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Preserve caller benchmark columns in CAPM return estimates #772

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Preserve caller benchmark columns in CAPM return estimates #772

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2 changes: 1 addition & 1 deletion pypfopt/expected_returns.py
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Original file line number Diff line number Diff line change
Expand Up @@ -278,7 +278,7 @@ def capm_return(
if returns_data:
returns = prices.copy()
if market_prices is not None:
market_returns = market_prices
market_returns = market_prices.copy()
else:
returns = returns_from_prices(prices, log_returns)

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24 changes: 24 additions & 0 deletions tests/test_expected_returns.py
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Original file line number Diff line number Diff line change
Expand Up @@ -250,6 +250,30 @@ def test_capm_with_benchmark():
assert (mu2 >= mu).all()


@pytest.mark.parametrize("compounding", [True, False])
def test_capm_returns_data_preserves_benchmark(compounding):
prices = get_data()
benchmark_prices = get_benchmark_data()
returns = expected_returns.returns_from_prices(prices)
market_returns = expected_returns.returns_from_prices(benchmark_prices)
original_returns = returns.copy(deep=True)
original_market_returns = market_returns.copy(deep=True)

expected = expected_returns.capm_return(
prices, market_prices=benchmark_prices, compounding=compounding
)
actual = expected_returns.capm_return(
returns,
market_prices=market_returns,
returns_data=True,
compounding=compounding,
)

pd.testing.assert_series_equal(actual, expected)
pd.testing.assert_frame_equal(returns, original_returns)
pd.testing.assert_frame_equal(market_returns, original_market_returns)


def test_risk_matrix_and_returns_data():
# Test the switcher method for simple calls
df = get_data()
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