ConventionsΒΆ

Author: Artur Sepp / First recorded: 2026-09-08.

Implemented in privateassets. Software citation: CITATION.cff.

  • Factor inputs are excess log returns. The risk-free rate enters the deflator once, through its own term.

  • Covariance is point-in-time: the matrix at a quarter end uses only returns observed by that date. test_rolling_covariance_is_point_in_time enforces it.

  • Deflator matrices are in quarterly units and scale by the horizon in quarters.

  • Day counts are ACT/365.25 throughout.

  • A cash-flow date before the factor panel starts returns NaN. It is not pinned to the first quarter end.

  • There is one covariance path, rolling_factor_covar, which delegates to qis.estimate_rolling_ewma_covar at a 60-month span. The 36-month full-window-mean variant that shipped in 0.1.0 is gone.

  • One panel, one reporting frequency. Every return spans exactly one period, and nothing is forward-filled or interpolated.