I am having difficulties with this function from alphalens:
mean_return_by_q, std_err_by_q = al.performance.mean_return_by_quantile(factor_data)
In the attached Notebook which is replicated from the 1st Tutorial, I have computed the mean returns with group by for comparison and I get different results. Does anyone know why?
factor_data.groupby(['factor_quantile']).mean()