Exercise

Performance tear sheet

In this exercise, you're going to create a full performance tear sheet on the S&P500 returns. You'll see that the elaborate calculations you've done in previous chapters, can very quickly be generated with this simple tear sheet, and by inputting just the returns data. In that sense, this tear sheet can save you a lot of time!

In the first few steps, you'll have to make sure that the data is in the right format otherwise, Pyfolio will give an error. The returns data is available as returns_sp500. Go ahead and inspect the returns_sp500 data in the IPython shell using returns_sp500.head().

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XP

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Convert the returns data index to a datetime index.