[Returnanalytics-commits] r2072 - in pkg/PerformanceAnalytics: R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Jun 25 18:34:57 CEST 2012
Author: matthieu_lestel
Date: 2012-06-25 18:34:57 +0200 (Mon, 25 Jun 2012)
New Revision: 2072
Added:
pkg/PerformanceAnalytics/R/CAPM.jensenAlpha.R
pkg/PerformanceAnalytics/man/CAPM.jensenAlpha.Rd
Modified:
pkg/PerformanceAnalytics/R/CAPM.epsilon.R
pkg/PerformanceAnalytics/man/CAPM.epsilon.Rd
Log:
jensen's alpha with exemples and documentation
Modified: pkg/PerformanceAnalytics/R/CAPM.epsilon.R
===================================================================
--- pkg/PerformanceAnalytics/R/CAPM.epsilon.R 2012-06-25 14:11:34 UTC (rev 2071)
+++ pkg/PerformanceAnalytics/R/CAPM.epsilon.R 2012-06-25 16:34:57 UTC (rev 2072)
@@ -7,7 +7,7 @@
#' {epsilon_r = r_p - alpha_r - beta_r * b}
#'
#' where \eqn{\alpha_r} is the regression alpha, \eqn{\beta_r} is the regression beta,
-#' \eqn{r} is the portfolio return and b is the benchmark return
+#' \eqn{r_p} is the portfolio return and b is the benchmark return
#'
#' @aliases Regression epsilon
#' @param Ra an xts, vector, matrix, data frame, timeSeries or zoo object of
@@ -40,21 +40,21 @@
if (ncol(Ra)==1 || is.null(Ra) || is.vector(Ra)) {
- Rp = (prod(0.01*Ra+1)-1)*100 #portfolio total return
- Rpb = (prod(0.01*Rb+1)-1)*100 #benchmark total return
- for (i in (1:length(Ra))) {
- if (!is.na(Ra[i])) {
- calcul = TRUE
-}
-}
+ Rp = (prod(0.01*Ra+1)-1)*100 #portfolio total return
+ Rpb = (prod(0.01*Rb+1)-1)*100 #benchmark total return
+ for (i in (1:length(Ra))) {
+ if (!is.na(Ra[i])) {
+ calcul = TRUE
+ }
+ }
- if (calcul) {
- result = Rf + Rp - CAPM.alpha(Ra,Rb,Rf) - (Rpb - Rf) * CAPM.beta(Ra,Rb,Rf)
-}
- else {
- result = NA
-}
- return(result)
+ if (calcul) {
+ result = Rf + Rp - CAPM.alpha(Ra,Rb,Rf) - (Rpb - Rf) * CAPM.beta(Ra,Rb,Rf)
+ }
+ else {
+ result = NA
+ }
+ return(result)
}
else {
Ra = checkData(Ra)
Added: pkg/PerformanceAnalytics/R/CAPM.jensenAlpha.R
===================================================================
--- pkg/PerformanceAnalytics/R/CAPM.jensenAlpha.R (rev 0)
+++ pkg/PerformanceAnalytics/R/CAPM.jensenAlpha.R 2012-06-25 16:34:57 UTC (rev 2072)
@@ -0,0 +1,67 @@
+#' Jensen's alpha of the return distribution
+#'
+#' 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.
+#'
+#' \deqn{\alpha = r_p - r_f - \beta_p * (b - r_f)}
+#' {alpha = r_p - r_f - beta_p * (b - r_f)}
+#'
+#' where \eqn{r_f} is the systematic risk, \eqn{\beta_r} is the regression beta,
+#' \eqn{r_p} is the portfolio return and b is the benchmark return
+#'
+#' @aliases Regression epsilon
+#' @param Ra an xts, vector, matrix, data frame, timeSeries or zoo object of
+#' asset returns
+#' @param Rb return vector of the benchmark asset
+#' @param Rf risk free rate, in same period as your returns
+#' @param \dots any other passthru parameters
+#' @author Matthieu Lestel
+#' @references Carl Bacon, \emph{Practical portfolio performance measurement
+#' and attribution}, second edition 2008 p.72
+#'
+#' @keywords ts multivariate distribution models
+#' @examples
+#'
+#' data(portfolio_bacon)
+#' print(CAPM.jensenAlpha(portfolio_bacon[,1], portfolio_bacon[,2])) #expected -3.14938
+#'
+#' data(managers)
+#' print(CAPM.jensenAlpha(managers['1996',1], managers['1996',8]))
+#' print(CAPM.jensenAlpha(managers['1996',1:5], managers['1996',8]))
+#'
+#' @export
+
+CAPM.jensenAlpha <-
+function (Ra, Rb, Rf = 0, ...)
