Selectivity | R Documentation |
Selectivity is the same as Jensen's alpha
Selectivity(Ra, Rb, Rf = 0, ...)
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 passthru parameters |
Selectivity = 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
Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.78
data(portfolio_bacon)
print(Selectivity(portfolio_bacon[,1], portfolio_bacon[,2])) #expected -0.0141
data(managers)
print(Selectivity(managers['2002',1], managers['2002',8]))
print(Selectivity(managers['2002',1:5], managers['2002',8]))
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