jenson.alpha: Jenson's Alpha
In rportfolio: Portfolio Theory
Description
Usage
Arguments
Value
Examples
Description
Calculates the Jenson's Alpha of the security
Usage
1
jenson.alpha(R1, R2, rf = 0)
Arguments
R1
Portfolio Return
R2
Benchmark Return
rf
Risk Free Rate of Return, Default: 0
Value
The Jensen's measure, or Jensen's alpha, is a risk-adjusted performance measure that represents the average return on a portfolio or investment, above or below that predicted by the capital asset pricing model (CAPM), given the portfolio's or investment's beta and the average market return.
Examples
1
jenson.alpha(funds$ret1, funds$rfr)
rportfolio documentation built on July 1, 2020, 10:35 p.m.
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Description Usage Arguments Value Examples
Description
Calculates the Jenson's Alpha of the security
Usage
1 | jenson.alpha(R1, R2, rf = 0)
|
Arguments
R1 |
Portfolio Return |
R2 |
Benchmark Return |
rf |
Risk Free Rate of Return, Default: 0 |
Value
The Jensen's measure, or Jensen's alpha, is a risk-adjusted performance measure that represents the average return on a portfolio or investment, above or below that predicted by the capital asset pricing model (CAPM), given the portfolio's or investment's beta and the average market return.
Examples
1 | jenson.alpha(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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