FamaBeta: Fama beta of the return distribution

Description Usage Arguments Details Author(s) References Examples

Description

Fama beta is a beta used to calculate the loss of diversification. It is made so that the systematic risk is equivalent to the total portfolio risk.

Usage

1
FamaBeta(Ra, Rb, ...)

Arguments

Ra

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

Rb

return vector of the benchmark asset

...

any other passthru parameters

Details

Fama beta = portfolio standard deviation / benchmark standard deviation

where σ_P is the portfolio standard deviation and σ_M is the market risk

Author(s)

Matthieu Lestel

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.78

Examples

1
2
3
4
5
6

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