Factor Analysis Report

Diagnostic tear sheet inspired by Alphalens Reloaded.

            Mean IC
            0.059
        

            Information Ratio
            0.26
        

            Absolute Top vs Bottom Spread (5D)
            1.86%
        

            Avg Assets per Formation
            70
        

Methodology & Return Provenance

Factor forward returns are diagnostic labels and must not be interpreted as realized fill-to-exit strategy returns.

Backtest engine: zipline
Factor formation schedule: Month start (first trading session); market open +60 minutes
Stored signal timestamp: Formation session date only; the exact intraday callback timestamp is not retained in the factor-report dataset.
Forward-return entry: Formation-session close at the factor index date (price[t]).
Forward-return endpoint: Close N available daily price-matrix rows after formation (price[t+N]); a missing endpoint produces a missing label. N is not a calendar-day count.
Price field: close
Price basis: Adjusted close
Corporate-action adjustment: Zipline DataPortal corporate-action adjustments
Price source: zipline_bundle_data_portal
Intended-target return attribution: Next available return session after the target date for intended-target daily return attribution only; this is not an order or fill timestamp.
Execution / realized returns: Orders are submitted during the configured Zipline rebalance callback; actual transaction timestamps and fill prices are authoritative. Factor labels are not realized fill-to-exit returns.
Quantile-return benchmark: At each formation, subtract the equal-weight mean return of all eligible assets with a valid return for that horizon.
Quantile-return aggregation: Pool valid asset observations by quantile after formation-level demeaning; each asset observation has equal weight, so formations with more valid assets contribute more observations.
Top-minus-bottom spread aggregation: Within each formation, compute and horizon-normalize the top and bottom quantile means, subtract bottom from top, then average formation spreads with equal formation weight.
Horizon normalization: Convert each demeaned holding-horizon return to a 5D-equivalent compounded rate. These are relative rates, not absolute cumulative returns.
Information coefficient: Formation-date Spearman rank correlation with no group adjustment (group_adjust=False, by_group=False).

Absolute Cumulative Forward Returns by Factor Quantile

Arithmetic close-to-close forward returns averaged within each quantile; these values are not cross-sectionally demeaned or horizon-normalized.

Cross-Sectionally Demeaned Equivalent Returns by Factor Quantile

Returns are demeaned against the equal-weight eligible universe at each formation, pooled as asset observations within quantile, and converted to 5D-equivalent compounded rates. They are relative rates, not absolute cumulative returns.

Information Coefficient Time Series (5D)

Formation-date Spearman rank IC with group_adjust=False and by_group=False.

Information Analysis

Formation-date IC statistics with no group adjustment (group_adjust=False, by_group=False).

Metric	5D	10D	21D	32D	63D
IC Observations	33	33	33	32	31
IC Mean	0.059	0.056	0.087	0.084	0.070
IC Std.	0.229	0.229	0.204	0.163	0.130
Risk-Adjusted IC	0.260	0.243	0.427	0.516	0.542
HAC Lags	0	0	0	1	2
HAC t-stat(IC)	1.515	1.420	2.488	2.857	3.012
HAC p-value(IC)	0.1299	0.1557	0.0128	0.0043	0.0026
IC Skew	0.019	0.339	0.646	0.116	0.326
IC Kurtosis	-1.027	-0.232	-0.225	-0.326	0.133

Returns Analysis

Alpha and beta are regression diagnostics. Quantile rows are cross-sectionally demeaned 5D-equivalent rates in basis points.

Metric	5D	10D	21D	32D	63D
Ann. alpha	0.362	0.208	0.236	0.192	0.111
beta	0.106	0.147	0.156	0.224	0.262
Cross-Sectionally Demeaned 5D-Equivalent Return — Top Quantile (bps)	161.80 bps	122.61 bps	109.36 bps	99.67 bps	71.60 bps
Cross-Sectionally Demeaned 5D-Equivalent Return — Bottom Quantile (bps)	-17.29 bps	12.47 bps	-17.35 bps	-29.34 bps	-19.61 bps
Cross-Sectionally Demeaned 5D-Equivalent Top-minus-Bottom Spread (bps)	177.46 bps	111.44 bps	123.80 bps	125.76 bps	84.07 bps

Quantile Mean Turnover

Metric	1F	3F	6F	12F
Quantile 1 Mean Turnover	0.682	0.797	0.906	0.967
Quantile 2 Mean Turnover	0.849	0.918	0.945	0.956
Quantile 3 Mean Turnover	0.828	0.906	0.933	0.964
Quantile 4 Mean Turnover	0.870	0.942	0.930	0.986
Quantile 5 Mean Turnover	0.833	0.934	0.935	0.980
Quantile 6 Mean Turnover	0.834	0.910	0.924	0.964
Quantile 7 Mean Turnover	0.837	0.908	0.960	0.942
Quantile 8 Mean Turnover	0.845	0.893	0.935	0.959
Quantile 9 Mean Turnover	0.766	0.887	0.919	0.963
Quantile 10 Mean Turnover	0.452	0.635	0.788	0.969

Factor Rank Autocorrelation

Metric	1F	3F	6F	12F
Mean Factor Rank Autocorrelation	0.727	0.488	0.231	-0.072

Observation Counts

Metric	5D	10D	21D	32D	63D
Eligible Formations	33	33	33	32	31
Asset Observations	2303	2303	2303	2235	2171