cumulative_returns calculation no longer adjusts for periods > 1?

[jeromeku]

Problem Description

It seems that the plot_cumulative_returns_by_quantile function in the performance module is no longer adjusting for period > 1. I was under the impression that the cumulative returns are calculated as explained in issue #187 and here on the Quantopian forum. However looking at the latest master branch definition of this function shows that the period parameter is only being used to label the plot and NOT in the cumulative returns definition, which is calculated using the empyrical cum_returns function which calculated simple daily returns.

Please provide a minimal, self-contained, and reproducible example:

[Paste code here]

Please provide the full traceback:

[Paste traceback here]

Please provide any additional information below:

Versions

• Alphalens version: master
• Python version:
• Pandas version:
• Matplotlib version: