ActivePremium: Active Premium or Active Return

In ecjbosu/PerformanceAnalytics: Econometric tools for performance and risk analysis.

Description

The return on an investment's annualized return minus the benchmark's annualized return.

Usage

ActiveReturn(Ra, Rb, scale = NA)

Arguments

Ra	return vector of the portfolio
Rb	return vector of the benchmark asset
scale	number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)

Details

Active Premium = Investment's annualized return - Benchmark's annualized return

Also commonly referred to as 'active return'.

Author(s)

Peter Carl

References

Sharpe, W.F. The Sharpe Ratio,Journal of Portfolio Management,Fall 1994, 49-58.

See Also

InformationRatio TrackingError Return.annualized

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])

ecjbosu/PerformanceAnalytics documentation built on March 24, 2020, 3:43 a.m.