FamaBeta {PerformanceAnalytics} | R Documentation |
Fama beta of the return distribution
Description
Fama beta is a beta used to calculate the loss of diversification. It is made so that the systematic risk is equivalent to the total portfolio risk.
Usage
FamaBeta(Ra, Rb, ...)
Arguments
Ra |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
Rb |
return vector of the benchmark asset |
... |
any other passthru parameters |
Details
\beta_F = \frac{\sigma_P}{\sigma_M}
where \sigma_P
is the portfolio standard deviation and \sigma_M
is the
market risk
Author(s)
Matthieu Lestel
References
Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.78
Examples
data(portfolio_bacon)
print(FamaBeta(portfolio_bacon[,1], portfolio_bacon[,2])) #expected 1.03
data(managers)
print(FamaBeta(managers['1996',1], managers['1996',8]))
print(FamaBeta(managers['1996',1:5], managers['1996',8]))
[Package PerformanceAnalytics version 2.0.4 Index]