BLCOP (version 0.3.3)

CAPMList: Compute CAPM alphas for a set of assets

Description

CAPMList is a helper function that computes the "alphas" and "betas" in the sense of the CAPM for series of asset returns. It is meant to be used for computing "prior" means for the Black-Litterman model.

Usage

CAPMList(returns, marketIndex, riskFree = NULL, regFunc = BLCOPOptions("regFunc"), 
         coeffExtractFunc = NULL, ...)

Arguments

returns

A matrix or data.frame of asset returns, with different columns corresponding to different assets

marketIndex

A time series of returns for some market index (e.g. SP500)

riskFree

Risk-free rate of return

regFunc

The name of the function to used to regress the asset return series against the market index. This is set in the BLCOP options, and is lm by default.

coeffExtractFunc

A function that extracts the intercept (alpha) and coefficient of the market index (beta) from the results of a call to the regression function. It should return a vector containing these two elements.

…

Additional arguments to the regression function

Value

A data.frame with one column for the "alphas" and another for the "betas"

Details

coeffExtractFun is needed because some regression functions such as gls from the nlme package don't return their results in the same format as lm does. If it is not supplied, a default that works with lm results is used.

Examples

# NOT RUN {
    library(MASS)
    CAPMList(monthlyReturns, marketIndex = sp500Returns, riskFree = US13wTB, regFunc = "rlm")
# }