# skfolio.moments.RegimeAdjustmentTarget ### *class* skfolio.moments.RegimeAdjustmentTarget(\*values) Target dimension used to calibrate the short-term volatility update (STVU). Determines what statistic is computed to detect volatility regime changes. The STVU uses a statistic $d^2$ that measures the discrepancy between predicted and realized risk. The target determines which aspect of the covariance matrix is calibrated. | Target | Formula | What it calibrates | |-------------|--------------------------------------------|--------------------------------------------------------------------------| | PORTFOLIO | $d^2 = n \cdot (w^T r)^2 / (w^T \Sigma w)$ | Portfolio variance along a single aggregated direction | | DIAGONAL | $d^2 = \sum_i (r_i / \sigma_i)^2$ | Individual asset volatilities across the universe (ignores correlations) | | MAHALANOBIS | $d^2 = r^T \Sigma^{-1} r$ | Full covariance structure (all eigenvalue directions) | #### NOTE `PORTFOLIO` (the default) calibrates the covariance along economically relevant directions. `MAHALANOBIS` weights all eigenvector directions equally, including the smallest-eigenvalue directions whose estimates are typically the least stable. In practice this can make the regime multiplier sensitive to returns along poorly estimated directions that carry little portfolio relevance. ### References * **[1]** “The Elements of Quantitative Investing”, Wiley Finance, Giuseppe Paleologo (2025). #### *classmethod* has(value) Check if a value is in the Enum. * **Parameters:** **value** *str* : Input value. * **Returns:** **x** *bool* : True if the value is in the Enum, False otherwise.