factor_agent.evaluator.Contribution

class Contribution(weight, residual_ic)

Bases: object

A pool factor’s part in a group of pool factors.

weight is its mean daily coefficient in the least-squares regression of the label’s normal scores on the group’s normal scores (with an intercept): a unitless marginal weight. residual_ic is the mean daily rank IC of what is left of it after regressing it on the rest of the group.

Attributes

Contribution.weight

Contribution.residual_ic