CAPM.jensenAlpha {PerformanceAnalytics} | R Documentation |
The Jensen's alpha is the intercept of the regression equation in the Capital Asset Pricing Model and is in effect the exess return adjusted for systematic risk.
CAPM.jensenAlpha(Ra, Rb, Rf = 0, ...)
Ra |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
Rb |
return vector of the benchmark asset |
Rf |
risk free rate, in same period as your returns |
... |
any other passthru parameters |
alpha = r_p - r_f - beta_p * (b - r_f)
where r_f is the risk free rate, β_r is the regression beta, r_p is the portfolio return and b is the benchmark return
Matthieu Lestel
Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.72
data(portfolio_bacon) print(SFM.jensenAlpha(portfolio_bacon[,1], portfolio_bacon[,2])) #expected -0.014 data(managers) print(SFM.jensenAlpha(managers['1996',1], managers['1996',8])) print(SFM.jensenAlpha(managers['1996',1:5], managers['1996',8]))