Active Premium or Active Return
The return on an investment's annualized return minus the benchmark's annualized return.
ActiveReturn(Ra, Rb, scale = NA, ...)
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., |
Active Premium = Investment's annualized return - Benchmark's annualized return
Also commonly referred to as 'active return'.
Peter Carl
Sharpe, W.F. The Sharpe Ratio,Journal of Portfolio Management, Fall 1994, 49-58.
data(managers)
ActivePremium(managers[, "HAM1", drop=FALSE], managers[, "SP500 TR", drop=FALSE])
ActivePremium(managers[,1,drop=FALSE], managers[,8,drop=FALSE])
ActivePremium(managers[,1:6], managers[,8,drop=FALSE])
ActivePremium(managers[,1:6], managers[,8:7,drop=FALSE])Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.