FamaBeta: Fama beta of the return distribution

Description Usage Arguments Details Author(s) References Examples

Description

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.

Usage

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FamaBeta(Ra, Rb, ...)

Arguments

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

Details

Fama beta = portfolio standard deviation / benchmark standard deviation

where σ_P is the portfolio standard deviation and σ_M is the market risk

Author(s)

Matthieu Lestel

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.78

Examples

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guillermozbta/portafolio-master documentation built on May 11, 2019, 7:20 p.m.