BetaCoVariance     package:PerformanceAnalytics     R Documentation

_s_y_s_t_e_m_a_t_i_c _b_e_t_a _o_f _a_n _a_s_s_e_t _t_o _a_n _i_n_i_t_i_a_l _p_o_r_t_f_o_l_i_o

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

     Beta covariance is the beta of an asset to the variance and
     covariance of an initial portfolio.  Used to determine
     diversification potential. also called "systematic beta" by
     several papers.

     This function uses a symbolic representation to achieve the same
     result as the linear intercept model used by 'CAPM.beta'

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

     BetaCoVariance(Ra, Ri, na.rm = FALSE)

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

      Ra: return vector of asset being considered for addition to
          portfolio 

      Ri: return vector of initial portfolio 

   na.rm: TRUE/FALSE Remove NA's from the returns? 

_D_e_t_a_i_l_s:

     Systematic Beta BCoV(a,b)

     BetaCoV=cov(a,b)/var(b)

     Ruppert(2004) reports that this equation will give the estimated
     slope of the linear regression of Raon Rb and that this slope can
     be used to determine the risk premium or excess expected return
     (see Ruppert Eq. 7.9 and 7.10, p. 230-231)

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

     systematic beta of the asset to the benchmark

_N_o_t_e:

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

     Brian G. Peterson

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

     Favre, L. and Renaldo, A.. How to Price Hedge Funds: From Two- to
     Four-Moment CAPM. October 2003. UBS and Edhec Business School.
     Equation [5] p 10 Ruppert, David. _Statistics and Finance, an
     Introduction_. Springer. 2004.

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

     'CAPM.beta'

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

