table.CAPM {PerformanceAnalytics} | R Documentation

## Asset-Pricing Model Summary: Statistics and Stylized Facts

### Description

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

### Usage

    table.CAPM(Ra, Rb, scale = 12, 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, but cannot (yet) be used to show statistics for a set of assets against a benchmark.

### Value

A data frame with columns named for the columns in `Rb` and rows containing statistics.

### Author(s)

Peter Carl

### References

### See Also

`CAPM.alpha`
`CAPM.beta`
`TrackingError`
`ActivePremium`
`InformationRatio`
`TreynorRatio`

### 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))
    rf.zoo = download.RiskFree(start = start, end = end)
    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))
    time(rf.zoo) = as.yearmon(time(rf.zoo))
    data.zoo = merge(edhec.zoo[,9,drop=FALSE],sp500.zoo)
    time(data.zoo) = as.Date(time(data.zoo),format="%b %Y")
    time(rf.zoo) = as.Date(time(rf.zoo),format="%b %Y")

    table.CAPM(data.zoo[,1,drop=FALSE], data.zoo[,2,drop=FALSE], rf = rf.zoo)

[Package PerformanceAnalytics version 0.9.5 Index]