Hard-coded Risk-free rate about empyrial HOT 6 CLOSED

Ok just modified it a little bit with the new version (1.5.5).

Should work now as you can see in this notebook: https://colab.research.google.com/drive/1CKMf1YudMsf8ryD5tOYddVU0fRaQJnWx?usp=sharing

The sharpe ratio is credible. Is it fine?

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Hey,

You can change that by doing empyrial(your_portfolio, rf=0.1) for example.

Hope it helps

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Hi Santosh,
It worked as a code, but it broke the Sharpe Ratio.
When I use "empyrial(portfolio, rf=0.0)", I get a Sharpe Ratio of 1.33 which is realistic.
When I use "empyrial(portfolio, rf=0.01)", I get a Sharpe Ratio of -7.06 which is unrealistic.

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Can you share the whole code please so I can try it out?

from empyrial.

start_date = datetime.datetime(2010, 1, 1)
df = pd.read_csv('Portfolio1.csv')

x = df.to_string(header=False,
index=False,
index_names=False).split('\n')
names = [','.join(ele.split()) for ele in x]

portfolio = Engine(
start_date= start_date,
portfolio= names,
benchmark = ["SPY"]

)

empyrial(portfolio, rf=0.01)

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Confirmed it's working fine. Issue is fixed in version 1.5.5.

Thanks!

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