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Market Beta Calculation?

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?

1 response

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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