Anthony,
The only difference I can see right away is the actual quantile split itself is different.
The Old Quantile 1(163301) counts are different than the New Quantile 1(163327) counts:
This might account for the difference, which will be most prevalent with the Period 1 stats.
This might have to do with the difference between using ".qcut()" versus ".cut()" in the new versions of alphalens...not sure,
but I ran into an "edges-are-the-same" error lately when using alphalens.
Also, I added in the group parameters to the old create_factor_tear_sheet, to just in case it mattered, which it didn't seem to.
Old:
alphalens.tears.create_factor_tear_sheet(factor=result['factor'],
prices=pricing,
groupby=result["Sector"],
show_groupby_plots=False,
periods=(1, 5, 10,30),
quantiles=2,
bins=None,
filter_zscore=10,
groupby_labels=MORNINGSTAR_SECTOR_CODES,
long_short=True,
avgretplot=(5, 15),
turnover_for_all_periods=False)
Quantiles Statistics
factor_quantile min max mean std count count %
1 1.0 679.0 337.466439 194.728263 163301 50.016999
2 670.0 1358.0 1012.172327 194.849422 163190 49.983001
New
factor_data = alphalens.utils.get_clean_factor_and_forward_returns(result['factor'],
pricing,
groupby=result["Sector"],
quantiles=2,
periods=(1,5,10,30),
groupby_labels=MORNINGSTAR_SECTOR_CODES
)
alphalens.tears.create_full_tear_sheet(factor_data,
group_adjust=True,
by_group=True)
Quantiles Statistics
factor_quantile min max mean std count count %
1 1.0 679.0 337.460983 194.725785 163327 50.01669
2 670.0 1358.0 1012.176568 194.847478 163218 49.98331
alan