siat 3.10.75__py3-none-any.whl → 3.10.125__py3-none-any.whl

siat/risk_adjusted_return.py

@@ -4,7 +4,7 @@
 所属工具包：证券投资分析工具SIAT 
 SIAT：Security Investment Analysis Tool
 创建日期：2018年10月16日
-最新修订日期：2020年8月17日
+最新修订日期：2025年6月20日
 作者：王德宏 (WANG Dehong, Peter)
 作者单位：北京外国语大学国际商学院
 作者邮件：wdehong2000@163.com
@@ -65,8 +65,9 @@ def calc_treynor_ratio(regdf):
     #计算特雷诺指数
     tr=ret_rf_mean/beta
     
-    ret_mean=regdf['Close'].mean()
-    return tr,ret_mean
+    #ret_mean=regdf['Ret%'].mean()
+    rp_mean=ret_rf_mean
+    return tr,rp_mean,beta
 
 #==============================================================================
 def calc_alpha_ratio(regdf):
@@ -75,17 +76,15 @@ def calc_alpha_ratio(regdf):
     输入：数据框，至少含有Ret-Rf和Mkt-Rf两项
     输出：詹森阿尔法指数，Ret-Rf均值
     """
-    """
     #计算风险溢价Ret-RF均值
     ret_rf_mean=regdf['Ret-RF'].mean()
-    """
     #使用CAPM回归计算投资组合的贝塔系数，这里得到的alpha就是Jensen's alpha
     from scipy import stats
     output=stats.linregress(regdf['Mkt-RF'],regdf['Ret-RF'])
     (beta,alpha,r_value,p_value,std_err)=output 
     
-    ret_mean=regdf['Close'].mean()
-    return alpha,ret_mean
+    rp_mean=ret_rf_mean
+    return alpha,rp_mean,beta
 
 #==============================================================================
 def calc_sharpe_ratio(regdf):
@@ -101,8 +100,9 @@ def calc_sharpe_ratio(regdf):
     #计算夏普指数
     sr=ret_rf_mean/ret_rf_std
     
-    ret_mean=regdf['Close'].mean()
-    return sr,ret_mean
+    rp_mean=ret_rf_mean
+    beta=False
+    return sr,rp_mean,beta
 
 if __name__=='__main__':
     rfd=rf_daily_china('2021-10-1','2021-11-28',rate_period='1Y',rate_type='shibor')
@@ -131,15 +131,18 @@ def calc_sortino_ratio(regdf):
     #计算索梯诺指数
     sr=ret_rf_mean/ret_rf_lpsd
     
-    ret_mean=regdf['Close'].mean()
-    return sr,ret_mean
+    rp_mean=ret_rf_mean
+    beta=False
+    return sr,rp_mean,beta
 
 #==============================================================================
-def print_rar_ratio(regdf,portfolio,ret_mean,ratio_name,ratio):
+def print_rar_ratio(regdf,portfolio,rp_mean,beta,ratio_name,ratio):
     """
     功能：打印风险调整后的收益率
-    输入：数据框，投资组合构成，收益溢价均值，指数名称，指数
+    输入：数据框，投资组合构成，收益溢价均值，贝塔系数，指数名称，指数
     输出：打印
+    
+    注意：若贝塔系数为False则不打印
     """
 
     #从字典中提取信息
@@ -151,31 +154,40 @@ def print_rar_ratio(regdf,portfolio,ret_mean,ratio_name,ratio):
     date_end=str(regdf.index[-1].year)+'-'+str(regdf.index[-1].month)+ \
             '-'+str(regdf.index[-1].day)            
     print("\n======== 风险调整收益率 ========")
-    print("市场指数:",ectranslate(scope),'\b,',ticker_name(mktidx))
+    print("证券资产:",portfolio_name(portfolio))
+    #print("市场指数:",ectranslate(scope),'\b,',ticker_name(mktidx))
+    print("市场指数:",ticker_name(mktidx))
     #print("成分股  :",ticker_name(stocklist))
     #print("持仓权重:",portionlist)
     print("样本期间:",date_start,"至",date_end)
     """
     print("日均收益率:",round(ret_mean,4),'\b%')
-    """
     annual_ret=(1+ret_mean/100)**252-1
     print("年化收益率:",round(annual_ret,4))
-    #print(ratio_name.capitalize(),"\b比率:",round(ratio,4),'\b%')
-    print(ratio_name.capitalize(),"\b比率:",round(ratio,4))
+    """
+    if not isinstance(beta,bool):
+        print("贝塔系数:",round(beta,4))
+        
+    print("风险溢价均值%:",round(rp_mean,4))
 
