Selectivity of the return distribution
Selectivity is the same as Jensen's alpha
Selectivity(Ra, Rb, Rf = 0, ...)
Ra |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
Rb |
return vector of the benchmark asset |
Rf |
risk free rate, in same period as your returns |
... |
any other passthru parameters |
Selectivity = r_p - r_f - beta_p * (b - r_f)
where r_f is the risk free rate, β_r is the regression beta, r_p is the portfolio return and b is the benchmark return
Matthieu Lestel
Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.78
data(portfolio_bacon) print(Selectivity(portfolio_bacon[,1], portfolio_bacon[,2])) #expected -0.0141 data(managers) print(Selectivity(managers['1996',1], managers['1996',8])) print(Selectivity(managers['1996',1:5], managers['1996',8]))
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