Active Premium or Active Return

Source: R/ActivePremium.R

The return on an investment's annualized return minus the benchmark's annualized return.

ActiveReturn(Ra, Rb, scale = NA, ...)

Arguments

Ra

return vector of the portfolio

Rb

return vector of the benchmark asset

scale

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

...

any other passthru parameters to Return.annualized (e.g., geometric=FALSE)

Details

Active Premium = Investment's annualized return - Benchmark's annualized return

Also commonly referred to as 'active return'.

References

Sharpe, W.F. The Sharpe Ratio,Journal of Portfolio Management, Fall 1994, 49-58.

Author

Peter Carl

Examples


    data(managers)
    ActivePremium(managers[, "HAM1", drop=FALSE], managers[, "SP500 TR", drop=FALSE])
#> [1] 0.04078668
    ActivePremium(managers[,1,drop=FALSE], managers[,8,drop=FALSE])
#> [1] 0.04078668
    ActivePremium(managers[,1:6], managers[,8,drop=FALSE])
#>                                HAM1       HAM2       HAM3       HAM4       HAM5
#> Active Premium: SP500 TR 0.04078668 0.07759873 0.05446935 0.02473443 0.02182245
#>                                HAM6
#> Active Premium: SP500 TR 0.07585993
    ActivePremium(managers[,1:6], managers[,8:7,drop=FALSE])
#>                                   HAM1       HAM2       HAM3        HAM4
#> Active Premium: SP500 TR    0.04078668 0.07759873 0.05446935  0.02473443
#> Active Premium: EDHEC LS EQ 0.01965368 0.03776329 0.01043540 -0.00462594
#>                                    HAM5       HAM6
#> Active Premium: SP500 TR     0.02182245 0.07585993
#> Active Premium: EDHEC LS EQ -0.03237453 0.05463574