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ksindi/cumulative_return_ranking.py

Created December 28, 2015 19:36
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cumulative_return_ranking.py
import pandas as pd
df = pd.DataFrame([['2012', 'A', 1], ['2012', 'B', 4], ['2011', 'A', 5], ['2011', 'B', 4]],
columns=['year', 'manager', 'return_pct'])
df['total_return'] = (df
.groupby('manager')['return_pct']
.transform(lambda group: (1 + group / 100.).cumprod().iat[-1])) - 1
df['ranking'] = df.total_return.rank(ascending=False, method='dense')
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