Update tests

Author: JerBouma

tests/performance/csv/test_performance_controller/test_get_factor_correlations.csv

@@ -304,8 +304,8 @@ Date,,Mkt-RF,SMB,HML,RMW,CMA
 2023,HML,-0.05,0.41,1.0,0.21,0.62
 2023,RMW,-0.34,-0.4,0.21,1.0,0.31
 2023,CMA,-0.45,0.08,0.62,0.31,1.0
-2024,Mkt-RF,1.0,0.15,-0.28,-0.2,-0.31
-2024,SMB,0.15,1.0,0.45,-0.53,0.2
-2024,HML,-0.28,0.45,1.0,0.04,0.38
-2024,RMW,-0.2,-0.53,0.04,1.0,-0.07
-2024,CMA,-0.31,0.2,0.38,-0.07,1.0
+2024,Mkt-RF,1.0,0.2,-0.29,-0.34,-0.08
+2024,SMB,0.2,1.0,0.42,-0.51,0.17
+2024,HML,-0.29,0.42,1.0,0.1,0.19
+2024,RMW,-0.34,-0.51,0.1,1.0,-0.17
+2024,CMA,-0.08,0.17,0.19,-0.17,1.0

tests/performance/csv/test_performance_controller/test_get_factor_correlations_1.csv

@@ -3649,18 +3649,33 @@ Date,,Mkt-RF,SMB,HML,RMW,CMA
 2024-04,HML,-0.31,0.43,1.0,-0.02,0.79
 2024-04,RMW,-0.31,-0.35,-0.02,1.0,-0.2
 2024-04,CMA,-0.56,0.35,0.79,-0.2,1.0
-2024-05,Mkt-RF,1.0,0.05,0.28,-0.11,-0.26
+2024-05,Mkt-RF,1.0,0.05,0.28,-0.1,-0.26
 2024-05,SMB,0.05,1.0,0.19,-0.47,0.2
 2024-05,HML,0.28,0.19,1.0,0.07,0.59
-2024-05,RMW,-0.11,-0.47,0.07,1.0,0.04
+2024-05,RMW,-0.1,-0.47,0.07,1.0,0.04
 2024-05,CMA,-0.26,0.2,0.59,0.04,1.0
 2024-06,Mkt-RF,1.0,0.22,-0.23,0.12,-0.58
 2024-06,SMB,0.22,1.0,0.47,-0.43,0.21
 2024-06,HML,-0.23,0.47,1.0,0.04,0.75
 2024-06,RMW,0.12,-0.43,0.04,1.0,-0.02
 2024-06,CMA,-0.58,0.21,0.75,-0.02,1.0
-2024-07,Mkt-RF,1.0,-0.08,-0.63,-0.21,0.28
-2024-07,SMB,-0.08,1.0,0.56,-0.68,-0.1
-2024-07,HML,-0.63,0.56,1.0,-0.02,-0.23
-2024-07,RMW,-0.21,-0.68,-0.02,1.0,-0.07
-2024-07,CMA,0.28,-0.1,-0.23,-0.07,1.0
+2024-07,Mkt-RF,1.0,-0.08,-0.63,-0.22,0.28
+2024-07,SMB,-0.08,1.0,0.56,-0.68,-0.09
+2024-07,HML,-0.63,0.56,1.0,-0.01,-0.23
+2024-07,RMW,-0.22,-0.68,-0.01,1.0,-0.07
+2024-07,CMA,0.28,-0.09,-0.23,-0.07,1.0
+2024-08,Mkt-RF,1.0,0.51,-0.23,-0.71,0.37
+2024-08,SMB,0.51,1.0,0.16,-0.68,0.21
+2024-08,HML,-0.23,0.16,1.0,0.22,-0.21
+2024-08,RMW,-0.71,-0.68,0.22,1.0,-0.42
+2024-08,CMA,0.37,0.21,-0.21,-0.42,1.0
+2024-09,Mkt-RF,1.0,0.21,-0.48,-0.53,0.51
+2024-09,SMB,0.21,1.0,0.31,-0.02,0.07
+2024-09,HML,-0.48,0.31,1.0,0.5,-0.58
+2024-09,RMW,-0.53,-0.02,0.5,1.0,-0.73
+2024-09,CMA,0.51,0.07,-0.58,-0.73,1.0
+2024-10,Mkt-RF,1.0,0.2,-0.28,-0.62,0.05
+2024-10,SMB,0.2,1.0,0.62,-0.5,-0.14
+2024-10,HML,-0.28,0.62,1.0,0.14,-0.13
+2024-10,RMW,-0.62,-0.5,0.14,1.0,-0.2
+2024-10,CMA,0.05,-0.14,-0.13,-0.2,1.0

tests/performance/csv/test_performance_controller/test_get_factor_correlations_2.csv

@@ -121,5 +121,5 @@ Date,,HML,Mkt-RF
 2022,Mkt-RF,-0.55,1.0
 2023,HML,1.0,-0.05
 2023,Mkt-RF,-0.05,1.0
-2024,HML,1.0,-0.28
-2024,Mkt-RF,-0.28,1.0
+2024,HML,1.0,-0.29
+2024,Mkt-RF,-0.29,1.0

tests/performance/csv/test_performance_controller/test_get_factor_correlations_3.csv

@@ -365,9 +365,9 @@ Date,,Mkt-RF,SMB,HML,RMW,CMA,RF
 2023,RMW,-0.34,-0.4,0.21,1.0,0.31,0.0
 2023,CMA,-0.45,0.08,0.62,0.31,1.0,0.13
 2023,RF,-0.01,0.06,0.22,0.0,0.13,1.0
-2024,Mkt-RF,1.0,0.15,-0.28,-0.2,-0.31,-0.03
-2024,SMB,0.15,1.0,0.45,-0.53,0.2,-0.12
-2024,HML,-0.28,0.45,1.0,0.04,0.38,-0.06
-2024,RMW,-0.2,-0.53,0.04,1.0,-0.07,-0.05
-2024,CMA,-0.31,0.2,0.38,-0.07,1.0,0.02
-2024,RF,-0.03,-0.12,-0.06,-0.05,0.02,1.0
+2024,Mkt-RF,1.0,0.2,-0.29,-0.34,-0.08,0.03
+2024,SMB,0.2,1.0,0.42,-0.51,0.17,-0.05
+2024,HML,-0.29,0.42,1.0,0.1,0.19,-0.04
+2024,RMW,-0.34,-0.51,0.1,1.0,-0.17,0.04
+2024,CMA,-0.08,0.17,0.19,-0.17,1.0,-0.03
+2024,RF,0.03,-0.05,-0.04,0.04,-0.03,1.0