alpha.capm: CAPM Alpha
In rportfolio: Portfolio Theory
Description
Usage
Arguments
Details
Value
Examples
Description
Calculates the portfolio alpha
Usage
1
alpha.capm(R1, R2)
Arguments
R1
Portfolio return as xts
R2
Benchmark Returns
Details
Alpha is a term used in investing to describe a strategy's ability to beat the market, or it's "edge." Alpha is thus also often referred to as “excess return” or “abnormal rate of return,” which refers to the idea that markets are efficient, and so there is no way to systematically earn returns that exceed the broad market as a whole.
Value
Returns the alpha of the portfolio
Examples
1
alpha.capm(funds$ret1, funds$rfr)
rportfolio documentation built on July 1, 2020, 10:35 p.m.
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Description Usage Arguments Details Value Examples
Description
Calculates the portfolio alpha
Usage
1 | alpha.capm(R1, R2)
|
Arguments
R1 |
Portfolio return as xts |
R2 |
Benchmark Returns |
Details
Alpha is a term used in investing to describe a strategy's ability to beat the market, or it's "edge." Alpha is thus also often referred to as “excess return” or “abnormal rate of return,” which refers to the idea that markets are efficient, and so there is no way to systematically earn returns that exceed the broad market as a whole.
Value
Returns the alpha of the portfolio
Examples
1 | alpha.capm(funds$ret1, funds$rfr)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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