# CAPM 之 beta 计算
## Rp - rf = beta*(Rm - Rf)
## beta = cov(Rp,Rm)/var(Rm)
# 取 茅台和沪深300的最新500天 每日收益率
price = get_price(['600519.XSHG','000300.XSHG'],end_date=None,count=500,skip_paused=False,fields=['close','pre_close'])
rate = price['close']/price['pre_close'] -1.
mt = rate.iloc[:,0]
hs300 = rate.iloc[:,1]
# 计算beta
beta = mt.cov(hs300) / hs300.var()
# 无风险收益4%的日化收益率
rf=np.power(1.04,1./252)-1.
# 对比
mt.mean() - rf,beta * (hs300.mean() - rf)
#### (0.001555879984198011, 0.00062953442979964)
# 差的很多啊，怎么回事？？？？
2022-07-22
雪球
