Closed voigtstefan closed 4 months ago
The signs are switched when plotting cumulative returns for beta sorts in the chapter "Univariate Portfolio Sorts"
R Version ggplot(aes(x = year, y = 1-value, fill = name)) + geom_col(position = "dodge") + facet_wrap(~name, ncol = 1)
ggplot(aes(x = year, y = 1-value, fill = name)) + geom_col(position = "dodge") + facet_wrap(~name, ncol = 1)
Python Version
.aggregate( low=("low", lambda x: 1-(1+x).prod()), high=("high", lambda x: 1-(1+x).prod()), long_short=("long_short", lambda x: 1-(1+x).prod())
Fixed with commit 23d379f
The signs are switched when plotting cumulative returns for beta sorts in the chapter "Univariate Portfolio Sorts"
R Version
ggplot(aes(x = year, y = 1-value, fill = name)) + geom_col(position = "dodge") + facet_wrap(~name, ncol = 1)
Python Version
.aggregate( low=("low", lambda x: 1-(1+x).prod()), high=("high", lambda x: 1-(1+x).prod()), long_short=("long_short", lambda x: 1-(1+x).prod())