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Risk and performance attribution

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@twiecki twiecki released this 01 Aug 17:46
· 95 commits to master since this release

New features

  • Previously, pyfolio has required a benchmark, usually the U.S. market
    returns SPY. In order to provide support for international equities and
    alternative data sets, pyfolio is now completely independent of benchmarks.
    If a benchmark is passed, all benchmark-related analyses will be performed;
    if not, they will simply be skipped. By George Ho
  • Performance attribution tearsheet PR441, PR433, PR442. By Vikram Narayan.
  • Improved implementation of get_turnover PR332. By Gus Gordon.
  • Users can now pass in extra rows (as a dict or OrderedDict) to display in the perf_stats table PR445. By Gus Gordon.

Maintenance