The function description documentation for alphalens.performance.factor_alpha_beta says "Compute the alpha (excess returns), alpha t-stat (alpha significance), and beta (market exposure) of a factor. "
The return documentation says "A list containing the alpha, beta, a t-stat(alpha) for the given factor and forward returns."
I am assuming "a t-stat" means "and t-stat" given the documentation for the function description?
I get "Ann. alpha" and "beta" but no t-stat. The code in the head version, assuming I understand it, is not showing a t-stat entry to be returned. It would be very helpful if this function did return t-stat(alpha).
Problem Description
The function description documentation for alphalens.performance.factor_alpha_beta says "Compute the alpha (excess returns), alpha t-stat (alpha significance), and beta (market exposure) of a factor. "
The return documentation says "A list containing the alpha, beta, a t-stat(alpha) for the given factor and forward returns."
I am assuming "a t-stat" means "and t-stat" given the documentation for the function description?
In at least 0.4.0 and the head version if I run:
I get "Ann. alpha" and "beta" but no t-stat. The code in the head version, assuming I understand it, is not showing a t-stat entry to be returned. It would be very helpful if this function did return t-stat(alpha).
Thanks!