skfolio.moments.RegimeAdjustmentMethod

class skfolio.moments.RegimeAdjustmentMethod(*values)

Transformation used to map the STVU statistic to the volatility multiplier.

Determines how the raw STVU statistic \(d^2\) is transformed into the regime multiplier \(\phi\) applied by the estimator.

Method	Multiplier \(\phi\)	Characteristics
LOG	\(\phi = \exp(\text{EWMA}(\log d^2 - \kappa)/2)\) where \(\kappa = E[\log d^2]\)	Robust to outliers (log compresses extremes).
FIRST_MOMENT	\(\phi = \text{EWMA}(d / \mathbb{E}[d])\)	Calibrates the first moment of the standardized risk statistic. More robust than RMS, less robust than LOG.
RMS	\(\phi = \sqrt{\text{EWMA}(d^2/n)}\)	\(\chi^2\) calibration. Sensitive to outliers (RMS ≥ mean).

References

[1]

“The Elements of Quantitative Investing”, Wiley Finance, Giuseppe Paleologo (2025).

classmethod has(value)

Check if a value is in the Enum.

Parameters:

valuestr

Input value.

Returns:

xbool

True if the value is in the Enum, False otherwise.