ActivePremium      package:PerformanceAnalytics      R Documentation

_A_c_t_i_v_e _P_r_e_m_i_u_m

_D_e_s_c_r_i_p_t_i_o_n:

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

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

_U_s_a_g_e:

     ActivePremium(Ra, Rb, scale = 12)

_A_r_g_u_m_e_n_t_s:

      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) 

_V_a_l_u_e:

     ActivePremium (numeric)

_N_o_t_e:

_A_u_t_h_o_r(_s):

     Peter Carl

_R_e_f_e_r_e_n_c_e_s:

     Sharpe, W.F. The Sharpe Ratio,_Journal of Portfolio
     Management_,Fall 1994, 49-58.

_S_e_e _A_l_s_o:

     'InformationRatio' 'TrackingError' 'Return.annualized'

_E_x_a_m_p_l_e_s:

         # 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])

