Datasets:

P2SAMAPA
/

p2-etf-idiosyn-alpha-engine-results

run_date large_stringdate 2026-04-22 00:00:00 2026-05-06 00:00:00	universe large_stringclasses 3 values	ticker large_stringclasses 20 values	idio_return float64 -0.05 0.07	idio_zscore float64 -3.01 3.49	idio_rank int64 1 20	jensen_alpha_63d float64 -0.96 0.8	jensen_alpha_126d float64 -0.19 0.67	jensen_alpha_combined float64 -0.28 0.72	alpha_rank int64 1 20	conviction bool 2 classes	conviction_rank float64 1 5 ⌀	beta_SPY float64 -1.12 2.98	beta_AGG float64 -4.57 10.2	beta_GLD float64 -0.55 2.08	r_squared_63d float64 0.13 1	beta_method large_stringclasses 1 value	systematic_return float64 -0.09 0.07	actual_return float64 -0.05 0.04
2026-04-22	fi	VNQ	-0.005473	0.296454	4	0.15	0.0905	0.1143	1	true	1	0.0919	0.6077	-0.04	0.5107	DCC-GARCH	0.001478	-0.003995
2026-04-22	fi	HYG	-0.002807	0.751799	3	-0.0175	0.0234	0.007	2	true	3	0.2652	0.6689	0.0546	0.8438	DCC-GARCH	0.004175	0.001368
2026-04-22	fi	GLD	-0.013826	-1.130211	6	-0	-0	-0	3	false	null	0.8567	3.4121	1	1	DCC-GARCH	0.025789	0.011963
2026-04-22	fi	VCIT	-0.002201	0.855302	1	-0.0059	0.0031	-0.0005	4	true	2	0.1927	1.038	0.0654	0.9302	DCC-GARCH	0.004421	0.002221
2026-04-22	fi	LQD	-0.002571	0.792107	2	-0.0266	-0.0189	-0.022	5	true	4	0.2739	1.2774	0.0852	0.9001	DCC-GARCH	0.005805	0.003233
2026-04-22	fi	TLT	-0.006746	0.07903	5	-0.0426	-0.0762	-0.0628	6	false	null	0.4512	2.0894	0.211	0.8674	DCC-GARCH	0.010378	0.003632
2026-04-22	fi	SLV	-0.016837	-1.64448	7	-0.7715	0.2431	-0.1628	7	false	null	1.9549	5.8633	1.5975	0.7746	DCC-GARCH	0.046895	0.030058
2026-04-22	equity	XLE	0.022155	2.179295	1	0.6904	0.5273	0.5925	1	true	1	-0.683	-1.9555	-0.2147	0.2089	DCC-GARCH	-0.012093	0.010062
2026-04-22	equity	XLU	-0.003267	0.334316	5	0.2615	-0.0057	0.1012	2	true	2	0.2421	1.6436	0.1972	0.3705	DCC-GARCH	0.007596	0.004329
2026-04-22	equity	XLI	-0.021235	-0.969696	12	0.0564	0.1215	0.0955	3	false	null	1.2369	2.3203	0.2767	0.6293	DCC-GARCH	0.018168	-0.003067
2026-04-22	equity	IWM	-0.00856	-0.049819	8	0.0208	0.1031	0.0701	4	false	null	1.1734	1.3338	0.1258	0.8039	DCC-GARCH	0.013901	0.00534
2026-04-22	equity	XLP	-0.001338	0.474311	3	-0.0356	0.1017	0.0468	5	true	3	0.293	1.2643	0.1337	0.1538	DCC-GARCH	0.006518	0.00518
2026-04-22	equity	XLK	-0.000657	0.523734	2	0.1418	-0.0374	0.0343	6	false	null	1.3257	1.8955	0.1847	0.8522	DCC-GARCH	0.016976	0.016318
2026-04-22	equity	SPY	-0.00512	0.199836	6	0	-0	0	7	false	null	1	1.588	0.168	1	DCC-GARCH	0.013457	0.008338
2026-04-22	equity	QQQ	-0.002284	0.405656	4	0.0424	-0.0355	-0.0043	8	false	null	1.2186	1.6225	0.1817	0.9429	DCC-GARCH	0.015512	0.013228
2026-04-22	equity	XME	-0.007654	0.015933	7	-0.3781	0.1099	-0.0853	9	false	null	1.5743	5.2653	0.6304	0.6727	DCC-GARCH	0.03098	0.023326
