v2

latestOpenAPI 3.0.1Apache 2.02026-07-2623201.3 MB

Portfolio Analysis / Risk Measures

Beta

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

References

Sharpe, William F., Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk., The Journal of Finance, vol. 19, no. 3, 1964, pp. 425–42
Jensen, Michael C., The Performance of Mutual Funds in the Period 1945-1964 (May 1, 1967). Journal of Finance, Vol. 23, No. 2, pp. 389-416, 1967
Carl R. Bacon, Practical Portfolio Performance Measurement and Attribution

post/portfolios/analysis/beta

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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

v2

Beta

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