Fama beta of the return distribution
Fama beta is a beta used to calculate the loss of diversification. It is made so that the systematic risk is equivalent to the total portfolio risk.
FamaBeta(Ra, Rb, ...)
Ra |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
Rb |
return vector of the benchmark asset |
... |
any other passthru parameters |
Fama beta = portfolio standard deviation / benchmark standard deviation
where σ_P is the portfolio standard deviation and σ_M is the market risk
Matthieu Lestel
Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.78
data(portfolio_bacon) print(FamaBeta(portfolio_bacon[,1], portfolio_bacon[,2])) #expected 1.03 data(managers) print(FamaBeta(managers['1996',1], managers['1996',8])) print(FamaBeta(managers['1996',1:5], managers['1996',8]))
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