jenson.alpha {rportfolio} | R Documentation |
Calculates the Jenson's Alpha of the security
jenson.alpha(R1, R2, rf = 0)
R1 |
Portfolio Return |
R2 |
Benchmark Return |
rf |
Risk Free Rate of Return, Default: 0 |
The Jensen's measure, or Jensen's alpha, is a risk-adjusted performance measure that represents the average return on a portfolio or investment, above or below that predicted by the capital asset pricing model (CAPM), given the portfolio's or investment's beta and the average market return.
jenson.alpha(funds$ret1, funds$rfr)