PerformanceAnalytics (version 1.1.0)

table.CAPM: Asset-Pricing Model Summary: Statistics and Stylized Facts

Description

Takes a set of returns and relates them to a market benchmark. Provides a set of measures related to the excess return single index model, or CAPM.

Usage

table.CAPM(Ra, Rb, scale = NA, Rf = 0, digits = 4)

Arguments

Ra

a vector of returns to test, e.g., the asset to be examined

Rb

a matrix, data.frame, or timeSeries of benchmark(s) to test the asset against.

scale

number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)

Rf

risk free rate, in same period as your returns

digits

number of digits to round results to

Details

This table will show statistics pertaining to an asset against a set of benchmarks, or statistics for a set of assets against a benchmark.

See Also

CAPM.alpha CAPM.beta TrackingError ActivePremium InformationRatio TreynorRatio

Examples

data(managers)
table.CAPM(managers[,1:3,drop=FALSE], managers[,8,drop=FALSE], Rf = managers[,10,drop=FALSE])

result = table.CAPM(managers[,1:3,drop=FALSE], managers[,8,drop=FALSE], Rf = managers[,10,drop=FALSE])
textplot(result, rmar = 0.8, cmar = 1.5,  max.cex=.9, halign = "center", valign = "top", row.valign="center", wrap.rownames=15, wrap.colnames=10, mar = c(0,0,3,0)+0.1)
title(main="CAPM-Related Statistics")