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Factors

Residualization

Compute the residuals of a factor against a set of factors, using a returns-based linear regression analysis.

References

post/factors/residualization

Request body

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, equal to that of the dependentFactorReturns array; exclusive with riskFreeReturn

dependentFactorResidualizationMethod'ordinaryLeastSquares' | 'robustLeastSquares'

The method to use to residualize the desired factor

Response

OK

Changes

Changed in 1 of the 10 revisions of this API.25

  • d016f340e91c25See the full diff
    • ●

      removed the request property factors/items/factorResidualization

      request-property-removed

    • ●

      removed the request property factors/items/factorReturns

      request-property-removed

    • ○

      added the new optional request property dependentFactorResidualizationMethod

      new-optional-request-property

    • ○

      added the new optional request property factors/items/dependentFactorReturns

      new-optional-request-property

    • ○

      added the new optional request property factors/items/explanatoryFactorReturns

      new-optional-request-property

    • ○

      added the new optional request property riskFreeReturn

      new-optional-request-property

    • ○

      added the new optional request property riskFreeReturns

      new-optional-request-property