capm

Get Capital Asset Pricing Model (CAPM) risk measures for an asset.

Regresses the asset's excess return on the excess market return using the Fama-French factors. Returns the market risk (beta), the systematic risk (R-squared), and the idiosyncratic risk (1 - R-squared).

Examples

from openbb import obb
obb.quantitative.capm(target='close', data=[{'date': '2023-01-02', 'open': 110.0, 'high': 120.0, 'low': 100.0, 'close': 115.0, 'volume': 10000.0}, {'date': '2023-01-03', 'open': 165.0, 'high': 180.0, 'low': 150.0, 'close': 172.5, 'volume': 15000.0}, {'date': '2023-01-04', 'open': 146.67, 'high': 160.0, 'low': 133.33, 'close': 153.33, 'volume': 13333.33}, {'date': '2023-01-05', 'open': 137.5, 'high': 150.0, 'low': 125.0, 'close': 143.75, 'volume': 12500.0}, {'date': '2023-01-06', 'open': 132.0, 'high': 144.0, 'low': 120.0, 'close': 138.0, 'volume': 12000.0}])

Parameters

• standard

data: Data | DataFrame | Series | dict | list | list[DataFrame] | list[Data] | list[Series] | ndarray
Input dataset.

target: str
Name of the price column to analyze.

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Returns

results: CapmData

Serializable results.

provider: str

Provider name.

warnings: Optional[list[Warning_]]

List of warnings.

chart: Optional[Chart]

Chart object.

extra: dict[str, Any]

Extra info.

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Data

• standard

market_risk: float
Beta - the asset's sensitivity to market returns.

systematic_risk: float
Share of variance explained by the market (R-squared).

idiosyncratic_risk: float
Share of variance not explained by the market (1 - R-squared).