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qis - performance analytics, backtesting, and factsheet reporting
qis - performance analytics, backtesting, and factsheet reporting

Start here

  • Installation
  • Offline quickstart
  • Factsheet gallery

Part I - Foundations

  • Notation and conventions
  • Returns, NAVs, excess returns, fees and leverage
  • Reporting frequency and annualisation
  • Incomplete and mixed-frequency data

Part II - Performance measurement

  • The performance-statistic catalogue
  • Sharpe ratios: conventions and inference
  • Drawdowns and time under water
  • Alpha, beta and benchmark-relative performance
  • Regime-conditional performance
  • The convexity premium and smart diversification

Part III - Estimation

  • Exponentially weighted estimators
  • Covariance, correlation and principal components
  • Serial dependence and autocorrelation
  • Regression and HAC inference
  • Resampling and the bootstrap
  • Private-asset unsmoothing

Part IV - Portfolios

  • Portfolio backtesting
  • Turnover conventions
  • Risk-adjusted returns and volatility targeting
  • Signal diagnostics: information coefficient and information ratio

Part V - Risk

  • Portfolio risk and Euler contributions
  • Factor risk models
  • Tracking error and risk
  • Portfolio breadth
  • Factor stress testing
    • Factor stress testing
  • Instrument portfolios and stress reports
    • Instrument portfolio valuation and stress reports
  • Stress testing with options
  • FX hedging and market data

