FamaBeta: Fama beta of the return distribution

In guillermozbta/portafolio-master: Econometric tools for performance and risk analysis.

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

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

data(portfolio_bacon)
print(FamaBeta(portfolio_bacon[,1], portfolio_bacon[,2])) #expected 1.03

data(managers)
print(FamaBeta(managers['1996',1], managers['1996',8]))
print(FamaBeta(managers['1996',1:5], managers['1996',8]))

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