Struct Alpha 

pub struct Alpha { /* private fields */ }

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

Implementations

impl Alpha

pub fn new(period: Option<usize>, risk_free_rate: Option<f64>) -> Self

Creates a new Alpha instance.

Trait Implementations

impl Clone for Alpha

fn clone(&self) -> Alpha

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for Alpha

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

Formats the value using the given formatter.

impl Display for Alpha

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

Formats the value using the given formatter.

impl PortfolioStatistic for Alpha

type Item = f64

fn name(&self) -> String

Returns the name of this statistic for display and identification purposes.

fn calculate_from_returns(&self, _returns: &Returns) -> Option<Self::Item>

Calculates the statistic from time-indexed returns data.

fn calculate_from_realized_pnls( &self, _realized_pnls: &[f64], ) -> Option<Self::Item>

Calculates the statistic from realized profit and loss values.

fn calculate_from_positions( &self, _positions: &[Position], ) -> Option<Self::Item>

Calculates the statistic from position data.

fn calculate_from_returns_with_benchmark( &self, returns: &Returns, benchmark: &Returns, ) -> Option<Self::Item>

Calculates the statistic from time-indexed strategy returns relative to a benchmark.

fn calculate_from_orders( &self, orders: Vec<Box<dyn Order>>, ) -> Option<Self::Item>

Calculates the statistic from order data.

fn align_returns(&self, a: &Returns, b: &Returns) -> (Vec<f64>, Vec<f64>)

Aligns two returns series onto a common daily grid.

fn check_valid_returns(&self, returns: &Returns) -> bool

Validates that returns data is not empty.

fn downsample_to_daily_bins(&self, returns: &Returns) -> Returns

Downsamples high-frequency returns to daily bins by geometric compounding.

fn calculate_std(&self, returns: &Returns) -> f64

Calculates the standard deviation of returns with Bessel’s correction.