YRmisc (version 0.1.6)

pt.jalpha: Jensen's alpha

Description

Jensen's alpha is a financial statistic used to quantify the abnormal return of a security or portfolio over the theoretical expected return. Unlike, standard alpha, it uses theoretical performance return instead of a market return.

Usage

pt.jalpha(pr,mr,rf,beta)

Arguments

pr

:portfolio return

mr

:market return

rf

:risk free rate

beta

:portfolio beta

Examples

# NOT RUN {
prtn <- runif(24, -1, 1)
mrtn <- runif(24, -1, 1)
rf <- 0.024
pt.jalpha(mean(prtn), mean(mrtn), rf, pt.beta(prtn,mrtn))

# }