YRmisc (version 0.1.6)

pt.alpha: Stock return alpha

Description

Alpha is the intercept of a fitted line when dependent variable is the benchmark return and independent variable is a asset return of the same period. It is a measure of the active return on an investment. Alpha, along with beta, is one of the two key coefficients in the CAPM used modern portfolio theory.

Usage

pt.alpha(ar,br)

Arguments

ar

:a vector of a risk asset return

br

:a vector of benchmark return

Examples

# NOT RUN {
brtn <- runif(100, -1, 1)
artn <- runif(100, -1, 1)
pt.alpha(artn,brtn)
# }