ActivePremium {PerformanceAnalytics} | R Documentation |
The return on an investment's annualized return minus the benchmark's annualized return.
Active Premium = Investment's annualized return - Benchmark's annualized return
ActivePremium(Ra, Rb, scale = 12)
Ra |
return vector of the portfolio |
Rb |
return vector of the benchmark asset |
scale |
number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4) |
ActivePremium (numeric)
Peter Carl
Sharpe, W.F. The Sharpe Ratio,Journal of Portfolio Management,Fall 1994, 49-58.
InformationRatio
TrackingError
Return.annualized
# First we load the data data(managers) ActivePremium(managers[, "HAM1", drop=FALSE], managers[, "SP500.TR", drop=FALSE])