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

Value

CAPM alpha

Author(s)

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.

See Also

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]