Help - Negative Cumulative Returns in Alphalens, not sure why

https://imgur.com/a/Bzkv3gS

My top group goes up, my bottom group goes down. Both do so relatively consistently (in this short period of time at least). But my cumulative returns are negative, by a lot too.

Can someone explain to me how this would be possible on alphalens?

4 responses

Just invert the factor values, that is pass -myfactor (note the minus sign) to Alphalens. It's hard to say what's going on without a NB

Here's a simple notebook that recreates the same problem. I passed a negative sign to Alphalens and that made the cumulative returns positive, but the quantile-wise returns also flipped. I am confused about why they don't match up.

I substituted ROIC with a different simple factor that I know is positive in this time period from previous tests, and it behaves as it normally would.

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