R Markdown
chart.RelativePerformance(asset_returns_xts,asset_returns_xts$monthly.returns, legend.loc = "topleft")
table.CAPM(asset_returns_xts,asset_returns_xts$monthly.returns,Rf = 0, scale = 12)
## Warning in summary.lm(model.lm): essentially perfect fit: summary may be
## unreliable
## monthly.returns to monthly.returns
## Alpha 0.0000
## Beta 1.0000
## Beta+ 1.0000
## Beta- 1.0000
## R-squared 1.0000
## Annualized Alpha 0.0000
## Correlation 1.0000
## Correlation p-value 0.0000
## Tracking Error 0.0000
## Active Premium 0.0000
## Information Ratio NaN
## Treynor Ratio 0.0592
## monthly.returns.1 to monthly.returns
## Alpha 0.0033
## Beta 0.0622
## Beta+ 0.0453
## Beta- 0.0710
## R-squared 0.0882
## Annualized Alpha 0.0400
## Correlation 0.2970
## Correlation p-value 0.0531
## Tracking Error 0.1562
## Active Premium -0.0152
## Information Ratio -0.0974
## Treynor Ratio 0.7077
## monthly.returns.2 to monthly.returns
## Alpha 0.0020
## Beta 0.2958
## Beta+ 0.2000
## Beta- 0.4154
## R-squared 0.5998
## Annualized Alpha 0.0245
## Correlation 0.7745
## Correlation p-value 0.0000
## Tracking Error 0.1213
## Active Premium -0.0149
## Information Ratio -0.1231
## Treynor Ratio 0.1498
## Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec monthly.returns
## 2017 NA NA NA NA NA NA -1.1 0.7 0.0 4.0 1.6 1.8 7.0
## 2018 -0.4 0.3 -3.9 3.9 1.0 3.2 1.4 1.5 -1.4 -6.1 -2.3 -0.1 -3.4
## 2019 3.7 5.7 0.8 2.4 1.5 3.7 2.8 -2.4 2.2 -0.7 3.3 -2.2 22.6
## 2020 4.8 -8.2 -20.9 6.3 5.2 1.5 1.0 2.5 -4.5 1.8 9.8 1.0 -3.6
## 2021 0.6 NA NA NA NA NA NA NA NA NA NA NA 0.6
## Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec monthly.returns
## 2017 NA NA NA NA NA NA 0.1 -0.1 -0.4 0.8 1.3 -0.2 1.5
## 2018 -0.5 0.4 0.9 -0.6 0.4 1.4 -0.5 1.0 -0.7 0.9 0.0 1.5 4.3
## 2019 1.0 0.9 2.2 -0.1 2.0 1.2 0.9 2.1 -0.4 -1.0 0.6 -1.0 8.7
## 2020 1.9 0.9 -2.0 1.8 0.5 -0.9 0.2 -0.1 0.7 0.6 -0.7 -0.8 1.9
## 2021 -0.5 NA NA NA NA NA NA NA NA NA NA NA -0.5
## Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec monthly.returns
## 2017 NA NA NA NA NA NA 0.1 0.5 -0.2 0.7 1.0 -0.7 1.4
## 2018 0.2 0.6 0.6 -0.4 0.6 0.3 -0.1 1.1 -0.4 -0.3 0.0 0.8 3.1
## 2019 0.1 1.1 1.7 0.8 1.3 1.1 1.2 1.1 -0.4 -0.2 0.9 -1.1 7.9
## 2020 2.2 0.6 -9.5 3.8 3.2 1.2 0.9 0.4 0.2 0.4 1.1 -0.2 3.7
## 2021 -0.1 NA NA NA NA NA NA NA NA NA NA NA -0.1