2026-04-22	equity	XLF	-0.012074	-0.304845	10	-0.1826	-0.0533	-0.105	10	false	null	0.9199	1.3263	0.0471	0.5739	DCC-GARCH	0.010831	-0.001244
2026-04-22	equity	GDX	-0.039336	-2.283361	13	-0.3963	0.0882	-0.1056	11	false	null	2.345	9.8684	1.6231	0.7921	DCC-GARCH	0.058297	0.018961
2026-04-22	equity	XLV	-0.013615	-0.416682	11	-0.3594	-0.0133	-0.1517	12	false	null	0.8432	3.1555	0.3996	0.4339	DCC-GARCH	0.017991	0.004376
2026-04-22	equity	XLY	-0.009371	-0.108677	9	-0.3003	-0.1002	-0.1802	13	false	null	0.9958	0.7757	0.0009	0.7514	DCC-GARCH	0.009833	0.000462
2026-04-22	combined	XLE	0.022155	2.604832	1	0.6904	0.5273	0.5925	1	true	1	-0.683	-1.9555	-0.2147	0.2089	DCC-GARCH	-0.012093	0.010062
2026-04-22	combined	VNQ	-0.005473	0.189519	10	0.15	0.0905	0.1143	2	false	null	0.0919	0.6077	-0.04	0.5107	DCC-GARCH	0.001478	-0.003995
2026-04-22	combined	XLU	-0.003267	0.382374	8	0.2615	-0.0057	0.1012	3	false	null	0.2421	1.6436	0.1972	0.3705	DCC-GARCH	0.007596	0.004329
2026-04-22	combined	XLI	-0.021235	-1.188437	19	0.0564	0.1215	0.0955	4	false	null	1.2369	2.3203	0.2767	0.6293	DCC-GARCH	0.018168	-0.003067
2026-04-22	combined	IWM	-0.00856	-0.080355	13	0.0208	0.1031	0.0701	5	false	null	1.1734	1.3338	0.1258	0.8039	DCC-GARCH	0.013901	0.00534
2026-04-22	combined	XLP	-0.001338	0.551012	3	-0.0356	0.1017	0.0468	6	false	null	0.293	1.2643	0.1337	0.1538	DCC-GARCH	0.006518	0.00518
2026-04-22	combined	XLK	-0.000657	0.610547	2	0.1418	-0.0374	0.0343	7	false	null	1.3257	1.8955	0.1847	0.8522	DCC-GARCH	0.016976	0.016318
2026-04-22	combined	HYG	-0.002807	0.422588	7	-0.0175	0.0234	0.007	8	false	null	0.2652	0.6689	0.0546	0.8438	DCC-GARCH	0.004175	0.001368
2026-04-22	combined	SPY	-0.00512	0.220379	9	0	-0	0	9	false	null	1	1.588	0.168	1	DCC-GARCH	0.013457	0.008338
2026-04-22	combined	GLD	-0.013826	-0.540722	17	-0	-0	-0	10	false	null	0.8567	3.4121	1	1	DCC-GARCH	0.025789	0.011963
2026-04-22	combined	VCIT	-0.002201	0.475566	4	-0.0059	0.0031	-0.0005	11	false	null	0.1927	1.038	0.0654	0.9302	DCC-GARCH	0.004421	0.002221
2026-04-22	combined	QQQ	-0.002284	0.46831	5	0.0424	-0.0355	-0.0043	12	false	null	1.2186	1.6225	0.1817	0.9429	DCC-GARCH	0.015512	0.013228
2026-04-22	combined	LQD	-0.002571	0.44322	6	-0.0266	-0.0189	-0.022	13	false	null	0.2739	1.2774	0.0852	0.9001	DCC-GARCH	0.005805	0.003233
2026-04-22	combined	TLT	-0.006746	0.07823	11	-0.0426	-0.0762	-0.0628	14	false	null	0.4512	2.0894	0.211	0.8674	DCC-GARCH	0.010378	0.003632
2026-04-22	combined	XME	-0.007654	-0.00115	12	-0.3781	0.1099	-0.0853	15	false	null	1.5743	5.2653	0.6304	0.6727	DCC-GARCH	0.03098	0.023326
2026-04-22	combined	XLF	-0.012074	-0.387558	15	-0.1826	-0.0533	-0.105	16	false	null	0.9199	1.3263	0.0471	0.5739	DCC-GARCH	0.010831	-0.001244
2026-04-22	combined	GDX	-0.039336	-2.770874	20	-0.3963	0.0882	-0.1056	17	false	null	2.345	9.8684	1.6231	0.7921	DCC-GARCH	0.058297	0.018961
