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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 image
  • Stocks in the top 70% of the market capitalization image

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

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