function activereturn
activereturn(
x: array,
y: array,
t?: number,
mode?: string,
dim?: 0 | 1,
): number

Computes the active return.

Calculates the active return, which is the difference between the annualized return of an asset/portfolio and the annualized return of a benchmark.

Examples

Compute active return for a single portfolio and benchmark

import { assertEquals } from "jsr:@std/assert";

const x = [0.003, 0.026, 0.015, -0.009, 0.014, 0.024, 0.015, 0.066, -0.014, 0.039];
const y = [-0.005, 0.081, 0.04, -0.037, -0.061, 0.058, -0.049, -0.021, 0.062, 0.058];
assertEquals(activereturn(x, y, 12), 0.0887245684020539);

Compute active return with simple mode

import { assertEquals } from "jsr:@std/assert";

assertEquals(activereturn([0.05, 0.03, 0.08, -0.02], [0.04, 0.02, 0.06, -0.01], 12, "simple"), 0.09000000000000002);

Compute active return for matrix (row-wise)

import { assertEquals } from "jsr:@std/assert";

const matrix = [[0.01, 0.02], [0.03, -0.01], [0.05, 0.04]];
const benchmark = [0.005, 0.015, 0.025];
assertEquals(activereturn(matrix, benchmark, 12), [0.0002900781816017606, -0.07097748818797567, 0.500494477969688]);

Parameters

x: array

Asset/portfolio returns

y: array

Benchmark returns

optional
t: number

Frequency of data points in a year (1: yearly, 4: quarterly, 12: monthly, 52: weekly, 252: daily, defaults to 252)

optional
mode: string

The mode of return calculation: 'geometric' or 'simple' (defaults to 'geometric')

optional
dim: 0 | 1

Dimension to operate on (0: row-wise, 1: column-wise, defaults to 0)

Return Type

number

The computed active return

Throws

If inputs are not valid arrays or matrices

activereturn(
x: matrix,
y: array,
t?: number,
mode?: string,
dim?: 0 | 1,
): array | matrix

Computes the active return.

Calculates the active return, which is the difference between the annualized return of an asset/portfolio and the annualized return of a benchmark.

Examples

Compute active return for a single portfolio and benchmark

import { assertEquals } from "jsr:@std/assert";

const x = [0.003, 0.026, 0.015, -0.009, 0.014, 0.024, 0.015, 0.066, -0.014, 0.039];
const y = [-0.005, 0.081, 0.04, -0.037, -0.061, 0.058, -0.049, -0.021, 0.062, 0.058];
assertEquals(activereturn(x, y, 12), 0.0887245684020539);

Compute active return with simple mode

import { assertEquals } from "jsr:@std/assert";

assertEquals(activereturn([0.05, 0.03, 0.08, -0.02], [0.04, 0.02, 0.06, -0.01], 12, "simple"), 0.09000000000000002);

Compute active return for matrix (row-wise)

import { assertEquals } from "jsr:@std/assert";

const matrix = [[0.01, 0.02], [0.03, -0.01], [0.05, 0.04]];
const benchmark = [0.005, 0.015, 0.025];
assertEquals(activereturn(matrix, benchmark, 12), [0.0002900781816017606, -0.07097748818797567, 0.500494477969688]);

Parameters

Asset/portfolio returns

y: array

Benchmark returns

optional
t: number

Frequency of data points in a year (1: yearly, 4: quarterly, 12: monthly, 52: weekly, 252: daily, defaults to 252)

optional
mode: string

The mode of return calculation: 'geometric' or 'simple' (defaults to 'geometric')

optional
dim: 0 | 1

Dimension to operate on (0: row-wise, 1: column-wise, defaults to 0)

Return Type

The computed active return

Throws

If inputs are not valid arrays or matrices

Usage

import activereturn from "quants/activereturn.ts";