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FactorModelResult

fin_primitives::portfolio::factor_model

Struct FactorModelResult 

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pub struct FactorModelResult {
    pub alpha: f64,
    pub alpha_t_stat: f64,
    pub exposures: Vec<FactorExposure>,
    pub r_squared: f64,
    pub residuals: Vec<f64>,
    pub information_ratio: f64,
    pub tracking_error: f64,
}
Expand description

Full output of a factor-model regression.

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§alpha: f64

Jensen’s alpha (intercept) — excess return not explained by factors.

§alpha_t_stat: f64

t-statistic for the alpha estimate.

§exposures: Vec<FactorExposure>

Per-factor exposure estimates.

§r_squared: f64

Coefficient of determination (R²) of the OLS fit.

§residuals: Vec<f64>

OLS residuals (idiosyncratic returns).

§information_ratio: f64

Annualised information ratio: alpha / tracking_error * sqrt(252).

§tracking_error: f64

Tracking error — standard deviation of residuals.

Trait Implementations§

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impl Clone for FactorModelResult

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fn clone(&self) -> Self

Returns a duplicate of the value. Read more
1.0.0 (const: unstable) · Source§

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source. Read more
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impl Debug for FactorModelResult

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fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter. Read more

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unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)
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