JFE (version 2.5.6)

ActivePremium: Active Premium or Active Return

Description

The return on an investment's annualized return minus the benchmark's annualized return.

Usage

ActivePremium(Ra, Rb, scale = NA)

Arguments

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)

Author

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

Details

Active Premium = Investment's annualized return - Benchmark's annualized return. With a view to speeding computation. I re-write the code of some ratios of the package PerformanceAnalytics, and use the same name for comparing the performance enhancing. Interested readers may compare speed improvement with the use of system.time().

References

Sharpe, W.F. The Sharpe Ratio,Journal of Portfolio Management, Fall 1994, 49-58.
See aslo package PerformanceAnalytics.

See Also

Return.annualized,
InformationRatio,
TrackingError,

Examples

  data(assetReturns)
	assetReturns=assetReturns["2015::2018"] #short sample for fast example
#	Ra=assetReturns[, -29]
#	Rb=assetReturns[,29] #DJI
#  ActivePremium(Ra, Rb)