Back to Community
Pyfolio not plotting rolling portfolio and rolling fama-french figures in returns tearsheet


First of all, your pyfolio library is amazing! I have a question concerning the two figures mentioned in the title. I use the returns of my own algo to create a return tear sheet, I call the method like so:


And the index is the datetime object, utc timestamp. As a result of running the above, I get all the figures but the Rolling Beta and the Rolling FF factors. 1) Any idea what may be causing this?

2) Also, is it possible to use my own benchmark in the returns tear sheet? (I know this is possible in the full tear sheet).

3) Finally, is there any chance that you guys have published the paper on the Bayesian Cones technique you have developed with your intern?