So my market beta on contest 21 just changed from around -.4 to nearly a perfect 0 in just one leaderboard update. With how regression works this seems very unlikely, unless the beta calculated in the first place was statistically insignificant. Though I do appreciate the boost in rank, I was wondering how the beta calculation works. Is it not updated as often as the leaderboard? Or maybe something is broken?
Not sure about the timing of when you're seeing the big change in your beta, but we did overhaul our calculation methods for the backtester and the contest to match those in pyfolio. The methods are not executed in zipline using empyrical.
See this post for the details: https://www.quantopian.com/posts/feedback-requested-improvements-to-quantopians-risk-and-performance-calculations
Beta was not one of the metrics impacted by the work described in the above post but empyrical itself can give you some idea as to how we calculate the metrics. If you haven feedback on the accuracy of the calculation methods, we're always happy to hear it.
Thanks
Josh
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.