hub / github.com/JoinQuant/jqfactor_analyzer / factor_alpha_beta

Function factor_alpha_beta

jqfactor_analyzer/performance.py:155–203 · view source on GitHub ↗

计算因子的alpha(超额收益), alpha t-统计量 (alpha 显著性）和 beta(市场暴露). 使用每期平均远期收益作为自变量(视为市场组合收益) 因子值加权平均的远期收益作为因变量(视为因子收益), 进行回归. Parameters ---------- factor_data : pd.DataFrame - MultiIndex 一个 DataFrame, index 为日期 (level 0) 和资产(level 1) 的 MultiIndex, values 包括因子的值, 各期

(factor_data, demeaned=True, group_adjust=False)

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Callers 1

test_factor_alpha_betaFunction · 0.90

Calls 2

factor_returnsFunction · 0.85

get_forward_returns_columnsFunction · 0.85

Tested by 1

test_factor_alpha_betaFunction · 0.72