<html><head><meta name="color-scheme" content="light dark"></head><body><pre style="word-wrap: break-word; white-space: pre-wrap;">\HeaderA{ActivePremium}{Active Premium}{ActivePremium}
\keyword{ts}{ActivePremium}
\keyword{multivariate}{ActivePremium}
\keyword{distribution}{ActivePremium}
\keyword{models}{ActivePremium}
\begin{Description}\relax
The return on an investment's annualized return minus the benchmark's annualized return.

Active Premium = Investment's annualized return - Benchmark's annualized return
\end{Description}
\begin{Usage}
\begin{verbatim}
ActivePremium(Ra, Rb, scale = NA)
\end{verbatim}
\end{Usage}
\begin{Arguments}
\begin{ldescription}
\item[\code{Ra}] return vector of the portfolio 
\item[\code{Rb}] return vector of the benchmark asset 
\item[\code{scale}] number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4) 
\end{ldescription}
\end{Arguments}
\begin{Value}
ActivePremium (numeric)
\end{Value}
\begin{Author}\relax
Peter Carl
\end{Author}
\begin{References}\relax
Sharpe, W.F. The Sharpe Ratio,\emph{Journal of Portfolio Management},Fall 1994, 49-58.
\end{References}
\begin{SeeAlso}\relax
\code{\LinkA{InformationRatio}{InformationRatio}}
\code{\LinkA{TrackingError}{TrackingError}}
\code{\LinkA{Return.annualized}{Return.annualized}}
\end{SeeAlso}
\begin{Examples}
\begin{ExampleCode}
    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])
\end{ExampleCode}
\end{Examples}

</pre></body></html>