Part VI - Attribution

  • Brinson attribution
  • Model-layer attribution

Reporting guides

  • Factsheets and reporting
  • Factsheet reference

Reference

  • API reference
    • qis.FactorGroupSpec
    • qis.HoldingPayoff
    • qis.InstrumentLeg
    • qis.InstrumentPortfolio
    • qis.InstrumentType
    • qis.KinkPolicy
    • qis.PayoffContext
    • qis.PortfolioHolding
    • qis.PortfolioStressResult
    • qis.PortfolioValuationResult
    • qis.ResponseBasis
    • qis.ScenarioMode
    • qis.ShockConvention
    • qis.StressScenarios
    • qis.StressTestConfig
    • qis.Underlying
    • qis.run_portfolio_stress_test
    • qis.StressReportArtifacts
    • qis.StressReportConfig
    • qis.generate_portfolio_stress_report
    • qis.PerfParams
    • qis.PerfStat
    • qis.compute_ra_perf_table
    • qis.get_ra_perf_columns
    • qis.compute_asset_returns_dict
    • qis.to_returns
    • qis.returns_to_nav
    • qis.delever_returns
    • qis.implied_leverage
    • qis.interpolate_infrequent_returns
    • qis.SignalDiagnosticsResult
    • qis.estimate_ic_ir
    • qis.estimate_signal_diagnostics
    • qis.TurnoverComputationType
    • qis.compute_turnover
    • qis.backtest_model_portfolio
    • qis.generate_static_weights_schedule
    • qis.PortfolioData
    • qis.MultiPortfolioData
    • qis.RiskModel
    • qis.compute_portfolio_risk_contributions
    • qis.compute_portfolio_risk_contribution_ratios
    • qis.compute_group_portfolio_risk_contribution_ratios
    • qis.EwmLinearModel
    • qis.compute_ewma_realised_tracking_error
    • qis.PortfolioBreadthResult
    • qis.compute_portfolio_breadth
    • qis.FactorScenarioProjection
    • qis.ConditionalScenarioBand
    • qis.FactorSensitivityResult
    • qis.price_target_log_shock
    • qis.return_log_shock
    • qis.duration_log_shock
    • qis.conditional_factor_shock
    • qis.conditional_factor_covariance
    • qis.project_factor_scenarios
    • qis.compute_conditional_scenario_band
    • qis.compute_factor_sensitivity
    • qis.factsheet
    • qis.generate_strategy_factsheet
    • qis.generate_strategy_benchmark_factsheet_plt
    • qis.generate_multi_portfolio_factsheet
    • qis.plot_exposures_strategy_vs_benchmark_stack
    • qis.ReportingFrequency
    • qis.fetch_default_report_kwargs
    • qis.MeanAdjType
    • qis.NanBackfill
    • qis.compute_ewm
    • qis.compute_ewm_vol
    • qis.compute_ewm_long_short_filtered_ra_returns
    • qis.compute_masked_covar_corr
    • qis.estimate_rolling_ewma_covar
    • qis.plot_corr_matrix_from_covar
    • qis.FxRatesData
    • qis.FactorsData
    • qis.load_fx_rates_data
    • qis.get_aligned_fx_spots
    • qis.compute_local_and_fx_return
    • qis.compute_performance_of_local_ccy_asset_in_reference_ccy
    • qis.compute_fx_vol_beta
    • qis.compute_fx_optimal_hedge
    • qis.compute_futures_fx_adjusted_returns
    • qis.compute_cash_fx_adjusted_returns
    • qis.compute_multi_asset_fx_hedging
    • qis.run_asset_fx_hedging_report
    • qis.plot_multi_asset_fx_hedging_report
    • qis.BenchmarkReturnsQuantilesRegime
    • qis.BootstrapType
    • qis.BootstrapOutput
    • qis.generate_bootstrapped_indices
    • qis.bootstrap_data
    • qis.bootstrap_price_data
    • qis.compute_ar_unsmoothed_prices
    • qis.unsmooth_returns_ar1_ewma
    • qis.unsmooth_returns_glm
    • qis.plot_time_series
    • qis.plot_prices
    • qis.plot_prices_with_dd
    • qis.plot_bars
    • qis.plot_scatter
    • qis.plot_classification_scatter
    • qis.plot_heatmap
    • qis.plot_qq
    • qis.plot_df_table
    • qis.df_boxplot_by_classification_var
    • qis.df_boxplot_by_hue_var
    • qis.LegendStats
    • qis.set_suptitle
    • qis.plot_portfolio_breadth_history
    • qis.plot_portfolio_breadth_current_comparison
    • qis.plot_portfolio_breadth_concentration
    • qis.TimePeriod
    • qis.get_time_period
    • qis.get_time_period_label
    • qis.generate_dates_schedule
    • qis.generate_rebalancing_indicators
    • qis.generate_fixed_maturity_rolls
