API Documentation

⌘K

API Key

GET/api/1/risk-models/covariance

Factor Covariance Matrix

Returns the annualised covariance matrix of Fama-French factor returns computed from the trailing 252 trading days

factorsstring

query

Comma-separated factor IDs or "all" (default: all style factors)

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Request

curl -X GET \
  'https://api.eulerpool.com/api/1/risk-models/covariance' \
  -H 'Accept: application/json'

200 Response

{
  "factors": [],
  "matrix": []
}