BUG Convert downloaded Fama-French to UTC before returning.

quantopian · Oct 29, 2015 · 709553a · 709553a
1 parent 7c11f20
commit 709553a
Showing 1 changed file with 2 additions and 0 deletions.
diff --git a/pyfolio/utils.py b/pyfolio/utils.py
@@ -278,6 +278,8 @@ def get_fama_french():
     five_factors = factors.join(umd).dropna(axis=0)
     five_factors = five_factors / 100
 
+    five_factors.index = five_factors.index.tz_localize('utc')
+
     return five_factors