Factor Evaluation Summary Report
Summary
| Portfolio | Spread SR | IC | rankIC | ICIR | rankICIR | Spread EAR | TOP N EAR | TOP N SR |
|---|
| Gross | -0.009012 | 0.004194 | 0.004313 | 0.02833 | 0.02955 | -0.007251 | 0.07879 | 0.9904 |
| Net | -0.04434 | N/A | N/A | N/A | N/A | -0.01117 | 0.07666 | 0.9657 |
Quantile Performance
Quantile Performance
| quantile | mean_return | std_return | final_cumulative_return |
|---|
| q1 | 0.0003136 | 0.005027 | 14.61 |
| q2 | 0.0002483 | 0.00493 | 7.639 |
| q3 | 0.0003698 | 0.004903 | 25.21 |
| q4 | 0.0002969 | 0.005018 | 12.4 |
| q5 | 0.0003176 | 0.004934 | 15.26 |
Spread Performance
Spread Performance
| Portfolio | Total Return | EAR | Annualized Volatility | SR | Max Drawdown | Average Turnover | Transaction Cost |
|---|
| Gross | -0.2318 | -0.007251 | 0.112 | -0.009012 | -0.5106 | 0.1046 | |
| Net | -0.3344 | -0.01117 | 0.112 | -0.04434 | -0.5296 | 0.1046 | 1.131e+05 |
TOP N
TOP N Performance
| Portfolio | Total Return | EAR | Annualized Volatility | SR | Max Drawdown | Average Turnover | Transaction Cost |
|---|
| Gross | 14.61 | 0.07879 | 0.0798 | 0.9904 | -0.1671 | 0.05231 | |
| Net | 13.53 | 0.07666 | 0.07979 | 0.9657 | -0.1679 | 0.05231 | 3.877e+05 |
TOP N Lag Analysis
| lag | portfolio | gross_cumulative_return | net_cumulative_return | gross_sharpe | net_sharpe |
|---|
| 0 | top_n | 14.61 | 13.53 | 0.9904 | 0.9657 |
| 1 | top_n | 11.14 | 10.3 | 0.9228 | 0.8974 |
| 2 | top_n | 19.8 | 18.37 | 1.108 | 1.083 |
| 3 | top_n | 12.36 | 11.45 | 0.9629 | 0.9375 |
| 4 | top_n | 10.09 | 9.329 | 0.8938 | 0.8685 |
| 5 | top_n | 15.57 | 14.44 | 1.036 | 1.011 |
| 10 | top_n | 9.678 | 8.962 | 0.8995 | 0.8741 |
| 20 | top_n | 10.98 | 10.2 | 0.9763 | 0.9509 |
| 30 | top_n | 8.539 | 7.941 | 0.9134 | 0.8882 |
| 60 | top_n | 9.331 | 8.751 | 1.059 | 1.034 |