Model Evaluation - Spearman Rho

Spearman’s Rho is used to understand the strength of the monotonic relationship between two variables.

Values that are used to assess the performance of the model are as follows based on their respective investment horizon:

Weekly +0.01
Monthly +0.03
Quarterly +0.05

A monotonic relationship means that the direction between the variables is consistent. For instance, if one variable goes up, the other goes up as well.