pt.jalpha {YRmisc} | R Documentation |
Jensen's alpha is a financial statistic used to quantify the abnormal return of a security or portfolio over the theoretical expected return. Unlike, standard alpha, it uses theoretical performance return instead of a market return.
pt.jalpha(pr,mr,rf,beta)
pr |
:portfolio return |
mr |
:market return |
rf |
:risk free rate |
beta |
:portfolio beta |
prtn <- runif(24, -1, 1)
mrtn <- runif(24, -1, 1)
rf <- 0.024
pt.jalpha(mean(prtn), mean(mrtn), rf, pt.beta(prtn,mrtn))