alpha.capm {rportfolio}

CAPM Alpha

Description

Calculates the portfolio alpha

Usage

alpha.capm(R1, R2)

Arguments

R1

Portfolio return as xts

R2

Benchmark Returns

Details

Alpha is a term used in investing to describe a strategy's ability to beat the market, or it's "edge." Alpha is thus also often referred to as “excess return” or “abnormal rate of return,” which refers to the idea that markets are efficient, and so there is no way to systematically earn returns that exceed the broad market as a whole.

Value

Returns the alpha of the portfolio

Examples

alpha.capm(funds$ret1, funds$rfr)