\HeaderA{CAPM.alpha}{calculate CAPM alpha}{CAPM.alpha}
\keyword{ts}{CAPM.alpha}
\keyword{multivariate}{CAPM.alpha}
\keyword{distribution}{CAPM.alpha}
\keyword{models}{CAPM.alpha}
\begin{Description}\relax
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.
\end{Description}
\begin{Usage}
\begin{verbatim}
CAPM.alpha(Ra, Rb, Rf = 0)
\end{verbatim}
\end{Usage}
\begin{Arguments}
\begin{ldescription}
\item[\code{Ra}] an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns 
\item[\code{Rb}] return vector of the benchmark asset 
\item[\code{Rf}] risk free rate, in same period as your returns 
\end{ldescription}
\end{Arguments}
\begin{Value}
CAPM alpha
\end{Value}
\begin{Author}\relax
Peter Carl
\end{Author}
\begin{References}\relax
Sharpe, W.F. Capital Asset Prices: A theory of market equilibrium under conditions of risk. \emph{Journal of finance}, vol 19, 1964, 425-442. \\
Ruppert, David. \emph{Statistics and Finance, an Introduction}. Springer. 2004. \\
\end{References}
\begin{SeeAlso}\relax
\code{\LinkA{CAPM.beta}{CAPM.beta}}
\code{\LinkA{CAPM.utils}{CAPM.utils}}
\end{SeeAlso}
\begin{Examples}
\begin{ExampleCode}
# 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])

\end{ExampleCode}
\end{Examples}

