pt.alpha {YRmisc} | R Documentation |
Stock return alpha
Description
Alpha is the intercept of a fitted line when dependent variable is the benchmark return and independent variable is a asset return of the same period. It is a measure of the active return on an investment. Alpha, along with beta, is one of the two key coefficients in the CAPM used modern portfolio theory.
Usage
pt.alpha(ar,br)
Arguments
ar |
:a vector of a risk asset return |
br |
:a vector of benchmark return |
Examples
brtn <- runif(100, -1, 1)
artn <- runif(100, -1, 1)
pt.alpha(artn,brtn)
[Package YRmisc version 0.1.6 Index]