R: Asset-Pricing Model Summary: Statistics and Stylized Facts

table.CAPM {PerformanceAnalytics}

R Documentation

Asset-Pricing Model Summary: Statistics and Stylized Facts

Takes a set of returns and relates them to a market benchmark. Provides a set of measures related to the excess return single index model, or CAPM.

table.CAPM(Ra, Rb, scale = NA, Rf = 0, digits = 4)

`Ra`	a vector of returns to test, e.g., the asset to be examined
`Rb`	a matrix, data.frame, or timeSeries of benchmark(s) to test the asset against.
`scale`	number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)
`Rf`	risk free rate, in same period as your returns
`digits`	number of digits to round results to

This table will show statistics pertaining to an asset against a set of benchmarks, or statistics for a set of assets against a benchmark.

Peter Carl

data(managers)
table.CAPM(managers[,1:3,drop=FALSE], managers[,8,drop=FALSE], Rf = managers[,10,drop=FALSE])

[Package PerformanceAnalytics version 0.9.9-5 Index]