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OpenAPI 3.0.1Apache 2.02026-08-1024101.4 MB

d016f340e91c

Portfolio Analysis / Risk Measures

Beta

Compute the beta of a portfolio in the Capital Asset Pricing Model (CAPM).

References

post/portfolios/analysis/beta

Request body

benchmarkReturnsnumber[] required

benchmarkReturns[t] is the return of the benchmark at the time t; the benchmarkReturns array must have the same length as all the portfolioReturns arrays

riskFreeReturnnumber

The constant risk-free arithmetic return over the considered time period, in percentage; exclusive with riskFreeReturns

riskFreeReturnsnumber[]

riskFreeReturns[t] is the risk-free arithmetic return at the time t; the riskFreeReturns array must have the same length as all the portfolioReturns arrays or the same length minus 1 as all the portfolioValues arrays; exclusive with riskFreeReturn

portfoliosBetaEstimationMethod'ordinaryLeastSquares' | 'robustLeastSquares'

The method to use to estimate the Jensen’s alpha

Response

OK