active_return: Active return

In maxto/qapi: Low-level functions for quantitative analysis

Active return

Description

Asset annualized return minus Benchmark annualized return

Usage

active_return(x, y, t = 252, is_geom = T)

Arguments

x	asset returns
y	benchmark returns
t	frequency of data. 1: yearly, 4: quarterly, 12: monthly, 52: weekly, 252: daily
is_geom	TRUE geometric, FALSE simple

Value

numeric

Examples

xx <- c(0.003,0.026,0.015,-0.009,0.014,0.024,0.015,0.066,-0.014,0.039)
yy <- c(0.04,-0.022,0.043,0.028,-0.078,-0.011,0.033,-0.049,0.09,0.087)
active_return(xx,yy,t=12)

maxto/qapi documentation built on Feb. 1, 2024, 9:42 a.m.