Return.excess: Calculates the returns of an asset in excess of the given...

In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Description

Calculates the returns of an asset in excess of the given "risk free rate" for the period.

Usage

Return.excess(R, Rf = 0)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
Rf	risk free rate, in same period as your returns, or as a single digit average

Details

Ideally, your risk free rate will be for each period you have returns observations, but a single average return for the period will work too.

Mean of the period return minus the period risk free rate

mean(Ra-Rf=0)

OR

mean of the period returns minus a single numeric risk free rate

mean(R)-rf

Note that while we have, in keeping with common academic usage, assumed that the second parameter will be a risk free rate, you may also use any other timeseries as the second argument. A common alteration would be to use a benchmark to produce excess returns over a specific benchmark, as demonstrated in the examples below.

Author(s)

Peter Carl

References

Bacon, Carl. Practical Portfolio Performance Measurement and Attribution. Wiley. 2004. p. 47-52

Examples

data(managers)
head(Return.excess(managers[,1,drop=FALSE], managers[,10,drop=FALSE]))
head(Return.excess(managers[,1,drop=FALSE], .04/12))
head(Return.excess(managers[,1:6], managers[,10,drop=FALSE]))
head(Return.excess(managers[,1,drop=FALSE], managers[,8,drop=FALSE]))

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