Overview

Metrics for the Individual × Continuous cell — one continuous factor score per (date, asset_id), evaluated cross-sectionally per date and aggregated over time.

Metric	Role	Page
Spearman rank correlation, the canonical signal-quality summary	Primary	ic
Per-date ordinary least squares (OLS) slope \(\lambda\), Newey-West (NW) heteroskedasticity-and-autocorrelation-consistent (HAC) \(t\) on its mean	Primary	fama_macbeth
Long-short quintile spread (equal- and value-weighted)	Profile	quantile
Quintile-return monotonicity rank test	Profile	monotonicity
HHI-style top-bucket concentration	Profile	concentration
Turnover, breakeven cost, net spread	Profile	tradability
Spanning \(\alpha\) vs an existing factor pool	Profile	spanning

ic and fama_macbeth are the two inferential entry points; the rest are profile / risk diagnostics that describe the same factor without contributing to the primary inference.

For when each applies see Reference § Metric applicability. The discipline behind the inferential SEs (NW HAC bandwidth, Shanken EIV) is consolidated in Reference § Statistical methods.