+    #print(ratio_name.capitalize(),"\b比率:",round(ratio,4),'\b%')
+    print(ratio_name.capitalize(),"\b比率%:",round(ratio,4))
+    """
     print("***投资组合构成:")
     print_tickerlist_sharelist(stocklist,portionlist,2)
-
+    """
     
-    import datetime as dt; today=dt.date.today()
-    print("数据来源：新浪/stooq/FRED, "+str(today))    
+    import datetime as dt; todaydt=dt.date.today()
+    print("数据来源：新浪/stooq, "+str(todaydt))    
     
     return 
 #==============================================================================
 if __name__=='__main__':
-    start='2021-1-1'
-    end='2021-11-30'
-    portfolio={'Market':('US','^GSPC'),'EDU':0.4,'TAL':0.3,'TEDU':0.2,'RYB':0.1}
+    portfolio={'Market':('US','^GSPC'),'AAPL':0.5,'MSFT':0.3,'IBM':0.2}
+    start='2024-6-1'
+    end='2025-5-30'
+    RF=0.04
+    printout=True
     
     rate_period='ON'
 
@@ -200,31 +212,43 @@ def treynor_ratio_portfolio(portfolio,start,end,RF=True,printout=True):
     
     #从字典中提取信息
     scope,mktidx,stocklist,portionlist,ticker_type=decompose_portfolio(portfolio)
+
+    #第2步：获得无风险收益率/市场收益率序列
+    #获得期间的日无风险收益率(抓取的RF为百分比) 
+    if isinstance(RF,bool):
+        print("  Searching for risk-free interest rate ...")
+        if scope=='China':
+            rf_df=get_mkt_rf_daily_china(mktidx,start,end,rate_period='1Y',rate_type='shibor',RF=RF)
+        else:
+            rf_df=get_rf(start,end,scope=scope,freq='daily')  
+            if rf_df is None:
+                message="  #Error("+func_name+"): "+"no data available for rf in"
+                print(message,scope,start,end)
+                return None,None 
+        RF=rf_df['RF'].mean()
     
-    #第2步：计算投资组合的日收益率序列
-    #抓取日投资组合价格
-    sp=get_portfolio_prices(portfolio,start,end)
+    #第3步：计算投资组合的日收益率序列
+    #抓取日投资组合价格：内含Mkt-RF和RF
+    sp=get_portfolio_prices(portfolio,start,end,RF=RF)
     #计算日收益率，表示为百分比
+    """
     import pandas as pd
     ret_pf=pd.DataFrame(sp['Close'].pct_change())*100.0
     ret_pf=ret_pf.dropna()
-
-    #第3步：获得无风险收益率/市场收益率序列
-    #获得期间的日无风险收益率(抓取的RF为百分比) 
-    print("  Searching for risk-free interest rate ...")
-    if scope=='China':
-        rf_df=get_mkt_rf_daily_china(mktidx,start,end,rate_period='1Y',rate_type='shibor',RF=RF)
-    else:
-        rf_df=get_rf(start,end,scope=scope,freq='daily')  
-        if rf_df is None:
-            message="  #Error("+func_name+"): "+"no data available for rf in"
-            print(message,scope,start,end)
-            return None,None 
+    """
+    ret_pf=sp
     
     #第4步：合并投资组合日收益率与无风险利率/市场收益率序列
-    #合并rf_df与ret_pf
-    reg=pd.merge(ret_pf,rf_df,how='inner',left_index=True,right_index=True)
+    """
+    if isinstance(RF,bool):
+        #合并rf_df与ret_pf
+        reg=pd.merge(ret_pf,rf_df,how='inner',left_index=True,right_index=True)
+    else:
+        reg=ret_pf
+        reg['RF']=RF/365 #日度无风险收益率%
     reg['Ret-RF']=reg['Close']-reg['RF']
+    """
+    reg=ret_pf
     reg=reg.dropna()
     if len(reg) == 0:
         message="  #Error("+func_name+"): "+"empty ret-rf data for regression"
@@ -233,14 +257,14 @@ def treynor_ratio_portfolio(portfolio,start,end,RF=True,printout=True):
     
