I don't seem to understand what alphalens tries to calculate and why
1) in Research I pick a factor. Use get_clean_factor_and_forward_returns(). Plot returns for Q5-Q1 cumsum(). The char is different from the tearsheet cumulative returns chart. Why? What is the tearsheet doing? Is it perhaps weighting returns by my score on top of doing Q5-Q1 ?
( it seems you have to click on View Notebook in order to see both charts)
2) what is demeaning? is this responsible for the difference? I saw the term in the alphalens code
3) I noticed that instead of returning my score (real value), I calculate their quantiles, and return quantiles as my score, then the tearsheet chart becomes Q5-Q1 cumsum(). So what should my score be? A real number that can be used to rank assets? Or quantiles? Or if the answer is "it depends" then in what scenario would I want to do one or the other?
If this is explained in detail in some lecture please let me know.