    • qis.find_upto_date_from_datetime_index
    • qis.truncate_prior_to_start
    • qis.get_annualisation_conversion_factor
    • qis.get_annualization_factor
    • qis.infer_annualisation_factor_from_df
    • qis.df_abssum
    • qis.df_abssum_positive
    • qis.df_abssum_negative
    • qis.df_nansum
    • qis.df_nansum_positive
    • qis.df_nansum_negative
    • qis.df_nansum_clip
    • qis.df_nanmean
    • qis.df_nanmean_positive
    • qis.df_nanmean_clip
    • qis.df_nanmedian
    • qis.df_last_row
    • qis.series_nansum_weighted
    • qis.get_group_dict
    • qis.set_group_loadings
    • qis.split_df_by_groups
    • qis.df_to_cross_sectional_score
    • qis.df_to_equal_weight_allocation
    • qis.df_to_long_only_allocation_sum1
    • qis.df_to_weight_allocation_sum1
    • qis.covar_to_corr
    • qis.np_array_to_df_columns
    • qis.fit_multivariate_ols
    • qis.update_kwargs
    • qis.load_df_from_csv
    • qis.load_df_dict_from_csv
    • qis.load_df_from_excel
    • qis.save_df_to_csv
    • qis.save_df_dict_to_csv
    • qis.save_fig
    • qis.save_figs_to_pdf
    • qis.timer
    • qis.get_resource_path
    • qis.AttributionMetric
    • qis.ConvolutionType
    • qis.CorrMatrixOutput
    • qis.CrossXyType
    • qis.DdLegendType
    • qis.DescTableType
    • qis.EnumMap
    • qis.FileTypes
    • qis.InitType
    • qis.PdfType
    • qis.PerfStatsLabels
    • qis.RegimeData
    • qis.ReplacementType
    • qis.ReturnTypes
    • qis.ReturnsTransform
    • qis.RollingPerfStat
    • qis.SharpeConvention
    • qis.SignalAggType
    • qis.SignalDiagnosticsColumns
    • qis.SignalMapType
    • qis.SnapshotPeriod
    • qis.TrendLine
    • qis.ValueType
    • qis.ColumnData
    • qis.EwmaAlphaBetaHacResult
    • qis.LinearModel
    • qis.ModelFeatureAlphaBetaAttribution
    • qis.ModelLayerAlphaBetaAttribution
    • qis.ModelLayerCumulativeAlphaAttribution
    • qis.ModelLayerEwmaAlphaAttribution
    • qis.ModelLayerEwmaRegressionAttribution
    • qis.ModelLayerNavs
    • qis.PortfolioInput
    • qis.SmartDiversificationReport
    • qis.StrategySignalData
    • qis.BenchmarkReturnsPositiveNegativeRegime
    • qis.BenchmarkVolsQuantilesRegime
    • qis.ColVar
    • qis.FactsheetConfig
    • qis.MultiAssetsReport
    • qis.OutlierPolicy
    • qis.RegimeClassifier
    • qis.add_bnb_regime_shadows
    • qis.adjust_component_navs_to_portfolio
    • qis.adjust_returns_with_ar
    • qis.adjust_returns_with_factor_lag
    • qis.adjust_returns_with_joint_unsmoothing
    • qis.align_weights_to_columns
    • qis.append_df_to_feather
    • qis.append_time_series
    • qis.apply_pca
    • qis.assert_list_subset
    • qis.bfill_timeseries
    • qis.bootstrap_ar_process
    • qis.bootstrap_price_fundamental_data
    • qis.check_df_for_duplicated_columns_index
    • qis.compute_ar1_unsmoothed_prices
    • qis.compute_ar_residuals
    • qis.compute_autocorr_df
    • qis.compute_autocorrelation_at_int_periods
    • qis.compute_avg_max_dd
    • qis.compute_benchmark_portfolio_risk_contributions
    • qis.compute_benchmarks_beta_attribution_from_prices
    • qis.compute_benchmarks_beta_attribution_from_returns
    • qis.compute_bnb_regimes_pa_perf_table
    • qis.compute_brinson_attribution_table
    • qis.compute_data_pca_r2
    • qis.compute_desc_freq_table
    • qis.compute_desc_table
    • qis.compute_drawdowns_stats_table
    • qis.compute_eigen_portfolio_weights
    • qis.compute_ewm_alpha_r2_given_prediction
    • qis.compute_ewm_beta_alpha_forecast
    • qis.compute_ewm_corr_df
    • qis.compute_ewm_corr_single
    • qis.compute_ewm_cross_xy
    • qis.compute_ewm_long_short_filter
    • qis.compute_ewm_matrix_autocorr_df
    • qis.compute_ewm_newey_west_vol
    • qis.compute_ewm_ra_returns_momentum
    • qis.compute_ewm_score
    • qis.compute_ewm_sharpe
    • qis.compute_ewm_sharpe_from_prices
    • qis.compute_ewm_std1_norm
    • qis.compute_ewm_vector_autocorr
    • qis.compute_ewm_vector_autocorr_df
    • qis.compute_ewm_xy_beta_tensor
