CAPM.jensenAlpha {JFE} | R Documentation |
Jensen's alpha of the return distribution
Description
The Jensen's alpha is the intercept of the regression equation in the Capital Asset Pricing Model and is in effect the exess return adjusted for systematic risk.
Usage
CAPM.jensenAlpha(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 |
Details
\alpha = r_p - r_f - \beta_p * (b - r_f)
where r_f
is the risk free rate, \beta_r
is the regression beta,
r_p
is the portfolio return and b is the benchmark return
Author(s)
Ho Tsung-wu <tsungwu@ntnu.edu.tw>, College of Management, National Taiwan Normal University.
References
Carl Bacon, Practical portfolio performance measurement
and attribution, second edition 2008 p.72
See also package PerformanceAnalytics
.
Examples
data(assetReturns)
assetReturns=assetReturns["2011::2018"] #short sample for fast example
Ra=assetReturns[, -29]
Rb=assetReturns[,29] #DJI
CAPM.jensenAlpha(Ra, Rb)
[Package JFE version 2.5.7 Index]