CAPM.alpha {PerformanceAnalytics} R Documentation

## calculate CAPM alpha

### Description

This is a wrapper for calculating a CAPM alpha.

"Alpha" purports to be a measure of a manager's skill by measuring the portion of the managers returns that are not attributable to "Beta", or the portion of performance attributable to a benchmark.

### Usage

```CAPM.alpha(Ra, Rb, Rf = 0)
```

### Arguments

 `Ra` an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns `Rb` return vector of the benchmark asset `Rf` risk free rate, in same period as your returns

CAPM alpha

Peter Carl

### References

Sharpe, W.F. Capital Asset Prices: A theory of market equilibrium under conditions of risk. Journal of finance, vol 19, 1964, 425-442.
Ruppert, David. Statistics and Finance, an Introduction. Springer. 2004.

`CAPM.beta` `CAPM.utils`

### Examples

```# First we load the data
data(managers)
CAPM.alpha(managers[,1,drop=FALSE], managers[,8,drop=FALSE], Rf=.035/12)
CAPM.alpha(managers[,1,drop=FALSE], managers[,8,drop=FALSE], Rf = managers[,10,drop=FALSE])
CAPM.alpha(managers[,1:6], managers[,8,drop=FALSE], Rf=.035/12)
CAPM.alpha(managers[,1:6], managers[,8,drop=FALSE], Rf = managers[,10,drop=FALSE])
CAPM.alpha(managers[,1:6], managers[,8:7,drop=FALSE], Rf=.035/12)
CAPM.alpha(managers[,1:6], managers[,8:7,drop=FALSE], Rf = managers[,10,drop=FALSE])

```

[Package PerformanceAnalytics version 0.9.9-5 Index]