+{
+ calcul = FALSE
+ Ra = checkData(Ra, method="matrix")
+ Rb = checkData(Rb, method="matrix")
+
+ if (ncol(Ra)==1 || is.null(Ra) || is.vector(Ra)) {
+
+ Rp = (prod(0.01*Ra+1)-1)*100 #portfolio total return
+ Rpb = (prod(0.01*Rb+1)-1)*100 #benchmark total return
+ for (i in (1:length(Ra))) {
+ if (!is.na(Ra[i])) {
+ calcul = TRUE
+ }
+ }
+
+ if (calcul) {
+ result = Rp - Rf - CAPM.beta(Ra,Rb,Rf) * (Rpb - Rf)
+ }
+ else {
+ result = NA
+ }
+ return(result)
+ }
+ else {
+ Ra = checkData(Ra)
+ result = apply(Ra, MARGIN = 2, CAPM.jensenAlpha, Rb = Rb, Rf = Rf, ...)
+ result<-t(result)
+ colnames(result) = colnames(Ra)
+ rownames(result) = paste("Jensen's Alpha (Risk free = ",Rf,")", sep="")
+ return(result)
+ }
+}
Modified: pkg/PerformanceAnalytics/man/CAPM.epsilon.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/CAPM.epsilon.Rd 2012-06-25 14:11:34 UTC (rev 2071)
+++ pkg/PerformanceAnalytics/man/CAPM.epsilon.Rd 2012-06-25 16:34:57 UTC (rev 2072)
@@ -26,7 +26,7 @@
{epsilon_r = r_p - alpha_r - beta_r * b}
where \eqn{\alpha_r} is the regression alpha,
- \eqn{\beta_r} is the regression beta, \eqn{r} is the
+ \eqn{\beta_r} is the regression beta, \eqn{r_p} is the
portfolio return and b is the benchmark return
}
\examples{
Added: pkg/PerformanceAnalytics/man/CAPM.jensenAlpha.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/CAPM.jensenAlpha.Rd (rev 0)
+++ pkg/PerformanceAnalytics/man/CAPM.jensenAlpha.Rd 2012-06-25 16:34:57 UTC (rev 2072)
@@ -0,0 +1,51 @@
+\name{CAPM.jensenAlpha}
+\alias{CAPM.jensenAlpha}
+\alias{epsilon}
+\alias{Regression}
+\title{Jensen's alpha of the return distribution}
+\usage{
+ CAPM.jensenAlpha(Ra, Rb, Rf = 0, ...)
+}
+\arguments{
+ \item{Ra}{an xts, vector, matrix, data frame, timeSeries
+ or zoo object of asset returns}
+
+ \item{Rb}{return vector of the benchmark asset}
+
+ \item{Rf}{risk free rate, in same period as your returns}
+
+ \item{\dots}{any other passthru parameters}
+}
+\description{
+ 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.
+}
+\details{
+ \deqn{\alpha = r_p - r_f - \beta_p * (b - r_f)} {alpha =
+ r_p - r_f - beta_p * (b - r_f)}
+
+ where \eqn{r_f} is the systematic risk, \eqn{\beta_r} is
+ the regression beta, \eqn{r_p} is the portfolio return
+ and b is the benchmark return
+}
+\examples{
+data(portfolio_bacon)
+print(CAPM.jensenAlpha(portfolio_bacon[,1], portfolio_bacon[,2])) #expected -3.14938
+
+data(managers)
+print(CAPM.jensenAlpha(managers['1996',1], managers['1996',8]))
+print(CAPM.jensenAlpha(managers['1996',1:5], managers['1996',8]))
+}
+\author{
+ Matthieu Lestel
+}
+\references{
+ Carl Bacon, \emph{Practical portfolio performance
+ measurement and attribution}, second edition 2008 p.72
+}
+\keyword{distribution}
+\keyword{models}
+\keyword{multivariate}
+\keyword{ts}
+
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