beta_and_alpha_full_stats

qf_lib.common.utils.returns.beta_and_alpha.beta_and_alpha_full_stats(strategy_tms: QFSeries, benchmark_tms: QFSeries) → Tuple[float, float, float, float, float][source]

Calculates alpha and beta of the series versus the benchmark series.

Parameters:

  • strategy_tms (QFSeries) – Series of portfolio’s returns/values

  • benchmark_tms (QFSeries) – Series of benchmark returns/values

Returns:

(beta, alpga, r_value, p_value, std_err)

  • beta - beta coefficient for the linear fit

  • alpha - alpha coefficient for the linear fit (y = alpha * x + beta, where x is the benchmark return and y is the portfolio’s return)

  • r_value - correlation coefficient. NOTE: this is not r_squared, r_squared = r_value**2

  • p_value - two-sided p-value for a hypothesis test whose null hypothesis is that the slope is zero

  • std_err - standard error of the estimate

Return type:

Tuple[float, float, float, float, float]