Update tests

JerBouma · Aug 5, 2024 · 1a7d697 · 1a7d697
1 parent 524ee2b
commit 1a7d697
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diff --git a/tests/performance/csv/test_performance_controller/test_get_factor_asset_correlations_1.csv b/tests/performance/csv/test_performance_controller/test_get_factor_asset_correlations_1.csv
@@ -2,7 +2,7 @@
 ,Mkt-RF,SMB,HML,RMW,CMA,Mkt-RF,SMB,HML,RMW,CMA
 2020-01,0.8,-0.1,-0.1,0.6,0.6,0.8,-0.1,0.1,0.3,0.2
 2020-02,0.9,-0.2,-0.2,0.5,-0.2,0.8,-0.4,-0.5,0.2,-0.6
-2020-03,1.0,-0.1,0.6,0.3,-0.0,1.0,-0.0,0.5,0.1,-0.2
+2020-03,1.0,-0.1,0.5,0.3,-0.0,1.0,-0.0,0.5,0.2,-0.2
 2020-04,0.8,0.1,-0.1,0.3,-0.5,0.9,0.1,-0.2,0.3,-0.5
 2020-05,0.8,0.5,0.2,0.2,-0.0,0.7,0.4,-0.0,-0.0,-0.4
 2020-06,0.8,0.4,0.2,0.2,-0.3,0.8,0.3,0.1,0.0,-0.3

diff --git a/tests/performance/csv/test_performance_controller/test_get_factor_correlations.csv b/tests/performance/csv/test_performance_controller/test_get_factor_correlations.csv
@@ -269,43 +269,43 @@ Date,,Mkt-RF,SMB,HML,RMW,CMA
 2016,HML,0.11,0.03,1.0,-0.15,0.56
 2016,RMW,-0.41,-0.29,-0.15,1.0,0.05
 2016,CMA,-0.21,0.02,0.56,0.05,1.0
-2017,Mkt-RF,1.0,0.5,0.15,-0.26,0.01
+2017,Mkt-RF,1.0,0.5,0.15,-0.26,0.02
 2017,SMB,0.5,1.0,0.27,-0.25,0.2
 2017,HML,0.15,0.27,1.0,-0.19,0.52
 2017,RMW,-0.26,-0.25,-0.19,1.0,-0.22
-2017,CMA,0.01,0.2,0.52,-0.22,1.0
+2017,CMA,0.02,0.2,0.52,-0.22,1.0
 2018,Mkt-RF,1.0,-0.07,-0.34,-0.24,-0.43
 2018,SMB,-0.07,1.0,-0.17,-0.13,-0.06
-2018,HML,-0.34,-0.17,1.0,0.03,0.65
-2018,RMW,-0.24,-0.13,0.03,1.0,0.07
+2018,HML,-0.34,-0.17,1.0,0.02,0.65
+2018,RMW,-0.24,-0.13,0.02,1.0,0.07
 2018,CMA,-0.43,-0.06,0.65,0.07,1.0
 2019,Mkt-RF,1.0,0.26,-0.1,-0.01,-0.42
 2019,SMB,0.26,1.0,0.3,-0.05,-0.01
 2019,HML,-0.1,0.3,1.0,0.31,0.51
-2019,RMW,-0.01,-0.05,0.31,1.0,0.25
-2019,CMA,-0.42,-0.01,0.51,0.25,1.0
+2019,RMW,-0.01,-0.05,0.31,1.0,0.24
+2019,CMA,-0.42,-0.01,0.51,0.24,1.0
 2020,Mkt-RF,1.0,0.19,0.29,0.19,-0.06
-2020,SMB,0.19,1.0,0.6,0.09,0.1
+2020,SMB,0.19,1.0,0.6,0.08,0.1
 2020,HML,0.29,0.6,1.0,0.49,0.47
-2020,RMW,0.19,0.09,0.49,1.0,0.43
-2020,CMA,-0.06,0.1,0.47,0.43,1.0
+2020,RMW,0.19,0.08,0.49,1.0,0.42
+2020,CMA,-0.06,0.1,0.47,0.42,1.0
 2021,Mkt-RF,1.0,0.29,-0.21,-0.35,-0.19
 2021,SMB,0.29,1.0,0.3,-0.4,0.28
-2021,HML,-0.21,0.3,1.0,0.45,0.7
-2021,RMW,-0.35,-0.4,0.45,1.0,0.41
+2021,HML,-0.21,0.3,1.0,0.44,0.7
+2021,RMW,-0.35,-0.4,0.44,1.0,0.41
 2021,CMA,-0.19,0.28,0.7,0.41,1.0
-2022,Mkt-RF,1.0,0.2,-0.56,-0.38,-0.57
+2022,Mkt-RF,1.0,0.2,-0.56,-0.39,-0.57
 2022,SMB,0.2,1.0,-0.29,-0.48,-0.36
-2022,HML,-0.56,-0.29,1.0,0.5,0.84
-2022,RMW,-0.38,-0.48,0.5,1.0,0.43
+2022,HML,-0.56,-0.29,1.0,0.49,0.84
+2022,RMW,-0.39,-0.48,0.49,1.0,0.43
 2022,CMA,-0.57,-0.36,0.84,0.43,1.0
 2023,Mkt-RF,1.0,0.3,-0.05,-0.34,-0.45
-2023,SMB,0.3,1.0,0.41,-0.4,0.08
-2023,HML,-0.05,0.41,1.0,0.22,0.62
-2023,RMW,-0.34,-0.4,0.22,1.0,0.31
+2023,SMB,0.3,1.0,0.41,-0.41,0.08
+2023,HML,-0.05,0.41,1.0,0.21,0.62
+2023,RMW,-0.34,-0.41,0.21,1.0,0.31
 2023,CMA,-0.45,0.08,0.62,0.31,1.0
-2024,Mkt-RF,1.0,0.27,-0.22,-0.28,-0.52
-2024,SMB,0.27,1.0,0.38,-0.56,0.35
-2024,HML,-0.22,0.38,1.0,0.07,0.56
-2024,RMW,-0.28,-0.56,0.07,1.0,-0.11
-2024,CMA,-0.52,0.35,0.56,-0.11,1.0
+2024,Mkt-RF,1.0,0.24,-0.17,-0.21,-0.48
+2024,SMB,0.24,1.0,0.39,-0.5,0.31
+2024,HML,-0.17,0.39,1.0,0.06,0.59
+2024,RMW,-0.21,-0.5,0.06,1.0,-0.06
+2024,CMA,-0.48,0.31,0.59,-0.06,1.0