FamaBeta | R Documentation |
Fama beta is a beta used to calculate the loss of diversification. It is made so that the systematic risk is equivalent to the total portfolio risk.
FamaBeta(Ra, Rb, ...)
Ra |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
Rb |
return vector of the benchmark asset |
... |
any other passthru parameters |
\beta_F = \frac{\sigma_P}{\sigma_M}
where \sigma_P
is the portfolio standard deviation and \sigma_M
is the
market risk
Matthieu Lestel
Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.78
data(portfolio_bacon)
print(FamaBeta(portfolio_bacon[,1], portfolio_bacon[,2])) #expected 1.03
data(managers)
print(FamaBeta(managers['1996',1], managers['1996',8]))
print(FamaBeta(managers['1996',1:5], managers['1996',8]))
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