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santoshlite / Empyrial

An Open Source Portfolio Backtesting Engine for Everyone | 面向所有人的开源投资组合回测引擎
https://empyrial.gitbook.io/empyrial/
MIT License
916 stars 124 forks source link

Rolling Beta to Benchmark #42

Closed karim1104 closed 2 years ago

karim1104 commented 2 years ago

Hi Santosh,

Looking at the generated report, I noticed that the "Rolling Beta to Benchmark" always starts with 0. If we're looking at 6-month basis, for the first 6 months, the line is at 0, after that the line starts to change. If we're looking at 12-month basis, for the first 12 months, the line is at 0, after that the line starts to change. Is this a bug or by design? If by design, what's the logic behind it? Thanks!

karim1104 commented 2 years ago

I've attached a sample report report.pdf .

santoshlite commented 2 years ago

Hi,

It's certainly a bug... I'll do my best to correct that. Thanks for this message.