ActivePremium {PerformanceAnalytics}R Documentation

Active Premium

Description

The return on an investment's annualized return minus the benchmark's annualized return.

Active Premium = Investment's annualized return - Benchmark's annualized return

Usage

ActivePremium(Ra, Rb, scale = NA)

Arguments

Ra return vector of the portfolio
Rb return vector of the benchmark asset
scale number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)

Value

ActivePremium (numeric)

Author(s)

Peter Carl

References

Sharpe, W.F. The Sharpe Ratio,Journal of Portfolio Management,Fall 1994, 49-58.

See Also

InformationRatio TrackingError Return.annualized

Examples

    data(managers)
    ActivePremium(managers[, "HAM1", drop=FALSE], managers[, "SP500.TR", drop=FALSE])
    ActivePremium(managers[,1,drop=FALSE], managers[,8,drop=FALSE]) 
    ActivePremium(managers[,1:6], managers[,8,drop=FALSE]) 
    ActivePremium(managers[,1:6], managers[,8:7,drop=FALSE])
[Package PerformanceAnalytics version 0.9.9-5 Index]