2026-04-22	combined	XLV	-0.013615	-0.522276	16	-0.3594	-0.0133	-0.1517	18	false	null	0.8432	3.1555	0.3996	0.4339	DCC-GARCH	0.017991	0.004376
2026-04-22	combined	SLV	-0.016837	-0.803952	18	-0.7715	0.2431	-0.1628	19	false	null	1.9549	5.8633	1.5975	0.7746	DCC-GARCH	0.046895	0.030058
2026-04-22	combined	XLY	-0.009371	-0.151254	14	-0.3003	-0.1002	-0.1802	20	false	null	0.9958	0.7757	0.0009	0.7514	DCC-GARCH	0.009833	0.000462
2026-04-23	fi	VNQ	0.008957	1.258019	1	0.1927	0.1402	0.1612	1	true	1	0.2557	1.2756	-0.0021	0.4977	DCC-GARCH	0.000415	0.009372
2026-04-23	fi	HYG	-0.000001	0.137409	5	-0.0117	0.0253	0.0105	2	true	2	0.2434	0.5672	0.0349	0.8473	DCC-GARCH	0.000113	0.000112
2026-04-23	fi	GLD	-0.001023	0.009561	6	0	-0	0	3	false	null	0.8189	3.2413	1	1	DCC-GARCH	-0.000476	-0.001499
2026-04-23	fi	VCIT	0.000247	0.168433	3	-0.0047	0.0021	-0.0006	4	true	3	0.1788	1.0079	0.0637	0.9295	DCC-GARCH	0.000233	0.00048
2026-04-23	fi	LQD	0.000035	0.141912	4	-0.0248	-0.0216	-0.0229	5	true	4	0.2477	1.2439	0.0791	0.9008	DCC-GARCH	0.000284	0.000319
2026-04-23	fi	TLT	0.001635	0.342066	2	-0.0467	-0.0769	-0.0648	6	false	null	0.3618	2.0783	0.1993	0.8671	DCC-GARCH	0.00038	0.002016
2026-04-23	fi	SLV	-0.017546	-2.057401	7	-0.9628	0.1718	-0.282	7	false	null	2.4128	7.6979	1.7314	0.7741	DCC-GARCH	-0.000231	-0.017777
2026-04-23	equity	XLE	0.00276	0.197771	4	0.6964	0.5293	0.5961	1	true	1	-0.6479	-1.9989	-0.2176	0.2073	DCC-GARCH	-0.000285	0.002475
2026-04-23	equity	XLI	0.020654	1.430614	2	0.1592	0.1541	0.1561	2	true	3	0.3718	2.264	0.207	0.6011	DCC-GARCH	0.000433	0.021087
2026-04-23	equity	XLU	0.025071	1.734932	1	0.3279	0.017	0.1413	3	true	2	0.1684	1.4196	0.1599	0.3367	DCC-GARCH	0.000235	0.025307
2026-04-23	equity	XLP	0.015515	1.076552	3	0.0367	0.1675	0.1152	4	true	4	0.2462	1.153	0.1179	0.1497	DCC-GARCH	0.000194	0.015708
2026-04-23	equity	IWM	0.001285	0.096148	5	0.0664	0.1227	0.1002	5	true	5	1.2111	1.0464	0.0852	0.8132	DCC-GARCH	0.000069	0.001354
2026-04-23	equity	XLK	-0.006557	-0.444142	10	0.1278	-0.0497	0.0213	6	false	null	1.3752	1.3665	0.2202	0.8505	DCC-GARCH	-0.000044	-0.0066
2026-04-23	equity	QQQ	0.00081	0.063422	6	0.058	-0.0362	0.0015	7	false	null	1.2516	1.0052	0.134	0.9432	DCC-GARCH	-0.000024	0.000786
2026-04-23	equity	SPY	-0.000292	-0.012502	7	-0	-0	-0	8	false	null	1	1.5894	0.1778	1	DCC-GARCH	0.000151	-0.000141
2026-04-23	equity	XME	-0.025694	-1.762623	13	-0.2254	0.0912	-0.0355	9	false	null	1.5781	3.5606	0.5746	0.7216	DCC-GARCH	0.000167	-0.025526
2026-04-23	equity	XLF	-0.006703	-0.454201	11	-0.2305	-0.0318	-0.1113	10	false	null	0.903	1.3333	0.0501	0.5676	DCC-GARCH	0.000266	-0.006437
2026-04-23	equity	GDX	-0.021137	-1.44866	12	-0.422	0.0302	-0.1506	11	false	null	2.105	8.8872	1.589	0.7915	DCC-GARCH	0.000444	-0.020693
