ActivePremium {PerformanceAnalytics} | R Documentation

## Active Premium

### Description

The return on an investment's annualized return minus the benchmark's annualized return.

Active Premium = Investment's annualized return - Benchmark's annualized return

### Usage

    ActivePremium(Ra, Rb, scale = 12)

### Arguments

`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)

### Value

ActivePremium (numeric)

### Note

### Author(s)

Peter Carl

### References

Sharpe, W.F. The Sharpe Ratio,Journal of Portfolio Management,Fall 1994, 49-58.

### See Also

`InformationRatio` `TrackingError` `Return.annualized`

### Examples

        # 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])

[Package PerformanceAnalytics version 0.9.5 Index]