     #第5步：计算风险调整后的收益率
     ##########风险调整后的收益率，计算开始##########
-    tr,ret_mean=calc_treynor_ratio(reg)
+    tr,rp_mean,beta=calc_treynor_ratio(reg)
     ##########风险调整后的收益率，计算结束##########
     
     #第6步：打印结果
     if printout == True:
-        print_rar_ratio(reg,portfolio,ret_mean,ratio_name,tr)
+        print_rar_ratio(reg,portfolio,rp_mean,beta,ratio_name,tr)
     
-    return tr,ret_mean
+    return tr,rp_mean
 
 
 if __name__=='__main__':
@@ -258,11 +282,13 @@ if __name__=='__main__':
     indicator='alpha'
 
 
-def rar_ratio_portfolio(portfolio,start,end,indicator='sharpe',RF=0,printout=True):
+def rar_ratio_portfolio(portfolio,start='MRY',end='today', \
+                        indicator='sharpe', \
+                            RF=0,printout=True):
     """
     功能：按天计算一个投资组合的风险调整后的收益率指数
     投资组合的结构：{'Market':('US','^GSPC'),'AAPL':0.5,'MSFT':0.3,'IBM':0.2}
-    输入：投资组合，开始日期，结束日期
+    输入：投资组合，开始日期，结束日期，rar种类
     输出：风险调整后的收益率指数
     """
     ratio_name=indicator
@@ -276,13 +302,16 @@ def rar_ratio_portfolio(portfolio,start,end,indicator='sharpe',RF=0,printout=Tru
     if ratio_name not in ratio_list:
         message="  #Error("+func_name+"): "+"unsupported rar ratio type"
         print(message)
-        return None,None         
+        return None,None       
+    
+    start,end=start_end_preprocess(start,end)
     result,startdate,enddate=check_period(start,end)
     if not result:
         message="  #Error("+func_name+"): "+"invalid start or end date"
         print(message,start,end)
         return None,None    
     
+    print(f"  Calculating {ratio_name} ratio ...")
     #从字典中提取信息
     scope,mktidx,stocklist,portionlist,ticker_type=decompose_portfolio(portfolio)
 
@@ -307,8 +336,19 @@ def rar_ratio_portfolio(portfolio,start,end,indicator='sharpe',RF=0,printout=Tru
             rf_value_flag=True
     
     #第3步：计算投资组合的日收益率序列
+    import os,sys
+    class HiddenPrints:
+        def __enter__(self):
+            self._original_stdout = sys.stdout
+            sys.stdout = open(os.devnull, 'w')
+
+        def __exit__(self, exc_type, exc_val, exc_tb):
+            sys.stdout.close()
+            sys.stdout = self._original_stdout
+    
     #抓取日投资组合价格
-    sp=get_portfolio_prices(portfolio,startdate,enddate,RF=RF)
+    with HiddenPrints():
+        sp=get_portfolio_prices(portfolio,startdate,enddate,RF=RF)
     if sp is None:
         print("  #Error(rar_ratio_portfolio): failed to retrieve portfolio information")
         return None,None
@@ -339,17 +379,17 @@ def rar_ratio_portfolio(portfolio,start,end,indicator='sharpe',RF=0,printout=Tru
         print(message)
         return None,None 
     
-    #第5步：计算风险调整后的收益率
+    #第4步：计算风险调整后的收益率
     ##########风险调整后的收益率，计算开始##########
     calc_func='calc_'+ratio_name+'_ratio'
-    rar,ret_mean=eval(calc_func)(reg)
+    rar,rp_mean,beta=eval(calc_func)(reg)
     ##########风险调整后的收益率，计算结束##########
     
-    #第6步：打印结果
+    #第5步：打印结果
     if printout == True:
-        print_rar_ratio(reg,portfolio,ret_mean,ratio_name,rar)
+        print_rar_ratio(reg,portfolio,rp_mean,beta,ratio_name,rar)
     
-    return rar,ret_mean
+    return rar,rp_mean
 
 
 if __name__=='__main__':
@@ -366,7 +406,7 @@ if __name__=='__main__':
     window=30
     graph=True    
     
