quantlab.factor.predefined.benchmark_beta

Benchmark beta: each symbol’s rolling OLS beta of one-bar returns on a single-symbol benchmark.

The beta of a symbol at bar t is the slope of the ordinary least-squares regression, with an intercept, of its one-bar returns on the benchmark’s over the lookback_bars returns ending at t. It is the exposure a portfolio rule holds near 1 to keep a book’s market risk at the benchmark’s (MeanVarianceConfig.exposure_bounds).

Classes

BenchmarkBeta

Each symbol's rolling OLS beta of one-bar returns on config.benchmark.

Functions

rolling_beta

Return the rolling OLS slope of each column of returns on market.