pt.annexrtn {YRmisc}

Annualized excess return

Description

Annualized excess return is the difference between the annualized and cumulative return of the two series. Usually, one series are portfolio returns and the other is a benchmark returns.

Usage

pt.annexrtn(ar,br)

Arguments

ar

:a vector of a risk asset return

br

:a vector of benchmark return

Examples

artn <- runif(100, -1, 1)
brtn <- runif(100, -1, 1)
pt.annexrtn(artn, brtn)