Quantitative

Menus

Performance
sortino_ratio, sharpe_ratio, omega_ratio
Rolling
factors, mean, quantile, variance, stdev, kurtosis, skew
Stats
mean, quantile, variance, stdev, kurtosis, skew

Commands

factors
Regress a target return series on a factor matrix across named periods
normality
Get normality statistics for a data series
capm
Get Capital Asset Pricing Model (CAPM) risk measures for an asset
risk decomposition
Decompose Var(target) into per-factor contributions plus residual variance
attribution
Decompose the target's total return into per-factor contributions plus alpha and residual
unitroot test
Get unit root test results for a data series
summary
Get descriptive summary statistics for a data series