Question:

I’m encountering an issue with duplicated index levels in a Pandas MultiIndex DataFrame when calculating factor returns using Alphalens. My factor_data contains both factor and factor_quantile columns, each with asset and date indices. When I attempt to calculate the factor returns, I get a ValueError indicating that the ‘date’ occurs multiple times.

Here’s a sample of my data:

Initial index names for factor Momentum_1YR: ['date', 'asset']
Initial index levels for factor Momentum_1YR: [
    [2022-03-11 00:00:00+00:00, 2022-03-14 00:00:00+00:00, ...],
    [Equity(0 [A]), Equity(1 [AAL]), ...]
]

Error:

ValueError: The name date occurs multiple times, use a level number

What I’ve Tried:

1. Ensuring no duplicate index level names.
2. Resetting the index and dropping duplicates.
3. Merging factor and factor_quantile DataFrames on date and asset.

Here is my latest attempt to resolve the issue:

def plot_factor_returns_quantile_analysis(self):
    self.format_alpha_factors()
    self.rows.append(helper.html_header("Quantile Analysis - Factor Returns"))
    title = "Factor Returns"

    ls_factor_returns = pd.DataFrame()

    for factor, factor_data in self.clean_factor_data.items():
        print(f"Initial index names for factor {factor}: {factor_data.index.names}")
        print(f"Initial index levels for factor {factor}: {factor_data.index.levels}")

        factor_df = factor_data[['factor']].reset_index()
        factor_quantile_df = factor_data[['factor_quantile']].reset_index()

        merged_df = pd.merge(factor_df, factor_quantile_df, on=['date', 'asset'], how='outer')

        try:
            factor_returns = al.performance.factor_returns(
                merged_df.set_index(['date', 'asset']), demeaned=True, group_adjust=False, equal_weight=False
            ).iloc[:, 0]
        except ValueError as e:
            if 'The name date occurs multiple times' in str(e):
                print(f"Handling ValueError for factor {factor}")
                merged_df = merged_df.drop_duplicates(subset=['date', 'asset'])
                factor_returns = al.performance.factor_returns(
                    merged_df.set_index(['date', 'asset']), demeaned=True, group_adjust=False, equal_weight=False
                ).iloc[:, 0]
            else:
                raise e

        factor_returns.name = factor
        ls_factor_returns = pd.concat([ls_factor_returns, factor_returns], axis=1)

    self.rows.append(helper.html_plotter(
        (1 + ls_factor_returns).cumprod().plot(), title)
    )

Request for Help:

How can I properly handle the MultiIndex to avoid the duplication error when calculating factor returns with Alphalens? Any insights or alternative solutions would be greatly appreciated.