some time to get back and remember how we designed this (I am not the one who implemented rebalancing). Would you like to make a pull request? I don't mind copying the file either, up to you.

[santoshlite]

Fixed