CAPM.jensenAlpha | R Documentation |
The Jensen's alpha is the intercept of the regression equation in the Capital Asset Pricing Model and is in effect the exess return adjusted for systematic risk.
CAPM.jensenAlpha(Ra, Rb, Rf = 0, ..., method = "LS", family = "mopt")
Ra |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
Rb |
return vector of the benchmark asset |
Rf |
risk free rate, in same period as your returns |
... |
any other pass thru parameters |
method |
(Optional): string representing linear regression model, "LS" for Least Squares and "Rob" for robust |
family |
(Optional): If method == "Rob": This is a string specifying the name of the family of loss function to be used (current valid options are "bisquare", "opt" and "mopt"). Incomplete entries will be matched to the current valid options. Defaults to "mopt". Else: the parameter is ignored |
\alpha = r_p - r_f - \beta_p * (b - r_f)
where r_f
is the risk free rate, \beta_r
is the regression beta,
r_p
is the portfolio return and b is the benchmark return
Matthieu Lestel, Dhairya Jain
Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.72
data(portfolio_bacon)
print(SFM.jensenAlpha(portfolio_bacon[,1], portfolio_bacon[,2])) #expected -0.014
data(managers)
print(SFM.jensenAlpha(managers['1996',1], managers['1996',8]))
print(SFM.jensenAlpha(managers['1996',1:5], managers['1996',8]))
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.