numeraire.CEQEvaluator

class numeraire.CEQEvaluator(gamma: float = 1.0)

Bases: object

DGU (2009) certainty-equivalent return of the realized strategy returns (economic value).

ceq = mean - gamma/2 * var of the per-period strategy returns (gamma = risk aversion, DGU report gamma=1). Emitted per-period, in the input’s units — DGU’s Table 4 CEQ figures are monthly — so it is not annualized (unlike SharpeEvaluator). The economic-value companion to the risk-adjusted SharpeEvaluator in a 1/N-style horse race.

__init__(gamma: float = 1.0) → None

Methods

__init__([gamma])
evaluate(oos_output)

Attributes

requires