Single Factor Asset-Pricing Model Summary: Statistics and Stylized Facts

Description

Takes a set of returns and relates them to a benchmark return. Provides a set of measures related to an excess return single factor model, or CAPM.

Usage

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table.SFM(Ra, Rb, scale = NA, Rf = 0, digits = 4)

Arguments

Ra

a vector of returns to test, e.g., the asset to be examined

Rb

a matrix, data.frame, or timeSeries of benchmark(s) to test the asset against.

scale

number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)

Rf

risk free rate, in same period as your returns

digits

number of digits to round results to

Details

This table will show statistics pertaining to an asset against a set of benchmarks, or statistics for a set of assets against a benchmark.

Author(s)

Peter Carl

See Also

CAPM.alpha
CAPM.beta
TrackingError
ActivePremium
InformationRatio
TreynorRatio

Examples

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data(managers)
table.SFM(managers[,1:3], managers[,8], Rf = managers[,10])

result = table.SFM(managers[,1:3], managers[,8], Rf = managers[,10])
textplot(result, rmar = 0.8, cmar = 1.5,  max.cex=.9, 
         halign = "center", valign = "top", row.valign="center", 
         wrap.rownames=15, wrap.colnames=10, mar = c(0,0,3,0)+0.1)
title(main="Single Factor Model Related Statistics")

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