Glossary

Terms used across the guides and the reference. Identifiers stay literal; the definitions describe what this library means by each term.

{glossary} Value at risk (VaR) A loss threshold not expected to be exceeded at a given confidence level over a horizon. Under the losses_negative convention the estimate is negative.

Expected shortfall (ES) The average loss beyond the VaR threshold, also called conditional VaR. It is always at least as severe as the VaR for the same confidence level.

Maximum drawdown The largest peak-to-trough decline of a wealth path. max_drawdown returns it as a negative fraction; gen_drawdown_table reports a positive percentage of the prior peak.

Sharpe ratio Mean excess return divided by its sample standard deviation, scaled by sqrt(annualization). Daily annualization is 252.

Sortino ratio Mean excess return divided by downside deviation, where only negative excess values contribute and squared deviations divide by the usable count.

Calmar ratio Annualized return over the absolute maximum drawdown. It is undefined — NaN — when the series never declines.

Information coefficient (IC) The cross-sectional rank correlation between a factor value and its forward return on the same date.

Quantile A bucket label supplied by the caller, not computed by the analysis. The study describes the buckets you declare.

Turnover How much of a book changes between observations, measured per date and optional lag. The first day of a book with no previous state is halved.

Capacity How many days it would take to liquidate a position given its size, rolling mean volume and the tightest single-asset limit.

Round trip A matched open-and-close of a position, matched FIFO against a signed price. One block may close and reopen within the same direction.

Point-in-time (PIT) A join that only uses data that was both effective and known on the evaluation date, so a revision cannot leak backwards into history.

Brinson attribution A decomposition of excess return into allocation, selection and interaction terms. The BHB and Fachler variants place the interaction differently.

Alpha and beta The intercept and slope of a regression of excess returns on benchmark excess returns, paired on shared timestamps.

GARCH family Conditional-variance models: GARCH(1,1), EGARCH(1,1) and GJR-GARCH(1,1) with an asymmetric shock term. EGARCH recurses on the log variance.

Extreme value theory (EVT) Tail modelling with a generalised Pareto distribution over threshold exceedances (GPD) or a generalised extreme-value distribution over block maxima (GEV).

Efficient frontier The set of portfolios with the lowest volatility for each level of expected return, plus the minimum-variance and maximum-Sharpe points.

Risk parity Weights whose risk-contribution shares match an equal or user-supplied budget, solved with weights bounded to [1e-6, 1] and a fixed 252-period year.

Digest and fingerprint A SHA-256 over a canonical serialization. A digest over inputs answers “same inputs?”; the factor fingerprint hashes inputs, a report digest covers the document.

Artifact bundle The named outputs a renderer returns: metadata with backend and report_digest, plus artifacts such as figure, file or axis:<section>.<series>.

Inconclusive A backtest verdict meaning the sample is too small to decide: fewer than three paired observations or fewer than five expected exceptions.