POportfoliooptimizer
Portfolio Analysis

Jensen's Alpha

Changed on

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

References

post/portfolios/analysis/alpha

Request

  • Base URL
    https://api.portfoliooptimizer.io/v1
  • URL
    https://api.portfoliooptimizer.io/v1/portfolios/analysis/alpha
  • Auth
    API key in header X-API-Key

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

portfoliosAlphaEstimationMethod'ordinaryLeastSquares' | 'robustLeastSquares'

The method to use to estimate the Jensen’s alpha

Response

OK

Changes

  • d016f340e91cRevision changes
    • info

      added the new optional request property

  • ac51d393c9a9Revision changes
    • warning

      removed the request property

    • info

      added the new optional request property //

    • info

      added the new optional request property

    • info

      the request property // became optional