BUG: perf.average_cumulative_return_by_quantile crahes

alexteiga · Mar 16, 2018 · f683b4b · f683b4b
1 parent f5b070f
commit f683b4b
Showing 1 changed file with 3 additions and 0 deletions.
diff --git a/alphalens/performance.py b/alphalens/performance.py
@@ -966,6 +966,9 @@ def average_cumulative_return(q_fact, demean_by):
             #
             avgcumret = g_fq.groupby(g_fq).apply(average_cumulative_return,
                                                  demean_by)
+            if len(avgcumret) == 0:
+                continue
+
             avgcumret['group'] = group
             avgcumret.set_index('group', append=True, inplace=True)
             returns_bygroup.append(avgcumret)