Calculate Capital Assets Pricing Model (CAPM) Metrics Based on Daily Gains

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Description

Calculate CAPM metrics for a stock relative to an index.

Usage

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capm.daily(tickers, index.ticker = "SPY", from = NULL, to = NULL, weights = NULL,
           weights.popmoments = TRUE, align.all = TRUE, decimals = getOption("digits"), 
           plot.characteristic = TRUE)

Arguments

tickers

Character string or vector of ticker symbols.

index.ticker

Character string indicating ticker symbol for the index that the stock is being compared to.

from

Date or character string in form of date (e.g. '1950-01-03' for January 3, 1950), indicating the starting date for the period of interest.

to

Date or character string in form of date (e.g. '2015-03-09' for March 9, 2015), indicating the ending date for the period of interest.

weights

Vector of numeric weights.

weights.popmoments

If TRUE, optimal weights are based on estimated population moments.

align.all

If TRUE, all dates are aligned.

decimals

Whole number indicating the number of decimal places you would like the CAPM metrics rounded to.

plot.characteristic

If TRUE, function plots characteristic lines for individual funds and optimally weighted portfolio.

Value

List where first element is list of trading dates, second element is matrix of growth of \$100, third element is data frame of performance metrics, fourth element is list of characteristic line regression fits, fifth element is covariance matrix, and sixth element is vector of optimal weights.

Note

This function prints warnings which are typically nothing to worry about.

Author(s)

Dane R. Van Domelen

References

Acknowledgment: This material is based upon work supported by the National Science Foundation Graduate Research Fellowship under Grant No. DGE-0940903.

See Also

NA

Examples

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