added documentation for Jensen's alpha
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@ -240,7 +240,61 @@ def jensens_alpha(
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Rf = The risk free rate during the return time frame
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Rf = The risk free rate during the return time frame
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B = Beta of the portfolio or investment
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B = Beta of the portfolio or investment
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Rm = Realized return of the market index
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Rm = Realized return of the market index
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Parameters
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----------
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asset_data : TimeSeries
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The time series data of the asset
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market_data : TimeSeries
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The time series data of the relevant market index
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risk_free_data:
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Risk free rates as time series data.
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This should be the time series of risk free returns,
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and not the underlying asset value.
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risk_free_rate:
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Risk free rate to be used.
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Either risk_free_data or risk_free_rate needs to be provided.
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If both are provided, the time series data will be used.
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from_date:
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Start date from which returns should be calculated.
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Defaults to the first date of the series.
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to_date:
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End date till which returns should be calculated.
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Defaults to the last date of the series.
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frequency:
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The frequency at which returns should be calculated.
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return_period_unit : 'years', 'months', 'days'
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The type of time period to use for return calculation.
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return_period_value : int
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The value of the specified interval type over which returns needs to be calculated.
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as_on_match : str, optional
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The mode of matching the as_on_date. Refer closest.
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prior_match : str, optional
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The mode of matching the prior_date. Refer closest.
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closest : str, optional
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The mode of matching the closest date.
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Valid values are 'exact', 'previous', 'next' and next.
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The date format to use for this operation.
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Should be passed as a datetime library compatible string.
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Sets the date format only for this operation. To set it globally, use FincalOptions.date_format
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Returns
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-------
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The value of Jensen's alpha as a float.
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"""
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"""
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interval_years = _interval_to_years(return_period_unit, return_period_value)
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interval_years = _interval_to_years(return_period_unit, return_period_value)
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interval_days = int(interval_years * 365 + 1)
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interval_days = int(interval_years * 365 + 1)
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