qis.compute_portfolio_ewm_benchmark_betas¶
- qis.compute_portfolio_ewm_benchmark_betas(instrument_prices, weights, benchmark_prices, time_period=None, freq_beta=None, factor_beta_span=63, mean_adj_type=MeanAdjType.EWMA)[source]¶
Compute portfolio benchmark betas using instrument exposures.
- Parameters:
instrument_prices (DataFrame) – Individual instrument price data.
weights (DataFrame) – Portfolio exposures to instruments.
benchmark_prices (DataFrame) – Benchmark price data.
time_period (TimePeriod) – Optional time period filter.
freq_beta (str) – Frequency for return calculation.
factor_beta_span (int) – Span for EWM beta estimation.
mean_adj_type (MeanAdjType) – Mean adjustment method.
- Returns:
Portfolio benchmark betas over time.
- Return type: