QuantBenchmark

quant benchmark in research and production environment

Cross-sectional regression benchmark

• date_range： 20150105-20191128
• frequency： 1d

average factor return

	BP	Beta	Momentum	NonLinearSize	Size	Earningyield	Leverage	Liquidity	ResidualVolatility
all stocks	-0.000149	0.000269	0.000009	-0.000139	-0.000356	0.000086	-0.000109	-0.000445	-0.000113
size top70% stocks	-0.000127	0.000218	-0.000023	-0.000147	-0.000147	0.000099	-0.000097	-0.000388	-0.000047

• all stocks
• Stocks in the top 70% of the market capitalization

r2 score describe

• all stocks

	mean	25%	50%	75%
relative_r2	0.078972	0.030036	0.053048	0.099254
total_r2	0.277296	0.08425	0.194767	0.424896

• Stocks in the top 70% of the market capitalization

	mean	25%	50%	75%
relative_r2	0.096583	0.037077	0.068890	0.122384
total_r2	0.288051	0.097129	0.210451	0.429152

Fama macbeth regression benchmark

r2 score describe(out of sample)

rolling window: 5d

• all stocks

	mean	25%	50%	75%
relative_r2	-0.839039	-0.574082	-0.176542	-0.046358
total_r2	-0.012423	-0.024279	-0.005865	0.006163

• Stocks in the top 70% of the market capitalization

	mean	25%	50%	75%
relative_r2	-0.766452	-0.585701	-0.190020	-0.048535
total_r2	-0.017311	-0.030420	-0.009169	0.005953

rolling window: 10d

• all stocks

	mean	25%	50%	75%
relative_r2	-0.832098	-0.562397	-0.164592	-0.037761
total_r2	-0.006273	-0.014106	-0.002179	0.006928

• Stocks in the top 70% of the market capitalization

	mean	25%	50%	75%
relative_r2	-0.755753	-0.570511	-0.167731	-0.041683
total_r2	-0.008515	-0.019181	-0.003778	0.007509

rolling window: 20d

• all stocks

	mean	25%	50%	75%
relative_r2	-0.825958	-0.553534	-0.159396	-0.035826
total_r2	-0.003558	-0.010202	-0.001158	0.006298

• Stocks in the top 70% of the market capitalization

	mean	25%	50%	75%
relative_r2	-0.747914	-0.562612	-0.162677	-0.036368
total_r2	-0.004978	-0.013814	-0.001941	0.007269