PortfolioEffectHFT (version 1.8)

beta: Beta

Description

Computes portfolio or position beta (market sensitivity) according to the Single Index Model.

Usage


# S4 method for portfolio
beta(a)
# S4 method for position
beta(a)

Arguments

a
Portfolio or Position object created using portfolio_create( ) or position_add( ) function

Value

Metric object

Examples

Run this code
## Not run: ------------------------------------
# data(aapl.data) 
# data(goog.data) 
# data(spy.data) 
# portfolio=portfolio_create(priceDataIx=spy.data)
# portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
# positionGOOG=position_add(portfolio,'GOOG',100,priceData=goog.data)   
# positionAAPL=position_add(portfolio,'AAPL',300,priceData=aapl.data) 
# result=compute(beta(portfolio),beta(positionGOOG),beta(positionAAPL)) 
# plot(beta(portfolio),beta(positionGOOG),beta(positionAAPL),
# legend=c('Portfolio','GOOG','AAPL'),title='Beta')
# 
# dateStart = "2014-11-17 09:30:00"
# dateEnd = "2014-11-17 16:00:00"
# portfolio=portfolio_create(dateStart,dateEnd)
# portfolio_settings(portfolio,portfolioMetricsMode="price",windowLength = '3600s',
# resultsSamplingInterval='60s')
# positionAAPL=position_add(portfolio,'AAPL',100)
# positionC=position_add(portfolio,'C',300) 
# positionGOOG=position_add(portfolio,'GOOG',150) 
# result=compute(beta(positionC),beta(positionGOOG),beta(positionAAPL)) 
# plot(beta(positionC),beta(positionGOOG),beta(positionAAPL),
# legend=c('C','GOOG','AAPL'),title='Beta')
## ---------------------------------------------

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