Factor Covariance Matrix API

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

Defaults

factors=all

Related endpoints

Required first. Documented defaults are selected — Test Request matches a bare call.

factorsstringdefault all

query

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

Default all

Was this helpful?

Request

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

200 Response

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