SPB Git

spb/wp39_uqo

Public
1.5 KB · 72 lines json
1{2 "LB2": {3  "avg_turnover": 0.594192325546025,4  "decile_means": {5   "1": 0.00958,6   "2": 0.01106,7   "3": 0.01357,8   "4": 0.01316,9   "5": 0.01288,10   "6": 0.01265,11   "7": 0.01516,12   "8": 0.01488,13   "9": 0.01265,14   "10": 0.0146515  },16  "gross": {17   "T": 129,18   "alpha_monthly": -0.004895351902521119,19   "alpha_se": 0.0029796002930577554,20   "alpha_t": -1.642955907182222,21   "mean_ls": -0.00506701640910048,22   "net": false,23   "sd_ls": 0.04821323511270702,24   "sharpe_ann": -0.3640630977295344425  },26  "net20bps": {27   "T": 129,28   "alpha_monthly": -0.005137225176399311,29   "alpha_se": 0.002972675106802712,30   "alpha_t": -1.7281488867193098,31   "mean_ls": -0.005318580780978713,32   "net": true,33   "sd_ls": 0.04821781756619533,34   "sharpe_ann": -0.382101579946782935  }36 },37 "LB5": {38  "avg_turnover": 0.6049465410831912,39  "decile_means": {40   "1": 0.00869,41   "2": 0.01217,42   "3": 0.01264,43   "4": 0.01316,44   "5": 0.0128,45   "6": 0.01335,46   "7": 0.01579,47   "8": 0.01433,48   "9": 0.01212,49   "10": 0.0152250  },51  "gross": {52   "T": 129,53   "alpha_monthly": -0.005925830391762974,54   "alpha_se": 0.003195409346885461,55   "alpha_t": -1.854482399113851,56   "mean_ls": -0.006526271190448544,57   "net": false,58   "sd_ls": 0.051037200258538834,59   "sharpe_ann": -0.4429644740921578360  },61  "net20bps": {62   "T": 129,63   "alpha_monthly": -0.006154506821786283,64   "alpha_se": 0.003190428823244719,65   "alpha_t": -1.9290531658145715,66   "mean_ls": -0.006766181770228023,67   "net": true,68   "sd_ls": 0.051030780247729876,69   "sharpe_ann": -0.4593059538729119570  }71 }72}
Files · main
Menu

Theme