Crate frenchrs 

Frenchrs - Rust Library for Asset Pricing

Frenchrs is a high-performance library for asset pricing and financial analysis, built in Rust and leveraging the robust econametric infrastructure of Greeners.

Implemented Models

• CAPM (Capital Asset Pricing Model): Asset pricing model based on systematic risk
• Fama-French 3 Factor: CAPM + size (SMB) and value (HML) factors
• Carhart 4 Factor: Fama-French 3 Factor + momentum factor (MOM)
• Fama-French 5 Factor: FF3 + profitability (RMW) and investment (CMA) factors
• Fama-French 6 Factor: FF5 + momentum factor (UMD)
• APT (Arbitrage Pricing Theory): Generic multi-factor model with N factors

Roadmap

• Value-at-Risk (VaR)
• Conditional VaR (CVaR)
• Portfolio Optimization
• Black-Litterman Model

Basic Example

use frenchrs::CAPM;
use greeners::CovarianceType;
use ndarray::array;

// Daily returns
let asset_returns = array![0.01, 0.02, -0.01, 0.03];
let market_returns = array![0.008, 0.015, -0.005, 0.025];
let risk_free_rate = 0.0001; // daily rate (~2.5% per year)

// Estimate CAPM with robust standard errors (HC3)
let result = CAPM::fit(
    &asset_returns,
    &market_returns,
    risk_free_rate,
    CovarianceType::HC3,
).unwrap();

println!("{}", result);
println!("Beta: {:.4}", result.beta);
println!("Alpha: {:.4}", result.alpha);

Re-exports

pub use apt::APTResult;

pub use apt::APT;

pub use capm::CAPMResult;

pub use capm::CAPM;

pub use carhart::Carhart4Factor;

pub use carhart::Carhart4FactorResult;

pub use fama_french_3f::FamaFrench3Factor;

pub use fama_french_3f::FamaFrench3FactorResult;

pub use fama_french_5f::FamaFrench5Factor;

pub use fama_french_5f::FamaFrench5FactorResult;

pub use fama_french_6f::FamaFrench6Factor;

pub use fama_french_6f::FamaFrench6FactorResult;

pub use fama_macbeth::FamaMacBeth;

pub use fama_macbeth::FamaMacBethResult;

pub use grs_test::GRSTest;

pub use hj_distance::HJDistance;

pub use ivol_tracking_multi::IVOLTrackingAsset;

pub use ivol_tracking_multi::IVOLTrackingMulti;

pub use ivol_tracking_multi::IVOLTrackingRow;

pub use oos_performance::OOSPerformance;

pub use oos_performance::OOSPerformanceAsset;

pub use oos_performance::OOSPerformanceRow;

pub use oos_performance::OOSSummaryStats;

pub use residual_correlation::ResidualCorrSummary;

pub use residual_correlation::ResidualCorrelation;

pub use residual_diagnostics::AssetDiagnostics;

pub use residual_diagnostics::ResidualDiagnostics;

pub use risk_metrics::IVOLAnalysis;

pub use risk_metrics::TrackingErrorAnalysis;

pub use rolling_betas_multi::BetaStability;

pub use rolling_betas_multi::RollingBetasAsset;

pub use rolling_betas_multi::RollingBetasMulti;

pub use rolling_betas_multi::RollingBetasRow;

Modules

apt

capm

carhart

fama_french_3f

fama_french_5f

fama_french_6f

fama_macbeth

grs_test

GRS Test (Gibbons, Ross & Shanken, 1989)

hj_distance

Hansen-Jagannathan Distance

ivol_tracking_multi

oos_performance

residual_correlation

Residual Correlation Analysis

residual_diagnostics

Residual Diagnostics

risk_metrics

rolling_betas_multi

Structs

DataFrame

A simple DataFrame-like structure for storing column-oriented data.

Formula

Represents a parsed formula in the form “y ~ x1 + x2 + … + xn”

OLS

Enums

CovarianceType

GreenersError

Custom error types for the Greeners library.

InferenceType

Inference distribution type for hypothesis testing and confidence intervals