2026-04-23	equity	XLV	-0.002605	-0.171861	8	-0.3749	-0.013	-0.1578	12	false	null	0.7513	2.9843	0.3965	0.4298	DCC-GARCH	0.000348	-0.002257
2026-04-23	equity	XLY	-0.004544	-0.305452	9	-0.2789	-0.0972	-0.1699	13	false	null	1.1846	0.8225	0.0296	0.7569	DCC-GARCH	0.000078	-0.004466
2026-04-23	combined	XLE	0.00276	0.259654	5	0.6964	0.5293	0.5961	1	true	1	-0.6479	-1.9989	-0.2176	0.2073	DCC-GARCH	-0.000285	0.002475
2026-04-23	combined	VNQ	0.008957	0.759888	4	0.1927	0.1402	0.1612	2	true	5	0.2557	1.2756	-0.0021	0.4977	DCC-GARCH	0.000415	0.009372
2026-04-23	combined	XLI	0.020654	1.704093	2	0.1592	0.1541	0.1561	3	true	3	0.3718	2.264	0.207	0.6011	DCC-GARCH	0.000433	0.021087
2026-04-23	combined	XLU	0.025071	2.060642	1	0.3279	0.017	0.1413	4	true	2	0.1684	1.4196	0.1599	0.3367	DCC-GARCH	0.000235	0.025307
2026-04-23	combined	XLP	0.015515	1.289263	3	0.0367	0.1675	0.1152	5	true	4	0.2462	1.153	0.1179	0.1497	DCC-GARCH	0.000194	0.015708
2026-04-23	combined	IWM	0.001285	0.140589	7	0.0664	0.1227	0.1002	6	false	null	1.2111	1.0464	0.0852	0.8132	DCC-GARCH	0.000069	0.001354
2026-04-23	combined	XLK	-0.006557	-0.492432	16	0.1278	-0.0497	0.0213	7	false	null	1.3752	1.3665	0.2202	0.8505	DCC-GARCH	-0.000044	-0.0066
2026-04-23	combined	HYG	-0.000001	0.036781	11	-0.0117	0.0253	0.0105	8	false	null	0.2434	0.5672	0.0349	0.8473	DCC-GARCH	0.000113	0.000112
2026-04-23	combined	QQQ	0.00081	0.102246	8	0.058	-0.0362	0.0015	9	false	null	1.2516	1.0052	0.134	0.9432	DCC-GARCH	-0.000024	0.000786
2026-04-23	combined	SPY	-0.000292	0.013291	12	-0	-0	-0	10	false	null	1	1.5894	0.1778	1	DCC-GARCH	0.000151	-0.000141
2026-04-23	combined	GLD	-0.001023	-0.045717	13	0	-0	0	11	false	null	0.8189	3.2413	1	1	DCC-GARCH	-0.000476	-0.001499
2026-04-23	combined	VCIT	0.000247	0.0568	9	-0.0047	0.0021	-0.0006	12	false	null	0.1788	1.0079	0.0637	0.9295	DCC-GARCH	0.000233	0.00048
2026-04-23	combined	LQD	0.000035	0.039687	10	-0.0248	-0.0216	-0.0229	13	false	null	0.2477	1.2439	0.0791	0.9008	DCC-GARCH	0.000284	0.000319
2026-04-23	combined	XME	-0.025694	-2.037209	20	-0.2254	0.0912	-0.0355	14	false	null	1.5781	3.5606	0.5746	0.7216	DCC-GARCH	0.000167	-0.025526
2026-04-23	combined	TLT	0.001635	0.168842	6	-0.0467	-0.0769	-0.0648	15	false	null	0.3618	2.0783	0.1993	0.8671	DCC-GARCH	0.00038	0.002016
2026-04-23	combined	XLF	-0.006703	-0.504218	17	-0.2305	-0.0318	-0.1113	16	false	null	0.903	1.3333	0.0501	0.5676	DCC-GARCH	0.000266	-0.006437
2026-04-23	combined	GDX	-0.021137	-1.669359	19	-0.422	0.0302	-0.1506	17	false	null	2.105	8.8872	1.589	0.7915	DCC-GARCH	0.000444	-0.020693
2026-04-23	combined	XLV	-0.002605	-0.173419	14	-0.3749	-0.013	-0.1578	18	false	null	0.7513	2.9843	0.3965	0.4298	DCC-GARCH	0.000348	-0.002257
2026-04-23	combined	XLY	-0.004544	-0.329939	15	-0.2789	-0.0972	-0.1699	19	false	null	1.1846	0.8225	0.0296	0.7569	DCC-GARCH	0.000078	-0.004466