-def rar_ratio_rolling(portfolio,start,end,indicator='sharpe',RF=0, \
+def rar_ratio_rolling(portfolio,start='MRY',end='today',indicator='sharpe',RF=0, \
                       window=21,graph=True,source='auto'):
     """
     功能：滚动计算一个投资组合的风险调整后的收益率指数
@@ -378,7 +418,9 @@ def rar_ratio_rolling(portfolio,start,end,indicator='sharpe',RF=0, \
     
     注意：当RF=False时有bug
     """
-    ratio_name=indicator
+    start,end=start_end_preprocess(start,end)
+    
+    ratio_name=indicator.lower()
     
     #第1步：各种准备和检查工作
     print("  Start to calculate rar ratios, please wait ...")
@@ -459,7 +501,7 @@ def rar_ratio_rolling(portfolio,start,end,indicator='sharpe',RF=0, \
         print(message)
         return None,None 
     
-    #第5步：滚动计算风险调整后的收益率
+    #第4步：滚动计算风险调整后的收益率
     ##########风险调整后的收益率，计算开始##########
     #用于保存rar和ret_rf_mean
     import pandas as pd
@@ -496,7 +538,7 @@ def rar_ratio_rolling(portfolio,start,end,indicator='sharpe',RF=0, \
     rars.set_index(['Date'],inplace=True) 
     ##########风险调整后的收益率，计算结束##########
     
-    #第6步：绘图
+    #第5步：绘图
     if graph == True:
         print("  Rendering graphics ...")
         draw_rar_ratio(rars,portfolio,ratio_name,pname)
@@ -605,35 +647,43 @@ def sharpe_ratio_portfolio(portfolio,start,end,RF=True,printout=True):
         return None,None
     """
     
-    #抓取日投资组合价格
-    sp=get_portfolio_prices(portfolio,start,end)
+    #获得期间的无风险收益率 
+    if isinstance(RF,bool):
+        print("  Searching for risk-free interest rate ...")
+        if scope=='China':
+            rf_df=get_mkt_rf_daily_china(mktidx,start,end,rate_period='1Y',rate_type='shibor',RF=RF)
+        else:
+            rf_df=get_rf(start,end,scope=scope,freq='daily')  
+            if rf_df is None:
+                message="  #Error("+func_name+"): "+"no data available for rf in"
+                print(message,scope,start,end)
+                return None,None 
+        RF=rf_df['RF'].mean()
+        
+    #抓取日投资组合价格：内含Mkt-RF和RF
+    sp=get_portfolio_prices(portfolio,start,end,RF=RF)
     #计算日收益率，表示为百分比
+    """
     import pandas as pd
     ret_pf=pd.DataFrame(sp['Close'].pct_change())*100.0
+    """
+    ret_pf=sp
     ret_pf=ret_pf.dropna()  
-    
-    #获得期间的无风险收益率 
-    print("  Searching for risk-free interest rate ...")
-    if scope=='China':
-        rf_df=get_mkt_rf_daily_china(mktidx,start,end,rate_period='1Y',rate_type='shibor',RF=RF)
-    else:
-        rf_df=get_rf(start,end,scope=scope,freq='daily')  
-        if rf_df is None:
-            message="  #Error("+func_name+"): "+"no data available for rf in"
-            print(message,scope,start,end)
-            return None,None 
 
     #强制转换索引格式，彻底消除下面并表的潜在隐患
+    """
     rf_df['ffdate']=rf_df.index.astype('str')
     rf_df['ffdate']=pd.to_datetime(rf_df['ffdate'])
     rf_df.set_index(['ffdate'],inplace=True)
-    
+    """
+    """
     #合并rf_df与ret_pf
     reg=pd.merge(ret_pf,rf_df,how='inner',left_index=True,right_index=True)
     reg['Ret-RF']=reg['Close']-reg['RF']
     reg=reg.dropna()
-    
+    """
     #计算风险溢价Ret-RF均值和标准差
+    reg=ret_pf
     ret_rf_mean=reg['Ret-RF'].mean()
     ret_rf_std=reg['Ret-RF'].std()
     
