Grouping Doubts

[larloch10938]

Hello all,

I have a doubt regarding the grouping of the assets - specifically when any kind of risk/vol metric is involved. If you look at the doumentation there is a reference to the average sharpe ratio: sharpe

But I think this is not correct as the mean of the SR of two assets is not the SR of the two assets performance. What am i missing?

Thanks!

[polakowo]

You should group the portfolio (group_by argument) if you want to calculate the Sharpe of the entire portfolio, otherwise, VBT will use the mean as a fast heuristic to aggregate all columns across all metrics into a single Series; or, you can disable aggregation by passing agg_func=None.