makeExcessReturns: Take a set of asset returns and subtract the benchmark...

In gtog/dMisc: A Collection of Helper Functions for Doing Financial Data Analysis

Description

This function just strubtracts the returns of benchmark from the returns of assets. It's just a convenience function for generating excess returns. benchmark is typically passes as the risk-free rate.

Usage

makeExcessReturns(assets, benchmark)

Arguments

assets	the xts object of asset returns.
benchmark	the xts object of benchmark returns.

Value

an xts object of excess returns defined as asset - benchmark

Examples

dts.asset <- seq(Sys.Date()-49, Sys.Date(), 1)
ret.asset <- matrix(rep(.05,50),ncol = 1)
asset.xts <- xts(ret.asset, dts.asset)

dts.benchmark <- seq(Sys.Date()-49, Sys.Date(), 1)
ret.benchmark <- matrix(rep(.03,50),ncol = 1)
benchmark.xts <- xts(ret.benchmark, dts.benchmark)

# Should return .02 everywhere...
makeExcessReturns(assets = asset.xts, benchmark = benchmark.xts)

gtog/dMisc documentation built on May 17, 2019, 8:57 a.m.