I have been looking through the API but have not been able to find a way to do this. If the API does not allow us to do this, could someone show me a workaround for how to correctly calculate the correlations b/w the market and the specific company returns? Thank you.
Also, here's a forum post on it w/examples: https://www.quantopian.com/posts/building-a-better-beta
To calculate beta one can use the built in factor SimpleBeta. The documentation is here https://www.quantopian.com/docs/api-reference/pipeline-api-reference#quantopian.pipeline.factors.SimpleBeta. Typically the ETF SPY is used as a proxy for the market to get a 'market beta'. However, one can regress against any asset. This can be helpful in finding pairs correlation or simply to find out how a stock correlates to various sectors. Here is an example of how to use it.
# let's run a pipeline to get beta for the Q500 stocks using SPY as the market proxy looking back 1 year
market_proxy = symbols('SPY')
beta = SimpleBeta(target=market_proxy, regression_length=252) my_pipe= Pipeline(
columns={
'beta': beta, },
screen = Q500US()
)
Attached is a notebook implementing this code.
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@Dan, just following up here in regards to simplebeta. I was able to pull beta values for my stocks within the research environment, but when I have tried to port my code into the IDE I ran into the following error: TypeError: SimpleBeta() expected a value of type Asset for argument 'target', but got list instead. That error occurred in the following line of code: algo.attach_pipeline(make_pipeline(), 'long_short_equity_template'). Any help or guidance is appreciated! Thank you
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.