BUG: Preserve columns in cum_returns.

- Fixes a bug where we failed to maintain columns when calling
  `empyrical.cum_returns` on a DataFrame.

Author: Scott Sanderson

empyrical/stats.py

@@ -237,7 +237,9 @@ def cum_returns(returns, starting_value=0, out=None):
         if returns.ndim == 1 and isinstance(returns, pd.Series):
             out = pd.Series(out, index=returns.index)
         elif isinstance(returns, pd.DataFrame):
-            out = pd.DataFrame(out, index=returns.index)
+            out = pd.DataFrame(
+                out, index=returns.index, columns=returns.columns,
+            )
 
     return out
 

empyrical/tests/test_stats.py

@@ -36,6 +36,10 @@ def assert_indexes_match(self, result, expected):
         """
         assert_index_equal(result.index, expected.index)
 
+        if isinstance(result, pd.DataFrame) and \
+           isinstance(expected, pd.DataFrame):
+            assert_index_equal(result.columns, expected.columns)
+
 
 class TestStats(BaseTestCase):