ActivePremium: Active Premium or Active Return

In JFE: Tools and GUI for Analyzing Time Series Data of Just Finance and Econometrics

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)

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().

Author(s)

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

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)

JFE documentation built on Aug. 28, 2023, 9:06 a.m.