Python Forum

Hey, I have this set of data:

Date                                              
2022-01-05 -0.012684 -0.011469 -0.013368 -0.004848
2022-01-06 -0.002342 -0.000050 -0.005381 -0.000241
2022-01-07 -0.009285 -0.001326 -0.008862 -0.001013
2022-01-08  0.001059  0.000000  0.000000  0.000000
2022-01-09  0.001064  0.000000  0.000000  0.000000

and the following one:

Date
2022-01-05   -0.021065
2022-01-06   -0.000423
2022-01-07   -0.004501
2022-01-10   -0.001295
2022-01-11    0.009867
                ...   
2022-09-27   -0.001411
2022-09-28    0.020688
2022-09-29   -0.021286
2022-09-30   -0.014126
2022-10-03    0.025965
Name: Adj Close, Length: 187, dtype: float64

and when running the following regression:

(beta, alpha) = stats.linregress(benchmark_ret.values,
                port_ret.values)[0:2]

I get this error:

ValueError                                Traceback (most recent call last)
<ipython-input-83-5fc43138a81e> in <module>
----> 1 (beta, alpha) = stats.linregress(benchmark_ret.values,
      2                 port_ret.values)[0:1]
      3 
      4 print("The portfolio beta is", round(beta, 4))

C:\Anaconda3\lib\site-packages\scipy\stats\_stats_mstats_common.py in linregress(x, y)
    143     #   ssxm = mean( (x-mean(x))^2 )
    144     #   ssxym = mean( (x-mean(x)) * (y-mean(y)) )
--> 145     ssxm, ssxym, _, ssym = np.cov(x, y, bias=1).flat
    146 
    147     # R-value

C:\Anaconda3\lib\site-packages\numpy\core\overrides.py in cov(*args, **kwargs)

C:\Anaconda3\lib\site-packages\numpy\lib\function_base.py in cov(m, y, rowvar, bias, ddof, fweights, aweights, dtype)
   2638         if not rowvar and y.shape[0] != 1:
   2639             y = y.T
-> 2640         X = np.concatenate((X, y), axis=0)
   2641 
   2642     if ddof is None:

C:\Anaconda3\lib\site-packages\numpy\core\overrides.py in concatenate(*args, **kwargs)

ValueError: all the input array dimensions except for the concatenation axis must match exactly, but along dimension 1, the array at index 0 has size 187 and the array at index 1 has size 272

Actually, I tried with the same matrices dimensions and different values and it worked. Should I concatenate?

asja2010