2026-04-23	combined	SLV	-0.017546	-1.379486	18	-0.9628	0.1718	-0.282	20	false	null	2.4128	7.6979	1.7314	0.7741	DCC-GARCH	-0.000231	-0.017777
2026-04-24	fi	VNQ	-0.00429	0.392761	4	0.2074	0.1249	0.1579	1	true	1	0.4837	1.7038	0.0751	0.4752	DCC-GARCH	0.006905	0.002615
2026-04-24	fi	HYG	-0.001428	0.710529	1	-0.0127	0.0218	0.008	2	true	2	0.2457	0.6089	0.0398	0.8477	DCC-GARCH	0.003106	0.001678
2026-04-24	fi	GLD	-0.011286	-0.384005	6	-0	0	-0	3	false	null	0.8129	3.1969	1	1	DCC-GARCH	0.018049	0.006763
2026-04-24	fi	VCIT	-0.001761	0.673556	2	-0.0089	0.0019	-0.0025	4	true	3	0.1855	1.0149	0.0694	0.9305	DCC-GARCH	0.003503	0.001743
2026-04-24	fi	LQD	-0.003293	0.503458	3	-0.0301	-0.0206	-0.0244	5	true	4	0.266	1.2558	0.0934	0.9003	DCC-GARCH	0.004661	0.001369
2026-04-24	fi	TLT	-0.005925	0.211227	5	-0.033	-0.0751	-0.0582	6	false	null	0.4364	2.151	0.2266	0.8711	DCC-GARCH	0.00829	0.002366
2026-04-24	fi	SLV	-0.026809	-2.107525	7	-0.8812	0.1858	-0.241	7	false	null	2.001	6.027	1.7571	0.7751	DCC-GARCH	0.036704	0.009895
2026-04-24	equity	XLE	-0.001834	0.569206	3	0.6482	0.5417	0.5843	1	true	1	-0.6965	-2.146	-0.2411	0.2122	DCC-GARCH	-0.010348	-0.012182
2026-04-24	equity	XLU	-0.002574	0.490147	4	0.2908	0.0314	0.1351	2	true	2	0.1125	1.0524	0.1331	0.3064	DCC-GARCH	0.003442	0.000868
2026-04-24	equity	XLI	-0.004467	0.287907	6	0.1146	0.1177	0.1164	3	false	null	-0.1639	-0.2374	0.0398	0.5713	DCC-GARCH	-0.001352	-0.005819
2026-04-24	equity	XLP	-0.005754	0.150409	9	0.0164	0.1702	0.1087	4	false	null	0.2322	1.0349	0.1148	0.1312	DCC-GARCH	0.004196	-0.001559
2026-04-24	equity	IWM	-0.004859	0.246027	8	0.0757	0.1121	0.0975	5	false	null	1.2797	1.6159	0.1484	0.8151	DCC-GARCH	0.013281	0.008421
2026-04-24	equity	XLK	0.007021	1.515239	1	0.1472	-0.0374	0.0365	6	false	null	1.5077	2.9933	0.3301	0.8433	DCC-GARCH	0.018448	0.025469
2026-04-24	equity	QQQ	0.003795	1.170586	2	0.0676	-0.0216	0.0141	7	false	null	1.2296	1.8429	0.1953	0.939	DCC-GARCH	0.013584	0.017379
2026-04-24	equity	SPY	-0.003914	0.346987	5	-0	-0	-0	8	false	null	1	1.6363	0.19	1	DCC-GARCH	0.011479	0.007565
2026-04-24	equity	XME	-0.021974	-1.582472	12	-0.2425	0.1062	-0.0332	9	false	null	1.8641	5.9045	0.8133	0.7197	DCC-GARCH	0.029089	0.007115
2026-04-24	equity	GDX	-0.0253	-1.937808	13	-0.2979	0.0365	-0.0973	10	false	null	2.5322	10.1889	1.7241	0.7966	DCC-GARCH	0.047187	0.021887
2026-04-24	equity	XLF	-0.013278	-0.653426	10	-0.2279	-0.075	-0.1362	11	false	null	0.8886	1.3679	0.058	0.5658	DCC-GARCH	0.009313	-0.003965
2026-04-24	equity	XLY	-0.004792	0.253185	7	-0.2864	-0.086	-0.1662	12	false	null	1.273	1.6223	0.0875	0.7595	DCC-GARCH	0.012828	0.008036
2026-04-24	equity	XLV	-0.015174	-0.855987	11	-0.353	-0.0542	-0.1737	13	false	null	-0.0729	0.5519	0.1527	0.4104	DCC-GARCH	0.001368	-0.013805

End of preview. Expand in Data Studio

No dataset card yet

Downloads last month: 220