@@ -647,20 +697,23 @@ def sharpe_ratio_portfolio(portfolio,start,end,RF=True,printout=True):
         date_end=str(reg.index[-1].year)+'-'+str(reg.index[-1].month)+ \
             '-'+str(reg.index[-1].day)            
         print("\n===== 风险调整收益率 =====")
-        
+        """
         _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
         if len(tickerlist)==1:
             product=str(ticker_name(tickerlist,'bond'))
         else:
             product=str(ticker_name(tickerlist,'bond'))+' by '+str(sharelist)
-        print("投资组合:",product)        
-        print("计算期间：",date_start,"至",date_end,"(可用日期)")
-        print("风险溢价均值(%)：",round(ret_rf_mean,4))
-        print("夏普比率(%)    ：",round(sr,4))
+        """
+        print("证券资产:",portfolio_name(portfolio))        
+        print("样本期间:",date_start,"至",date_end,"(可用日期)")
+        print("风险溢价均值%:",round(ret_rf_mean,4))
+        print("风险溢价标准差%:",round(ret_rf_std,4))
+        print("夏普比率%:",round(sr,4))
         import datetime as dt; today=dt.date.today()
         print("*数据来源：新浪/stooq/FRED，"+str(today))
     
-    return sr,ret_rf_mean
+    beta=False
+    return sr,ret_rf_mean,beta
 
 
 if __name__=='__main__':
@@ -700,24 +753,28 @@ def sortino_ratio_portfolio(portfolio,start,end,RF=True,printout=True):
         return None,None
     """
     
+    #获得期间的无风险收益率 
+    if isinstance(RF,bool):
+        print("  Searching for risk-free interest rate ...")
+        if scope=='China':
+            rf_df=get_mkt_rf_daily_china(mktidx,start,end,rate_period='1Y',rate_type='shibor',RF=RF)
+        else:
+            rf_df=get_rf(start,end,scope=scope,freq='daily')  
+            if rf_df is None:
+                message="  #Error("+func_name+"): "+"no data available for rf in"
+                print(message,scope,start,end)
+                return None,None 
+        RF=rf_df['RF'].mean()
+    
     #抓取日投资组合价格
-    sp=get_portfolio_prices(portfolio,start,end)
+    sp=get_portfolio_prices(portfolio,start,end,RF=RF)
+    ret_pf=sp
+    """
     #计算日收益率，表示为百分比
     import pandas as pd
     ret_pf=pd.DataFrame(sp['Close'].pct_change())*100.0
     ret_pf=ret_pf.dropna()
     
-    #获得期间的无风险收益率  
-    print("  Searching for risk-free interest rate ...")
-    if scope=='China':
-        rf_df=get_mkt_rf_daily_china(mktidx,start,end,rate_period='1Y',rate_type='shibor',RF=RF)
-    else:
-        rf_df=get_rf(start,end,scope=scope,freq='daily')  
-        if rf_df is None:
-            message="  #Error("+func_name+"): "+"no data available for rf in"
-            print(message,scope,start,end)
-            return None,None 
-    
     #强制转换索引格式，彻底消除下面并表的潜在隐患
     rf_df['ffdate']=rf_df.index.astype('str')
     rf_df['ffdate']=pd.to_datetime(rf_df['ffdate'])
@@ -726,6 +783,8 @@ def sortino_ratio_portfolio(portfolio,start,end,RF=True,printout=True):
     #合并rf_df与ret_pf
     reg=pd.merge(ret_pf,rf_df,how='inner',left_index=True,right_index=True)
     reg['Ret-RF']=reg['Close']-reg['RF']
+    """
+    reg=ret_pf
     reg=reg.dropna()
     
     #计算风险溢价Ret-RF均值和下偏标准差LPSD
@@ -743,17 +802,18 @@ def sortino_ratio_portfolio(portfolio,start,end,RF=True,printout=True):
         date_end=str(reg.index[-1].year)+'-'+str(reg.index[-1].month)+ \
             '-'+str(reg.index[-1].day)            
         print("\n===== 风险调整收益率 =====")
-        
+        """
         _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
         if len(tickerlist)==1:
             product=str(ticker_name(tickerlist,'bond'))
         else:
             product=str(ticker_name(tickerlist,'bond'))+' by '+str(sharelist)
-        print("投资组合:",product)        
-        print("计算期间：",date_start,"至",date_end, \
-              "(可用日期)")
-        print("风险溢价均值(%)：",round(ret_rf_mean,4))
-        print("索替诺比率(%)  ：",round(sr,4))
+        """
+        print("证券资产:",portfolio_name(portfolio))        
+        print("样本期间:",date_start,"至",date_end,"(可用日期)")
+        print("风险溢价均值%:",round(ret_rf_mean,4))
+        print("下偏标准差%:",round(ret_rf_lpsd,4))
+        print("索替诺比率%:",round(sr,4))
         
         import datetime as dt; today=dt.date.today()
         print("*数据来源：新浪/stooq/FRED，"+str(today))
@@ -797,24 +857,28 @@ def jensen_alpha_portfolio(portfolio,start,end,RF=True,printout=True):
         return None,None
     """
     
