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// -------------------------------------------------------------------------------------------------
// Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
// https://nautechsystems.io
//
// Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
// You may not use this file except in compliance with the License.
// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
//
// Unless required by applicable law or agreed to in writing, software
// distributed under the License is distributed on an "AS IS" BASIS,
// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
// See the License for the specific language governing permissions and
// limitations under the License.
// -------------------------------------------------------------------------------------------------
use std::collections::BTreeMap;
use pyo3::prelude::*;
use super::transform_returns;
use crate::{statistic::PortfolioStatistic, statistics::alpha::Alpha};
#[pymethods]
#[pyo3_stub_gen::derive::gen_stub_pymethods]
impl Alpha {
/// Calculates Jensen's alpha of portfolio returns relative to a benchmark.
///
/// Alpha measures the excess return of a portfolio over the return predicted by its
/// beta exposure to the benchmark (CAPM). The per-period alpha is:
///
/// `alpha = (mean_portfolio - rf) - beta * (mean_benchmark - rf)`
///
/// where `beta` is the sample (`ddof = 1`) beta of the portfolio against the benchmark.
/// The per-period alpha is then annualized geometrically over `period` (default 252):
///
/// `alpha_annual = (1 + alpha)^period - 1`
///
/// The risk-free rate `rf` is specified per period (default 0.0).
///
/// # References
///
/// - Jensen, M. C. (1968). "The Performance of Mutual Funds in the Period 1945-1964".
/// *Journal of Finance*, 23(2), 389-416.
/// - CFA Institute Investment Foundations, 3rd Edition
#[new]
#[pyo3(signature = (period=None, risk_free_rate=None))]
fn py_new(period: Option<usize>, risk_free_rate: Option<f64>) -> Self {
Self::new(period, risk_free_rate)
}
fn __repr__(&self) -> String {
self.to_string()
}
#[getter]
#[pyo3(name = "name")]
fn py_name(&self) -> String {
self.name()
}
#[pyo3(name = "calculate_from_returns")]
fn py_calculate_from_returns(&self, _returns: BTreeMap<u64, f64>) -> Option<f64> {
None
}
#[pyo3(name = "calculate_from_realized_pnls")]
fn py_calculate_from_realized_pnls(&self, _realized_pnls: Vec<f64>) -> Option<f64> {
None
}
#[pyo3(name = "calculate_from_positions")]
fn py_calculate_from_positions(&self, _positions: Vec<Py<PyAny>>) -> Option<f64> {
None
}
#[pyo3(name = "calculate_from_returns_with_benchmark")]
#[expect(clippy::needless_pass_by_value)]
fn py_calculate_from_returns_with_benchmark(
&self,
returns: BTreeMap<u64, f64>,
benchmark: BTreeMap<u64, f64>,
) -> Option<f64> {
self.calculate_from_returns_with_benchmark(
&transform_returns(&returns),
&transform_returns(&benchmark),
)
}
}