Single Factor Asset-Pricing Model Summary: Statistics and Stylized Facts
Takes a set of returns and relates them to a benchmark return. Provides a set of measures related to an excess return single factor model, or CAPM.
table.SFM(Ra, Rb, scale = NA, Rf = 0, digits = 4)
Ra |
a vector of returns to test, e.g., the asset to be examined |
Rb |
a matrix, data.frame, or timeSeries of benchmark(s) to test the asset against. |
scale |
number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4) |
Rf |
risk free rate, in same period as your returns |
digits |
number of digits to round results to |
This table will show statistics pertaining to an asset against a set of benchmarks, or statistics for a set of assets against a benchmark.
Peter Carl
data(managers)
table.SFM(managers[,1:3], managers[,8], Rf = managers[,10])
result = table.SFM(managers[,1:3], managers[,8], Rf = managers[,10])
textplot(result, rmar = 0.8, cmar = 1.5, max.cex=.9,
halign = "center", valign = "top", row.valign="center",
wrap.rownames=15, wrap.colnames=10, mar = c(0,0,3,0)+0.1)
title(main="Single Factor Model Related Statistics")Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.