numeraire.AlphaEvaluator

class numeraire.AlphaEvaluator(factors: DataFrame, *, nw_lags: int = 0, periods_per_year: int = 12)

Bases: object

Time-series alpha of the strategy vs a factor benchmark (HAC t-stat).

factors are per-period factor (excess) returns on the strategy’s calendar; rows are inner-joined. Emits alpha_ann (per-period alpha x periods_per_year) and alpha_t. The volatility-managed-portfolio-style headline regression; nw_lags=0 = White errors.

__init__(factors: DataFrame, *, nw_lags: int = 0, periods_per_year: int = 12) → None

Methods

__init__(factors, *[, nw_lags, periods_per_year])
evaluate(oos_output)

Attributes

requires