CAPM Metrics

A stock performance tool based on the Capital Asset Pricing Model (CAPM). This package allows you to analyze stock performance and expected returns based on market data.

Features

• Fetch historical stock data using the Yahoo Finance API.
• Calculate expected returns based on the CAPM model.
• Analyze stock performance against a market index.
• Get average yields from the 10-year Treasury note for risk-free return calculations.

Installation

You can install the capm-metrics package via pip:

pip install capm-metrics

Usage

Here's a basic example of how to use the CAPMAnalyzer class:

from capm_metric import CAPMAnalyzer

# Create an instance of CAPMAnalyzer
analyzer = CAPMAnalyzer()

# Analyze a stock (e.g., Apple Inc. with ticker 'AAPL')
results = analyzer.analyze('AAPL', period='1y')

# Print the results
print(results)

Parameters

• symbol (str): The stock symbol for analysis.
• market (str, optional): The market index symbol (default: ^GSPC).
• period (str, optional): Valid periods for fetching data (e.g., 1d, 1mo, 1y, etc.).
• start (str, optional): Download start date (YYYY-MM-DD).
• end (str, optional): Download end date (YYYY-MM-DD).

Expected Output

The analyze method returns an OrderedDict containing:

• company_name: The full name of the company.
• symbol: The stock symbol.
• start_date: The start date of the analysis (YYYY-MM-DD).
• end_date: The end date of the analysis (YYYY-MM-DD).
• expected_return: The expected return calculated using CAPM.
• actual_return: The actual return calculated over the analysis period.
• performance: Indicates whether the stock overperformed or underperformed compared to the expected return.

Example

results = analyzer.analyze('AAPL', period='1y')
print(f"Expected Return: {results['expected_return']}")
print(f"Actual Return: {results['actual_return']}")
print(f"Performance: {results['performance']}")

Dependencies

• numpy
• pandas
• yfinance

License

This project is licensed under the MIT License. See the LICENSE file for details.

Contributing

Contributions are welcome! Please open an issue or submit a pull request if you'd like to contribute.

Acknowledgments

This package uses the yfinance library to fetch stock data, and the calculations are based on the Capital Asset Pricing Model (CAPM).