    • qis.compute_excess_return_navs
    • qis.compute_excess_returns
    • qis.compute_ic_timeseries
    • qis.compute_info_ratio_table
    • qis.compute_max_current_drawdown
    • qis.compute_mean_freq_regimes
    • qis.compute_model_feature_alpha_beta_attribution
    • qis.compute_model_layer_alpha_beta_attribution
    • qis.compute_model_layer_cumulative_alpha_after_warmup
    • qis.compute_model_layer_ewma_alpha_attribution
    • qis.compute_model_layer_ewma_regression_attribution
    • qis.compute_model_layer_ewma_sharpe_contributions
    • qis.compute_model_layer_ewma_stage_sharpes
    • qis.compute_model_layer_in_sample_sharpe_contributions
    • qis.compute_model_layer_rolling_ewma_regression_alpha
    • qis.compute_net_navs_ex_perf_man_fees
    • qis.compute_net_return_ex_perf_man_fees
    • qis.compute_num_years
    • qis.compute_one_factor_ewm_betas
    • qis.compute_pa_excess_compounded_returns
    • qis.compute_pa_return
    • qis.compute_pca_r2
    • qis.compute_per_asset_betas
    • qis.compute_performance_table
    • qis.compute_periodic_returns
    • qis.compute_periodic_returns_table
    • qis.compute_portfolio_benchmark_ewm_beta_alpha_attribution
    • qis.compute_portfolio_correlated_var_by_groups
    • qis.compute_portfolio_ewm_benchmark_betas
    • qis.compute_portfolio_independent_var_by_ac
    • qis.compute_portfolio_vol
    • qis.compute_ra_perf_table_with_benchmark
    • qis.compute_ra_returns
    • qis.compute_regime_avg
    • qis.compute_regimes_pa_perf_table_from_sampled_returns
    • qis.compute_returns_dict
    • qis.compute_returns_transform
    • qis.compute_risk_table
    • qis.compute_roll_mean
    • qis.compute_rolling_drawdown_time_under_water
    • qis.compute_rolling_drawdowns
    • qis.compute_rolling_mean_adj
    • qis.compute_rolling_perf_stat
    • qis.compute_rolling_ra_returns
    • qis.compute_sampled_vols
    • qis.compute_sum_freq_ra_returns
    • qis.compute_sum_rolling_ra_returns
    • qis.compute_te_ir_errors
    • qis.compute_total_return
    • qis.corr_to_pivot_row
    • qis.create_overlay_portfolio_curve
    • qis.create_rebalancing_indicators_from_freqs
    • qis.df_asfreq
    • qis.df_boxplot_by_columns
    • qis.df_boxplot_by_index
    • qis.df_dict_boxplot_by_classification_var
    • qis.df_dict_boxplot_by_columns
    • qis.df_nanmean_negative
    • qis.df_nanmean_weighted
    • qis.df_to_str
    • qis.estimate_acf_from_path
    • qis.estimate_acf_from_paths
    • qis.estimate_dimson_beta
    • qis.estimate_ewm_factor_model
    • qis.estimate_ewma_alpha_beta_hac
    • qis.estimate_vol
    • qis.ewm_insample_winsorising
    • qis.ewm_xy_convolution
    • qis.fetch_default_perf_params
    • qis.fetch_factsheet_config_kwargs
    • qis.filter_outliers
    • qis.flatten_group_attribution
    • qis.generate_current_signal_report
    • qis.generate_multi_asset_factsheet
    • qis.generate_price_history_report
    • qis.generate_strategy_benchmark_active_perf_plt
    • qis.generate_strategy_signal_factsheet_by_instrument
    • qis.generate_weight_change_report
    • qis.get_all_folder_files
    • qis.get_excess_returns_nav
    • qis.get_local_file_path
    • qis.get_nonnan_index
    • qis.get_output_path
    • qis.get_paired_rareturns_signals
    • qis.get_pdf_path
    • qis.get_time_period_shifted_by_years
    • qis.get_time_to_maturity
    • qis.get_ytd_time_period
    • qis.idx_to_alphabet
    • qis.join_file_name_parts
    • qis.lever_returns
    • qis.load_df_dict_from_excel
    • qis.load_df_dict_from_feather
    • qis.load_df_dict_from_parquet
    • qis.load_df_from_feather
    • qis.load_df_from_parquet
    • qis.log_returns_to_nav
    • qis.long_short_to_relative_nav
    • qis.map_signal_to_weight
    • qis.matrix_regularization
    • qis.melt_scatter_data_with_xvar
    • qis.mult_df_columns_with_vector
    • qis.np_array_to_df_index
    • qis.plot_best_worst_returns
    • qis.plot_box
    • qis.plot_brinson_attribution_table
    • qis.plot_brinson_totals_table
    • qis.plot_clusters
