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Portalpha

Compute risk-adjusted alphas and returns for one or more assets

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Syntax

Portalpha(Asset,Benchmark)
Portalpha（资产，基准，现金）
[Alpha,RAReturn] = portalpha(Asset,Benchmark,Cash,Choice)

描述

example

Portalpha(Asset,基准)计算风险调整后的alpha。

example

Portalpha(Asset,基准,现金)computes risk-adjusted alphas using the optional argument现金。

example

[Alpha,RAReturn] = portalpha(Asset,基准,现金,选择)computes risk-adjusted alphas and returns for one or more methods specified by选择。

例子

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打开实时脚本

此示例显示了如何使用Portalpha和compare it with the fund and market's mean returns.

使用基金，市场和现金系列的示例数据。

loadFundMarketCashreturns = tick2ret（testdata）;fund = returns（：，1）;市场=返回（：，2）;现金=退货（：，3）;平均值=平均值（资金）
平均值= 0.0038
MeanMarket = mean(Market)
MeanMarket = 0.0030
[MM，AMM] = Portalpha（基金，市场，现金，'MM')
MM = 0.0022
AMM = 0.0052
[GH1, aGH1] = portalpha(Fund, Market, Cash,'gh1')
GH1 = 0.0013
aGH1 = 0.0025
[GH2，AGH2] = Portalpha（基金，市场，现金，'gh2')
GH2 = 0.0022
aGH2 = 0.0052
[SML, aSML] = portalpha(Fund, Market, Cash,'sml')
SML = 0.0013
ASML = 0.0025

Since the fund's risk is much less than the market's risk, the risk-adjusted return of the fund is much higher than both the nominal fund and market returns.

Input Arguments

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资产返回，指定为numsamples x numseriesmatrix withNUMSAMPLESobservations of asset returns forNUMSERIES资产返回系列。

Data Types:双倍的

返回一个benchmark asset, specified as aNUMSAMPLES基准资产的回报向量。周期性必须与周期性相同Asset。例如，如果Asset是monthly data, then基准应该每月回报。

Data Types:双倍的

(Optional) Riskless asset, specified as a either a scalar return for a riskless asset or a vector of asset returns to be a proxy for a “riskless” asset. In either case, the periodicity must be the same as the periodicity ofAsset。例如，如果Asset是monthly data, then现金must be monthly returns. If no value is supplied, the default value for现金returns is0。

Data Types:双倍的

(Optional) Computed measures, specified as a character vector or cell array of character vectors to indicate one or more measures to be computed from among various risk-adjusted alphas and return measures. The number of choices selected in选择是numchoices。The list of choices is given in the following table:

Code 描述
'xs' 超额回报（无风险调整）
'sml' 安全市场线 - 安全市场线表明，风险和收益之间的关系是个人证券（即风险增加=增加回报）的线性。
'capm' 詹森（Jensen）的Alpha - 鉴于投资组合或投资的beta和平均市场收益，代表了投资组合或投资的平均收益，代表了投资组合或投资的平均收益率。
'mm' Modigliani＆Modigliani - 衡量投资组合的回报，以相对于某些基准投资组合所带来的风险量。
'gh1' Graham-Harvey 1 — Performance measure developed by John Graham and Campbell Harvey. The idea is to lever a fund's portfolio to exactly match the volatility of the S&P 500. The difference between the fund's levered return and the S&P 500 return is the performance measure.
'gh2' Graham-Harvey 2 - 在此措施中，该措施是在基金推荐的投资策略（使用国库法案）上延长或降低该策略的波动性与标准普尔500指数相同。
'all' Compute all measures.

选择通过使用表中的代码来指定（例如，选择Modigliani＆Modigliani Measure，选择='mm'). A single choice is either a character vector or a scalar cell array with a single code from the table.

Multiple choices can be selected with a cell array of character vectors for choice codes (for example, to select both Graham-Harvey measures,选择={'gh1'，'gh2'}). To select all choices, specify选择='all'。如果未提供值，则默认选择是用选择='xs'。选择不是对病例敏感的。

Data Types:char|细胞

Output Arguments

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风险调整后的Alphas，作为一个numchoices-经过-NUMSERIESmatrix of risk-adjusted alphas for each series inAssetwith each row corresponding to a specified measure in选择。

Risk-adjusted returns, returned as annumchoices-经过-NUMSERIESmatrix of risk-adjusted returns for each series inAssetwith each row corresponding to a specified measure in选择。

Note

NaN数据中的值被忽略，如果NaNs are present, some results could be unpredictable. Although the alphas are comparable across measures, risk-adjusted returns depend on whether theAsset或者基准是levered or unlevered to match its risk with the alternative. If选择='all'，行中的顺序Alpha和RAReturnfollows the order in the table. In addition,选择='all'overrides all other choices.

参考

[1] Graham，J。R.和Campbell R. Harvey。“投资通讯的资产分配建议中暗示的市场时机能力和波动性。”Journal of Financial Economics.卷。42，1996，第397–421页。

[2] Lintner，J。“风险资产的估值以及对股票投资组合和资本预算的风险投资选择。”经济学和统计评论。卷。47，第1号，1965年2月，第13-37页。

[3] Modigliani, F. and Leah Modigliani. "Risk-Adjusted Performance: How to Measure It and Why."Journal of Portfolio Management.卷。23, No. 2, Winter 1997, pp. 45–54.

[4] Mossin, J. "Equilibrium in a Capital Asset Market."Econometrica.卷。34，第4号，1966年10月，第768–783页。

[5] Sharpe，W.F。，“资本资产价格：风险条件下的市场平衡理论”。Journal of Finance.卷。19, No. 3, September 1964, pp. 425–442.

Version History

Introduced in R2006b

See Also

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