pt.alpha: Stock return alpha

Description Usage Arguments Examples

View source: R/pt.alpha.R

Description

Alpha is the intercept of a fitted line when dependent variable is the benchmark return and independent variable is a asset return of the same period. It is a measure of the active return on an investment. Alpha, along with beta, is one of the two key coefficients in the CAPM used modern portfolio theory.

Usage

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Arguments

ar

:a vector of a risk asset return

br

:a vector of benchmark return

Examples

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brtn <- runif(100, -1, 1)
artn <- runif(100, -1, 1)
pt.alpha(artn,brtn)

YRmisc documentation built on March 25, 2020, 5:13 p.m.

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