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Sortino Ratio using Monthly Mean, not Geometric Monthly Mean #169

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staymadson opened this issue Jun 9, 2022 · 0 comments
Open

Sortino Ratio using Monthly Mean, not Geometric Monthly Mean #169

staymadson opened this issue Jun 9, 2022 · 0 comments

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@staymadson
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Line 2302:

res = np.divide(er.mean(), std)

Unless I'm reading this incorrectly, this is using the mean instead of geometric mean which is incorrect (should be .gmean(), right).
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@staymadson