PerformanceAnalytics (version 0.9.7.1)

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(managers)

    ActivePremium(managers[, "HAM1", drop=FALSE], managers[, "SP500.TR", drop=FALSE])