    • qis.plot_contour
    • qis.plot_data_timeseries
    • qis.plot_dendrogram
    • qis.plot_desc_freq_table
    • qis.plot_df_table_with_ci
    • qis.plot_errorbar
    • qis.plot_histogram
    • qis.plot_histplot2d
    • qis.plot_line
    • qis.plot_lines_list
    • qis.plot_model_layer_ewma_return_bridge
    • qis.plot_model_layer_ewma_sharpe_bridge
    • qis.plot_model_layer_in_sample_sharpe_bridge
    • qis.plot_model_layer_rolling_ewma_regression_alpha
    • qis.plot_multivariate_scatter_with_prediction
    • qis.plot_periodic_returns_table
    • qis.plot_pie
    • qis.plot_price_history
    • qis.plot_prices_2ax
    • qis.plot_prices_with_fundamentals
    • qis.plot_quantile_class_table
    • qis.plot_ra_perf_annual_matrix
    • qis.plot_ra_perf_bars
    • qis.plot_ra_perf_by_dates
    • qis.plot_ra_perf_scatter
    • qis.plot_ra_perf_table
    • qis.plot_ra_perf_table_benchmark
    • qis.plot_regime_boxplot
    • qis.plot_regime_data
    • qis.plot_regime_pdf
    • qis.plot_returns_corr_matrix_time_series
    • qis.plot_returns_corr_table
    • qis.plot_returns_ewm_corr_table
    • qis.plot_returns_heatmap
    • qis.plot_returns_scatter
    • qis.plot_returns_table
    • qis.plot_rolling_drawdowns
    • qis.plot_rolling_perf_stat
    • qis.plot_rolling_time_under_water
    • qis.plot_scatter_regression
    • qis.plot_signal_diagnostics
    • qis.plot_signal_diagnostics_beta_boxplot
    • qis.plot_signal_diagnostics_boxplot
    • qis.plot_signal_diagnostics_for_returns
    • qis.plot_signal_diagnostics_group_boxplot
    • qis.plot_sorted_periodic_returns
    • qis.plot_stack
    • qis.plot_time_series_2ax
    • qis.plot_top_bottom_performers
    • qis.plot_top_drawdowns_paths
    • qis.plot_vbars
    • qis.plot_xy_qq
    • qis.portfolio_navs_to_additive
    • qis.portfolio_returns_to_nav
    • qis.prices_at_freq
    • qis.prices_to_scaled_nav
    • qis.save_df_dict_to_excel
    • qis.save_df_dict_to_feather
    • qis.save_df_dict_to_parquet
    • qis.save_df_to_excel
    • qis.save_df_to_feather
    • qis.save_df_to_parquet
    • qis.save_figs
    • qis.to_finite_reciprocal
    • qis.to_flat_list
    • qis.to_portfolio_returns
    • qis.to_quarterly_returns
    • qis.to_total_returns
    • qis.to_zero_first_nonnan_returns
    • qis.update_df_in_csv
    • qis.weights_tracking_error_report_by_ac_subac
    • qis.regimes.calibrate_student_t_nu
    • qis.regimes.compute_convexity_premium
    • qis.regimes.compute_gaussian_regime_moments
    • qis.regimes.compute_null_regime_contributions
    • qis.regimes.compute_overlay_blend_frontier
    • qis.regimes.compute_portfolio_bear_sharpe
    • qis.regimes.compute_regime_betas
    • qis.regimes.compute_regime_betas_bootstrap
    • qis.regimes.compute_regime_ewm_avg
    • qis.regimes.compute_regime_ewm_betas
    • qis.regimes.compute_regime_kappa
    • qis.regimes.compute_regime_mixture_covar
    • qis.regimes.compute_regime_null_loadings
    • qis.regimes.compute_regime_premium_bootstrap
    • qis.regimes.compute_regime_premium_table
    • qis.regimes.create_sampled_returns_with_regime_id
    • qis.regimes.get_partition_quantiles
    • qis.regimes.get_regime_ids
    • qis.regimes.get_regime_probabilities
    • qis.plots.derived.regime_premium.plot_regime_beta_profiles
    • qis.plots.derived.regime_premium.plot_regime_sharpe_decomposition
    • qis.utils.quantile_buckets.EmptyQuantileBucketError
    • qis.utils.quantile_buckets.assign_bucket_codes
    • qis.utils.quantile_buckets.classify_quantile_buckets
    • qis.utils.quantile_buckets.compute_bucket_codes
    • qis.utils.quantile_buckets.compute_quantile_edges
    • qis.utils.quantile_buckets.compute_sample_quantiles
    • qis.utils.quantile_buckets.get_quantile_probabilities
  • Bibliography
  • Software design
  • Package comparison
  • API migration history
  • Documentation standard
  • Sharpe convention summary
  • Reporting-frequency reference
  • Shared plotting arguments
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