CAPM.alpha {PerformanceAnalytics} | R Documentation |
This is a wrapper for calculating a CAPM alpha.
"Alpha" purports to be a measure of a manager's skill by measuring the portion of the managers returns that are not attributable to "Beta", or the performance relative to a benchmark.
CAPM.alpha(Ra, Rb, rf = 0)
Ra |
a vector, matrix, data frame, timeSeries or zoo object of asset returns |
Rb |
return vector of the benchmark asset |
rf |
risk free rate, in same period as your returns |
CAPM alpha
Peter Carl
Sharpe, W.F. Capital Asset Prices: A theory of market equilibrium under conditions of risk. Journal of finance, vol 19, 1964, 425-442.
Ruppert, David. Statistics and Finance, an Introduction. Springer. 2004.
# First we load the data data(edhec) edhec.length = dim(edhec)[1] start = rownames(edhec[1,]) start end = rownames(edhec[edhec.length,]) edhec.zoo = zoo(edhec, order.by = rownames(edhec)) rf.zoo = download.RiskFree(start = start, end = end) sp500.zoo = download.SP500PriceReturns(start = "1996-12-31", end = end) # Now we have to align it as "monthly" data time(edhec.zoo) = as.yearmon(time(edhec.zoo)) time(sp500.zoo) = as.yearmon(time(sp500.zoo)) time(rf.zoo) = as.yearmon(time(rf.zoo)) data.zoo = merge(edhec.zoo[,9,drop=FALSE],sp500.zoo) time(data.zoo) = as.Date(time(data.zoo),format="%b %Y") time(rf.zoo) = as.Date(time(rf.zoo),format="%b %Y") CAPM.alpha(data.zoo[, 1, drop=FALSE], data.zoo[, 2, drop=FALSE], rf = rf.zoo)