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Fix issue 3960

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This commit is contained in:
northern-64bit
2023-01-14 13:47:52 +01:00
committed by jeroen
parent 804fc23336
commit 55f209fbb3
1 changed files with 9 additions and 2 deletions
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11
openbb_terminal/portfolio/portfolio_model.py
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@@ -727,6 +727,13 @@ def get_summary(
portfolio_engine.benchmark_returns, window
)
r2_portfolio_returns = portfolio_returns.copy()
r2_benchmark_returns = benchmark_returns.copy()
if len(portfolio_returns) > len(benchmark_returns):
r2_portfolio_returns = r2_portfolio_returns[r2_portfolio_returns.index.isin(r2_benchmark_returns.index)]
elif len(portfolio_returns) < len(benchmark_returns):
r2_benchmark_returns = r2_benchmark_returns[r2_benchmark_returns.index.isin(r2_portfolio_returns.index)]
metrics = {
"Volatility": [portfolio_returns.std(), benchmark_returns.std()],
"Skew": [
@@ -750,8 +757,8 @@ def get_summary(
metrics_model.sortino_ratio(benchmark_returns, risk_free_rate),
],
"R2 Score": [
r2_score(portfolio_returns, benchmark_returns),
r2_score(portfolio_returns, benchmark_returns),
r2_score(r2_portfolio_returns, r2_benchmark_returns),
r2_score(r2_portfolio_returns, r2_benchmark_returns),
],
}