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v2

latestOpenAPI 3.0.1Apache 2.02026-07-2623201.3 MB
Portfolio Analysis

Jensen's Alpha

Compute the Jensen’s alpha of a portfolio in the Capital Asset Pricing Model (CAPM).

References

post/portfolios/analysis/alpha

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

Response

OK