-    #抓取日投资组合价格
-    sp=get_portfolio_prices(portfolio,start,end)
+    #获得期间的无风险收益率      
+    if isinstance(RF,bool):
+        print("  Searching for risk-free interest rate ...")
+        if scope=='China':
+            rf_df=get_mkt_rf_daily_china(mktidx,start,end,rate_period='1Y',rate_type='shibor',RF=RF)
+        else:
+            rf_df=get_rf(start,end,scope=scope,freq='daily')  
+            if rf_df is None:
+                message="  #Error("+func_name+"): "+"no data available for rf in"
+                print(message,scope,start,end)
+                return None,None 
+        RF=rf_df['RF'].mean()
+    
+    #抓取日投资组合价格：内含Mkt-RF和RF
+    sp=get_portfolio_prices(portfolio,start,end,RF=RF)
     #计算日收益率，表示为百分比
+    ret_pf=sp
+    """
     import pandas as pd
     ret_pf=pd.DataFrame(sp['Close'].pct_change())*100.0
     ret_pf=ret_pf.dropna()
     
-    #获得期间的无风险收益率        
-    print("  Searching for risk-free interest rate ...")
-    if scope=='China':
-        rf_df=get_mkt_rf_daily_china(mktidx,start,end,rate_period='1Y',rate_type='shibor',RF=RF)
-    else:
-        rf_df=get_rf(start,end,scope=scope,freq='daily')  
-        if rf_df is None:
-            message="  #Error("+func_name+"): "+"no data available for rf in"
-            print(message,scope,start,end)
-            return None,None 
-    
     #强制转换索引格式，彻底消除下面并表的潜在隐患
     rf_df['ffdate']=rf_df.index.astype('str')
     rf_df['ffdate']=pd.to_datetime(rf_df['ffdate'])
@@ -830,6 +894,8 @@ def jensen_alpha_portfolio(portfolio,start,end,RF=True,printout=True):
     #合并rf_df与ret_pf
     reg=pd.merge(ret_pf,rf_df,how='inner',left_index=True,right_index=True)
     reg['Ret-RF']=reg['Close']-reg['RF']
+    """
+    reg=ret_pf
     reg=reg.dropna()
     if len(reg) == 0:
         print("  #Error(jensen_alpha_portfolio): empty data for regression.")
@@ -848,21 +914,23 @@ def jensen_alpha_portfolio(portfolio,start,end,RF=True,printout=True):
         date_end=str(reg.index[-1].year)+'-'+str(reg.index[-1].month)+ \
             '-'+str(reg.index[-1].day)            
         print("\n===== 风险调整收益率 =====")
-        
+        """
         _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
         if len(tickerlist)==1:
             product=str(ticker_name(tickerlist,'bond'))
         else:
             product=str(ticker_name(tickerlist,'bond'))+' by '+str(sharelist)
-        print("投资组合:",product)        
-        print("计算期间：",date_start,"至",date_end,"(可用日期)")
-        print("风险溢价均值(%)：",round(ret_rf_mean,4))
-        print("詹森阿尔法(%)  ：",round(alpha,4))
+        """
+        print("证券资产:",portfolio_name(portfolio))        
+        print("样本期间:",date_start,"至",date_end,"(可用日期)")
+        print("贝塔系数:",round(beta,4))
+        print("风险溢价均值%:",round(ret_rf_mean,4))
+        print("詹森阿尔法%:",round(alpha,4))
         
         import datetime as dt; today=dt.date.today()
         print("*数据来源：新浪/stooq/FRED，"+str(today))        
     
-    return alpha,ret_rf_mean
+    return alpha,ret_rf_mean,beta
 
 
 if __name__=='__main__':