R/Selectivity.R

In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

#' Selectivity of the return distribution
#'
#' Selectivity is the same as Jensen's alpha
#'
#' \deqn{Selectivity = r_p - r_f - \beta_p * (b - r_f)}{Selectivity = r_p - r_f - beta_p * (b - r_f)}
#'
#' where \eqn{r_f} is the risk free rate, \eqn{\beta_r} is the regression beta,
#' \eqn{r_p} is the portfolio return and b is the benchmark return
#'
#' @aliases Selectivity
#' @param Ra an xts, vector, matrix, data frame, timeSeries or zoo object of
#' asset returns
#' @param Rb return vector of the benchmark asset
#' @param Rf risk free rate, in same period as your returns
#' @param \dots any other passthru parameters
#' @author Matthieu Lestel
#' @references Carl Bacon, \emph{Practical portfolio performance measurement 
#' and attribution}, second edition 2008 p.78
#' 
###keywords ts multivariate distribution models
#' @examples
#'
#' data(portfolio_bacon)
#' print(Selectivity(portfolio_bacon[,1], portfolio_bacon[,2])) #expected -0.0141
#'
#' data(managers)
#' print(Selectivity(managers['1996',1], managers['1996',8]))
#' print(Selectivity(managers['1996',1:5], managers['1996',8]))
#'
#' @export

Selectivity <-
function (Ra, Rb, Rf = 0, ...)
{
	Period = Frequency(Ra)
	CAPM.jensenAlpha(Ra,Rb,Rf,Period)
}


###############################################################################
# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
#
# Copyright (c) 2004-2020 Peter Carl and Brian G. Peterson
#
# This R package is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
#
# $Id$
#
###############################################################################