| ActivePremium {JFE} | R Documentation |
Active Premium or Active Return
Description
The return on an investment's annualized return minus the benchmark's annualized return.
Usage
ActivePremium(Ra, Rb, scale = NA)
Arguments
Ra |
return vector of the portfolio |
Rb |
return vector of the benchmark asset |
scale |
number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4) |
Details
Active Premium = Investment's annualized return - Benchmark's annualized return. With a view to speeding computation. I re-write the code of some ratios of the package PerformanceAnalytics, and use the same name for comparing the performance enhancing. Interested readers may compare speed improvement with the use of system.time().
Author(s)
Ho Tsung-wu <tsungwu@ntnu.edu.tw>, College of Management, National Taiwan Normal University.
References
Sharpe, W.F. The Sharpe Ratio,Journal of Portfolio Management, Fall 1994, 49-58.
See aslo package PerformanceAnalytics.
See Also
Return.annualized,
InformationRatio,
TrackingError,
Examples
data(assetReturns)
assetReturns=assetReturns["2015::2018"] #short sample for fast example
# Ra=assetReturns[, -29]
# Rb=assetReturns[,29] #DJI
# ActivePremium(Ra, Rb)