I am not sufficiently proficient in Python to dig up the answer to this question in the source code so forgive my asking:
I have a factor, and generated a full tear sheet, with 10 quantiles (i.e. deciles). I looked "Mean Period Wise Return by Factor Quantile" barplot and saw that quantile 1 had negative mean forward returns for all three periods.
However, when I look at the dataframe generated by
and just use
pandas.DataFrame.mean() on that specific quantile, the means are all positive. What's going on here?
Thank you for reading!