PerformanceAnalytics (version 0.9.7.1)

CAPM.alpha: calculate CAPM alpha

Description

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.

Usage

CAPM.alpha(Ra, Rb, rf = 0)

Arguments

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

Value

• CAPM alpha

References

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.

See Also

CAPM.beta CAPM.utils

Examples

# First we load the data
data(managers)
CAPM.alpha(managers[, "HAM1", drop=FALSE], managers[, "SP500.TR", drop=FALSE], rf = managers[, "US.3m.TR", drop=FALSE])