#' Active Premium or Active Return
#'
#' The return on an investment's annualized return minus the benchmark's
#' annualized return.
#'
#' Active Premium = Investment's annualized return - Benchmark's annualized
#' return
#'
#' Also commonly referred to as 'active return'.
#'
#' @param Ra return vector of the portfolio
#' @param Rb return vector of the benchmark asset
#' @param scale number of periods in a year (daily scale = 252, monthly scale =
#' 12, quarterly scale = 4)
#' @author Peter Carl
#' @seealso \code{\link{InformationRatio}} \code{\link{TrackingError}}
#' \code{\link{Return.annualized}}
#' @references Sharpe, W.F. The Sharpe Ratio,\emph{Journal of Portfolio
#' Management},Fall 1994, 49-58.
###keywords ts multivariate distribution models
#' @examples
#'
#' data(managers)
#' ActivePremium(managers[, "HAM1", drop=FALSE], managers[, "SP500 TR", drop=FALSE])
#' ActivePremium(managers[,1,drop=FALSE], managers[,8,drop=FALSE])
#' ActivePremium(managers[,1:6], managers[,8,drop=FALSE])
#' ActivePremium(managers[,1:6], managers[,8:7,drop=FALSE])
#' @rdname ActivePremium
#' @aliases
#' ActivePremium
#' ActiveReturn
#' @export ActiveReturn ActivePremium
ActiveReturn <- ActivePremium <- function (Ra, Rb, scale = NA)
{ # @author Peter Carl
# FUNCTION
Ra = checkData(Ra)
Rb = checkData(Rb)
Ra.ncols = NCOL(Ra)
Rb.ncols = NCOL(Rb)
pairs = expand.grid(1:Ra.ncols, 1:Rb.ncols)
if(is.na(scale)) {
freq = periodicity(Ra)
switch(freq$scale,
minute = {stop("Data periodicity too high")},
hourly = {stop("Data periodicity too high")},
daily = {scale = 252},
weekly = {scale = 52},
monthly = {scale = 12},
quarterly = {scale = 4},
yearly = {scale = 1}
)
}
ap <-function (Ra, Rb, scale)
{
merged = na.omit(merge(Ra, Rb)) # align
ap = (Return.annualized(merged[,1], scale = scale) - Return.annualized(merged[,2], scale = scale))
ap
}
result = apply(pairs, 1, FUN = function(n, Ra, Rb, scale) ap(Ra[,n[1]], Rb[,n[2]], scale), Ra = Ra, Rb = Rb, scale = scale)
if(length(result) ==1)
return(result)
else {
dim(result) = c(Ra.ncols, Rb.ncols)
colnames(result) = paste("Active Premium:", colnames(Rb))
rownames(result) = colnames(Ra)
return(t(result))
}
}
###############################################################################
# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
#
# Copyright (c) 2004-2015 Peter Carl and Brian G. Peterson
#
# This R package is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
#
# $Id: ActivePremium.R 3579 2015-01-07 13:01:25Z braverock $
#
###############################################################################
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