ActivePremium: Active Premium or Active Return

In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Description

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

Usage

ActiveReturn(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)
...	any other passthru parameters to Return.annualized (e.g., geometric=FALSE)

Details

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

Also commonly referred to as 'active return'.

Author(s)

Peter Carl

References

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

See Also

InformationRatio TrackingError Return.annualized

Examples

    data(managers)
    ActivePremium(managers[, "HAM1", drop=FALSE], managers[, "SP500 TR", drop=FALSE])
    ActivePremium(managers[,1,drop=FALSE], managers[,8,drop=FALSE])
    ActivePremium(managers[,1:6], managers[,8,drop=FALSE])
    ActivePremium(managers[,1:6], managers[,8:7,drop=FALSE])

PerformanceAnalytics documentation built on Feb. 6, 2020, 5:11 p.m.