| ActivePremium {PerformanceAnalytics} | R Documentation |
The return on an investment's annualized return minus the benchmark's annualized return.
Active Premium = Investment's annualized return - Benchmark's annualized return
ActivePremium(Ra, Rb, scale = 12)
Ra |
return vector of the portfolio |
Rb |
return vector of the benchmark asset |
scale |
number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4) |
ActivePremium (numeric)
Peter Carl
Sharpe, W.F. The Sharpe Ratio,Journal of Portfolio Management,Fall 1994, 49-58.
InformationRatio
TrackingError
Return.annualized
# First we load the data
data(edhec)
edhec.length = dim(edhec)[1]
start = rownames(edhec[1,])
start
end = rownames(edhec[edhec.length,])
edhec.zoo = zoo(edhec, order.by = rownames(edhec))
sp500.zoo = download.SP500PriceReturns(start = "1996-12-31", end = end)
# Now we have to align it as "monthly" data
time(edhec.zoo) = as.yearmon(time(edhec.zoo))
time(sp500.zoo) = as.yearmon(time(sp500.zoo))
data.zoo = merge(edhec.zoo[,9,drop=FALSE],sp500.zoo)
time(data.zoo) = as.Date(time(data.zoo),format="%b %Y")
ActivePremium(data.zoo[, 1, drop=FALSE], data.zoo[, 2, drop=FALSE])