PerformanceAnalytics (version 0.9.5)

ActivePremium: Active Premium

Description

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

Active Premium = Investment's annualized return - Benchmark's annualized return

Usage

ActivePremium(Ra, Rb, scale = 12)

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)

Value

• ActivePremium (numeric)

References

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

See Also

InformationRatio TrackingError Return.annualized

Examples

# 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))
    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))
    data.zoo = merge(edhec.zoo[,9,drop=FALSE],sp500.zoo)
    time(data.zoo) = as.Date(time(data.zoo),format="%b %Y")

    ActivePremium(data.zoo[, 1, drop=FALSE], data.zoo[, 2, drop=FALSE])