Factor Analysis Report

Diagnostic tear sheet inspired by Alphalens Reloaded.

            Mean IC
            0.061
        

            Information Ratio
            0.27
        

            Absolute Top vs Bottom Spread (5D)
            1.90%
        

            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	34	34	34	33	32
IC Mean	0.061	0.057	0.087	0.092	0.071
IC Std.	0.227	0.226	0.200	0.165	0.128
Risk-Adjusted IC	0.268	0.251	0.437	0.557	0.558
HAC Lags	0	0	1	1	3
HAC t-stat(IC)	1.587	1.488	2.653	3.131	3.089
HAC p-value(IC)	0.1125	0.1368	0.0080	0.0017	0.0020
IC Skew	-0.016	0.336	0.691	0.065	0.315
IC Kurtosis	-0.959	-0.148	-0.114	-0.438	0.237

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	0.346	0.215	0.245	0.211	0.120
beta	0.110	0.144	0.149	0.210	0.251
Cross-Sectionally Demeaned 5D-Equivalent Return — Top Quantile (bps)	158.09 bps	119.71 bps	108.80 bps	99.93 bps	70.30 bps
Cross-Sectionally Demeaned 5D-Equivalent Return — Bottom Quantile (bps)	-25.17 bps	5.73 bps	-23.11 bps	-30.90 bps	-20.43 bps
Cross-Sectionally Demeaned 5D-Equivalent Top-minus-Bottom Spread (bps)	182.01 bps	115.61 bps	129.37 bps	127.87 bps	83.84 bps

Quantile Mean Turnover

Metric	1F	3F	6F	12F
Quantile 1 Mean Turnover	0.679	0.804	0.899	0.968
Quantile 2 Mean Turnover	0.854	0.922	0.947	0.958
Quantile 3 Mean Turnover	0.838	0.909	0.935	0.965
Quantile 4 Mean Turnover	0.869	0.944	0.933	0.987
Quantile 5 Mean Turnover	0.838	0.931	0.942	0.974
Quantile 6 Mean Turnover	0.839	0.909	0.917	0.965
Quantile 7 Mean Turnover	0.842	0.911	0.962	0.945
Quantile 8 Mean Turnover	0.841	0.887	0.927	0.961
Quantile 9 Mean Turnover	0.765	0.886	0.922	0.964
Quantile 10 Mean Turnover	0.447	0.633	0.785	0.970

Factor Rank Autocorrelation

Metric	1F	3F	6F	12F
Mean Factor Rank Autocorrelation	0.728	0.492	0.241	-0.094

Observation Counts

Metric	5D	10D	21D	32D	63D
Eligible Formations	34	34	34	33	32
Asset Observations	2371	2371	2371	2303	2235